Donchian channel breakout: holds after the close breaks above the channel, exits after it breaks below. More...

#include <algotradelib/src/strategy/vanilla/reversion.hpp>

Collaboration diagram for algotradelib::strategy::vanilla::DonchianBreakout:

Classes
struct	Params
	The strategy's settings. More...

Public Member Functions
std::size_t	warmup_bars () const
	Returns how many bars to load before the first live bar.
template<class Ctx>
void	on_bar (Ctx &ctx, const BarEvent &bar)
	States a target position for the instrument when its signal enters or exits.

Public Attributes
Params	params_
	The settings.

Detailed Description

Donchian channel breakout: holds after the close breaks above the channel, exits after it breaks below.

The channel is the highest and lowest close of the lookback_ bars before the latest one. A close above the channel states a target of quantity_; a close below it, a target of zero.

Definition at line 206 of file reversion.hpp.

Member Function Documentation

◆ on_bar()

template<class Ctx>

void algotradelib::strategy::vanilla::DonchianBreakout::on_bar	(	Ctx &	ctx,
		const BarEvent &	bar )

inline

States a target position for the instrument when its signal enters or exits.

Template Parameters

Ctx	The runner's context type.

Parameters

ctx	The context.
bar	The new bar.

Definition at line 235 of file reversion.hpp.

◆ warmup_bars()

std::size_t algotradelib::strategy::vanilla::DonchianBreakout::warmup_bars ( ) const

inline

Returns how many bars to load before the first live bar.

Returns: lookback_ + 1.

Definition at line 226 of file reversion.hpp.

Member Data Documentation

◆ params_

Params algotradelib::strategy::vanilla::DonchianBreakout::params_

The settings.

Definition at line 220 of file reversion.hpp.

Referenced by on_bar(), and warmup_bars().

The documentation for this struct was generated from the following file:

algotradelib/src/strategy/vanilla/reversion.hpp

Classes