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Price Channel Stop

基于 Price Channel Stop 指标的策略。

该指标在指定周期内计算最高价和最低价，形成 Donchian 通道。通过 Risk 因子在通道内部构建止损线。当价格收于上方止损线之上时，趋势转为看涨；收于下方止损线之下时，趋势转为看跌。策略在这些反转点开仓，并可选择性地平掉反向仓位。

详情

  • 入场条件: 价格突破止损线。
  • 多空方向: 双向。
  • 退出条件: 反向信号。
  • 止损: 无。
  • 默认值:
    • ChannelPeriod = 5
    • Risk = 0.10
    • CandleType = TimeSpan.FromHours(1)
  • 过滤器:
    • 类型: 趋势
    • 方向: 双向
    • 指标: Donchian 通道
    • 止损: 无
    • 复杂度: 基础
    • 时间框架: 日内 (1h)
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险等级: 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>
/// Strategy based on Price Channel Stop.
/// The indicator builds stop levels from Donchian Channel and switches trend when price crosses them.
/// </summary>
public class PriceChannelStopStrategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<decimal> _risk;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<bool> _buyPosOpen;
	private readonly StrategyParam<bool> _sellPosOpen;
	private readonly StrategyParam<bool> _buyPosClose;
	private readonly StrategyParam<bool> _sellPosClose;

	private decimal _prevBsmax;
	private decimal _prevBsmin;
	private int _trend;
	private bool _isFirst = true;

	/// <summary>
	/// Period for channel calculation.
	/// </summary>
	public int ChannelPeriod
	{
		get => _channelPeriod.Value;
		set => _channelPeriod.Value = value;
	}

	/// <summary>
	/// Risk factor for stop calculation.
	/// </summary>
	public decimal Risk
	{
		get => _risk.Value;
		set => _risk.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Allow opening long positions.
	/// </summary>
	public bool BuyPosOpen
	{
		get => _buyPosOpen.Value;
		set => _buyPosOpen.Value = value;
	}

	/// <summary>
	/// Allow opening short positions.
	/// </summary>
	public bool SellPosOpen
	{
		get => _sellPosOpen.Value;
		set => _sellPosOpen.Value = value;
	}

	/// <summary>
	/// Allow closing long positions on opposite signal.
	/// </summary>
	public bool BuyPosClose
	{
		get => _buyPosClose.Value;
		set => _buyPosClose.Value = value;
	}

	/// <summary>
	/// Allow closing short positions on opposite signal.
	/// </summary>
	public bool SellPosClose
	{
		get => _sellPosClose.Value;
		set => _sellPosClose.Value = value;
	}

	/// <summary>
	/// Initialize the strategy.
	/// </summary>
	public PriceChannelStopStrategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 5)
			.SetDisplay("Channel Period", "Period for Price Channel calculation", "Indicators")
			
			.SetOptimize(5, 30, 1);

		_risk = Param(nameof(Risk), 0.10m)
			.SetDisplay("Risk", "Risk factor for stop levels", "Indicators")
			
			.SetOptimize(0.05m, 0.3m, 0.05m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_buyPosOpen = Param(nameof(BuyPosOpen), true)
			.SetDisplay("Buy Position Open", "Allow opening long positions", "Trading");

		_sellPosOpen = Param(nameof(SellPosOpen), true)
			.SetDisplay("Sell Position Open", "Allow opening short positions", "Trading");

		_buyPosClose = Param(nameof(BuyPosClose), true)
			.SetDisplay("Buy Position Close", "Allow closing long positions", "Trading");

		_sellPosClose = Param(nameof(SellPosClose), true)
			.SetDisplay("Sell Position Close", "Allow closing short positions", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevBsmax = default;
		_prevBsmin = default;
		_trend = 0;
		_isFirst = true;
	}

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

		var donchian = new DonchianChannels { Length = ChannelPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(donchian, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var dc = value as IDonchianChannelsValue;
		if (dc?.UpperBand is not decimal upper || dc?.LowerBand is not decimal lower)
			return;

		var range = upper - lower;
		var dPrice = range * Risk;
		var bsmax = upper - dPrice;
		var bsmin = lower + dPrice;

		if (_isFirst)
		{
			_prevBsmax = bsmax;
			_prevBsmin = bsmin;
			_isFirst = false;
			return;
		}

		var trend = _trend;
		if (candle.ClosePrice > _prevBsmax)
			trend = 1;
		else if (candle.ClosePrice < _prevBsmin)
			trend = -1;

		if (trend > 0 && bsmin < _prevBsmin)
			bsmin = _prevBsmin;
		if (trend < 0 && bsmax > _prevBsmax)
			bsmax = _prevBsmax;

		var isBuySignal = _trend <= 0 && trend > 0;
		var isSellSignal = _trend >= 0 && trend < 0;

		if (IsFormedAndOnlineAndAllowTrading())
		{
			if (isBuySignal && Position <= 0)
				BuyMarket();
			else if (isSellSignal && Position >= 0)
				SellMarket();
		}

		_trend = trend;
		_prevBsmax = bsmax;
		_prevBsmin = bsmin;
	}
}