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Strategie Historical Volatility Breakout

Diese Ausbruchmethode verwendet historische Volatilität, um dynamische Schwellenwerte festzulegen. Wenn sich der Preis über einen Referenzpegel hinaus um mehr als die aktuelle Volatilität bewegt, deutet das auf einen potenziellen Trend hin.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 154%. Es funktioniert am besten auf dem Aktienmarkt.

Die Strategie vergleicht den Preis mit Niveaus, die aus Standardabweichung und einem einfachen gleitenden Durchschnitt abgeleitet werden. Ausbrüche über oder unter diesen Niveaus lösen Trades aus.

Ausstiege erfolgen, wenn der Preis zurück durch den gleitenden Durchschnitt kreuzt oder der Stop ausgelöst wird.

Details

  • Einstiegskriterien: Preis bricht über oder unter das HV-basierte Niveau.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Preis kreuzt MA oder Stop.
  • Stops: Ja.
  • Standardwerte:
    • HvPeriod = 20
    • MAPeriod = 20
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filter:
    • Kategorie: Ausbruch
    • Richtung: Beide
    • Indikatoren: HV, MA
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Intraday
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Breakouts beyond SMA-anchored levels widened by relative population price dispersion (StdDev / Close).
/// Exits on an adverse price/SMA crossing or native actual-fill percent protection.
/// </summary>
public class HvBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _hvPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousClose;
	private decimal _previousMean;
	private Order _pendingOrder;

	public int HvPeriod { get => _hvPeriod.Value; set => _hvPeriod.Value = value; }
	public int MAPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public HvBreakoutStrategy()
	{
		_hvPeriod = Param(nameof(HvPeriod), 20).SetGreaterThanZero()
			.SetDisplay("HV Period", "Period for Historical Volatility calculation", "Indicators")
			.SetOptimize(10, 30, 5);
		_maPeriod = Param(nameof(MAPeriod), 20).SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for the Moving Average that anchors the breakout levels and exits", "Indicators")
			.SetOptimize(10, 50, 5);
		_stopLossPercent = Param(nameof(StopLossPercent), 2m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it.", "Protection");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		OrderRegistering += order => _pendingOrder = order;
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousClose = null;
		_previousMean = default;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_previousClose = null;
		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}
		var deviation = new StandardDeviation { Length = HvPeriod };
		var sma = new SimpleMovingAverage { Length = MAPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(deviation, sma, ProcessCandle, false).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, deviation);
			DrawIndicator(area, sma);
			DrawOwnTrades(area);
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// Native protection runs before this callback, including between finished candles.
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue deviationValue, IIndicatorValue smaValue)
	{
		if (candle.State != CandleStates.Finished || !deviationValue.Indicator.IsFormed || !smaValue.Indicator.IsFormed
			|| !IsFormedAndOnlineAndAllowTrading() || candle.ClosePrice <= 0m)
			return;
		var close = candle.ClosePrice;
		var mean = smaValue.GetValue<decimal>();
		if (_previousClose is not decimal prior)
		{
			_previousClose = close;
			_previousMean = mean;
			return;
		}
		var upwardCross = prior <= _previousMean && close > mean;
		var downwardCross = prior >= _previousMean && close < mean;
		_previousClose = close;
		_previousMean = mean;
		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (Position > 0m && downwardCross)
			SellMarket(Position);
		else if (Position < 0m && upwardCross)
			BuyMarket(Math.Abs(Position));
		else if (Position == 0m)
		{
			// HV is the relative price dispersion StdDev / Close.
			var relativeDeviation = deviationValue.GetValue<decimal>() / close;
			if (close > mean * (1m + relativeDeviation))
				BuyMarket(Volume);
			else if (close < mean * (1m - relativeDeviation))
				SellMarket(Volume);
		}
	}
}