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Strategie Volume Spike Trend

Volume Spike Trend überwacht plötzliche Anstiege im gehandelten Volumen. Wenn das aktuelle Volumen den jüngsten Durchschnitt um einen festgelegten Multiplikator überschreitet, signalisiert es eine starke Marktbeteiligung.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 175%. Am besten funktioniert es im Aktienmarkt.

Wenn das Volumen spikt und der Preis über dem gleitenden Durchschnitt liegt, kauft die Strategie; wenn das Volumen bei einem Preis unter dem Durchschnitt spikt, wird eine Short-Position eröffnet. Trades enden, wenn das Volumen wieder unter den Durchschnitt fällt oder der Stop-Loss erreicht wird.

Diese Methode versucht, Bewegungen zu erfassen, die durch einen Aktivitätsausbruch angetrieben werden.

Details

  • Einstiegskriterien: Volumenänderung überschreitet VolumeSpikeMultiplier mal den Durchschnitt.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Volumen fällt unter den Durchschnitt oder Stop.
  • Stops: Ja.
  • Standardwerte:
    • MAPeriod = 20
    • VolAvgPeriod = 20
    • VolumeSpikeMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filter:
    • Kategorie: Ausbruch
    • Richtung: Beide
    • Indikatoren: Volumen, MA
    • Stops: Ja
    • Komplexität: Grundlegend
    • 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>
/// Trades strict current-volume spikes above a rolling volume SMA in price/SMA direction.
/// Fully exits below the volume mean or through actual-fill percent protection.
/// </summary>
public class VolumeSpikeStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _volAvgPeriod;
	private readonly StrategyParam<decimal> _volumeSpikeMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _volumeAverage;
	private Order _pendingOrder;

	public int MAPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public int VolAvgPeriod { get => _volAvgPeriod.Value; set => _volAvgPeriod.Value = value; }
	public decimal VolumeSpikeMultiplier { get => _volumeSpikeMultiplier.Value; set => _volumeSpikeMultiplier.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public VolumeSpikeStrategy()
	{
		_maPeriod = Param(nameof(MAPeriod), 20).SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for Moving Average calculation", "Indicators")
			.SetOptimize(10, 50, 10);
		_volAvgPeriod = Param(nameof(VolAvgPeriod), 20).SetGreaterThanZero()
			.SetDisplay("Volume Average Period", "Current-inclusive rolling TotalVolume SMA length", "Indicators");
		_volumeSpikeMultiplier = Param(nameof(VolumeSpikeMultiplier), 2m).SetGreaterThanZero()
			.SetDisplay("Volume Spike Multiplier", "Current volume must strictly exceed volume SMA times multiplier", "Entry")
			.SetOptimize(1.5m, 3m, 0.5m);
		_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();
		_volumeAverage = null;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_pendingOrder = 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();
		}
		_volumeAverage = new SimpleMovingAverage { Length = VolAvgPeriod, Name = "Volume average" };
		Indicators.Add(_volumeAverage);
		var ma = new SimpleMovingAverage { Length = MAPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(ma, ProcessCandle, false).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ma);
			DrawOwnTrades(area);
		}
	}

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue maValue)
	{
		if (candle.State != CandleStates.Finished)
			return;
		// Feed actual volume, not Close or the preceding candle, including during price-SMA warmup.
		var volumeValue = _volumeAverage.Process(new DecimalIndicatorValue(_volumeAverage, candle.TotalVolume, candle.OpenTime) { IsFinal = true });
		if (!maValue.Indicator.IsFormed || !_volumeAverage.IsFormed || !IsFormedAndOnlineAndAllowTrading())
			return;
		var average = volumeValue.GetValue<decimal>();
		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (Position != 0m && candle.TotalVolume < average)
		{
			if (Position > 0m) SellMarket(Position);
			else BuyMarket(Math.Abs(Position));
		}
		else if (Position == 0m && average > 0m && candle.TotalVolume > average * VolumeSpikeMultiplier)
		{
			var mean = maValue.GetValue<decimal>();
			if (candle.ClosePrice > mean) BuyMarket(Volume);
			else if (candle.ClosePrice < mean) SellMarket(Volume);
		}
	}
}