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3Commas Turtle Strategy

简化的乌龟突破策略，使用唐奇安通道。当价格向上突破快速通道且同时高于慢速通道时买入；当价格向下跌破快速通道且低于慢速通道时卖出。价格穿越相反方向的退出通道时平仓。

细节

  • 入场条件：突破快速通道并得到慢速通道确认。
  • 多空方向：双向。
  • 出场条件：价格穿越退出通道。
  • 止损：基于通道。
  • 默认值:
    • PeriodFast = 20
    • PeriodSlow = 20
    • PeriodExit = 10
    • CandleType = TimeSpan.FromMinutes(1)
  • 过滤器:
    • 类别: 趋势
    • 方向: 双向
    • 指标: 唐奇安通道
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险水平: 中等
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simplified turtle breakout strategy.
/// </summary>
public class ThreeCommasTurtleStrategy : Strategy
{
	private readonly StrategyParam<int> _periodFast;
	private readonly StrategyParam<int> _periodSlow;
	private readonly StrategyParam<int> _periodExit;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevUpperFast;
	private decimal _prevLowerFast;
	private decimal _prevClose;

	public int PeriodFast
	{
		get => _periodFast.Value;
		set => _periodFast.Value = value;
	}

	public int PeriodSlow
	{
		get => _periodSlow.Value;
		set => _periodSlow.Value = value;
	}

	public int PeriodExit
	{
		get => _periodExit.Value;
		set => _periodExit.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public ThreeCommasTurtleStrategy()
	{
		_periodFast = Param(nameof(PeriodFast), 10)
			.SetDisplay("Period Fast", "Fast channel period", "Channels");
		_periodSlow = Param(nameof(PeriodSlow), 15)
			.SetDisplay("Period Slow", "Slow channel period", "Channels");
		_periodExit = Param(nameof(PeriodExit), 5)
			.SetDisplay("Period Exit", "Exit channel period", "Channels");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevUpperFast = 0m;
		_prevLowerFast = 0m;
		_prevClose = 0m;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevUpperFast = 0m;
		_prevLowerFast = 0m;
		_prevClose = 0m;

		var upperFast = new Highest { Length = PeriodFast };
		var lowerFast = new Lowest { Length = PeriodFast };
		var upperSlow = new Highest { Length = PeriodSlow };
		var lowerSlow = new Lowest { Length = PeriodSlow };
		var upperExit = new Highest { Length = PeriodExit };
		var lowerExit = new Lowest { Length = PeriodExit };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(upperFast, lowerFast, upperSlow, lowerSlow, upperExit, lowerExit, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal upFast, decimal lowFast, decimal upSlow, decimal lowSlow, decimal upExit, decimal lowExit)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevClose == 0)
		{
			_prevUpperFast = upFast;
			_prevLowerFast = lowFast;
			_prevClose = candle.ClosePrice;
			return;
		}

		if (candle.ClosePrice > _prevUpperFast && Position <= 0)
		{
			BuyMarket();
		}
		else if (candle.ClosePrice < _prevLowerFast && Position >= 0)
		{
			SellMarket();
		}
		else if (Position > 0 && candle.ClosePrice < lowExit)
			SellMarket();
		else if (Position < 0 && candle.ClosePrice > upExit)
			BuyMarket();

		_prevUpperFast = upFast;
		_prevLowerFast = lowFast;
		_prevClose = candle.ClosePrice;
	}
}