Deutsch DE
Auf GitHub ansehen

MA Volume Strategie

MA Volume kombiniert einen gleitenden Durchschnitt als Trendfilter mit Volumenspitzen für das Einstiegs-Timing. Steigendes Volumen bei einem Preis über dem Durchschnitt signalisiert starke Akkumulation; fallendes Volumen unterhalb des Durchschnitts deutet auf Distribution hin.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 136%. Die Strategie funktioniert am besten auf dem Aktienmarkt.

Die Strategie handelt in Richtung des gleitenden Durchschnitts, wenn das Volumen zunimmt, und steigt aus, sobald das Volumen versiegt oder der Durchschnitt dreht.

Ein prozentualer Stop schützt vor plötzlichen Trendwenden.

Details

  • Einstiegskriterien: Indikatorsignal
  • Long/Short: Beide
  • Ausstiegskriterien: Stop-Loss oder entgegengesetztes Signal
  • Stops: Ja, prozentbasiert
  • Standardwerte:
    • CandleType = 15 minute
    • StopLoss = 2%
  • Filter:
    • Kategorie: Trendfolge
    • Richtung: Beide
    • Indikatoren: Moving Average, Volume
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Intraday
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Strategy that combines moving average and volume indicators.
/// Buys on MA crossover with volume confirmation, sells on reverse crossover.
/// </summary>
public class MaVolumeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _volumeThreshold;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevClose;
	private decimal _prevSma;
	private bool _hasPrev;
	private decimal _prevVolume;
	private int _cooldown;

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

	/// <summary>
	/// Period for moving average calculation.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Volume threshold multiplier for volume confirmation.
	/// </summary>
	public decimal VolumeThreshold
	{
		get => _volumeThreshold.Value;
		set => _volumeThreshold.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="MaVolumeStrategy"/>.
	/// </summary>
	public MaVolumeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetDisplay("MA Period", "Period for moving average calculation", "MA Settings");

		_volumeThreshold = Param(nameof(VolumeThreshold), 1.2m)
			.SetDisplay("Volume Threshold", "Volume threshold multiplier", "Volume Settings");

		_cooldownBars = Param(nameof(CooldownBars), 150)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = 0;
		_prevSma = 0;
		_hasPrev = false;
		_prevVolume = 0;
		_cooldown = 0;
	}

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

		var volumeSma = new SimpleMovingAverage { Length = 20 };
		var priceSma = new SimpleMovingAverage { Length = MaPeriod };

		var subscription = SubscribeCandles(CandleType);

		// Use volumeSma to track volume average via separate bind
		subscription.Bind(priceSma, OnProcess);
		subscription
			.Start();

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

	private void OnProcess(ICandleMessage candle, decimal smaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var vol = candle.TotalVolume;

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevClose = close;
			_prevSma = smaValue;
			_prevVolume = vol;
			_hasPrev = true;
			return;
		}

		// Volume confirmation: current volume is above threshold * previous volume
		var volumeOk = _prevVolume > 0 && vol > _prevVolume * VolumeThreshold;

		if (_hasPrev)
		{
			// Price crosses above MA with volume - buy
			if (_prevClose <= _prevSma && close > smaValue && volumeOk && Position == 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			// Price crosses below MA with volume - sell
			else if (_prevClose >= _prevSma && close < smaValue && volumeOk && Position == 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			// Exit long on MA cross down
			else if (_prevClose >= _prevSma && close < smaValue && Position > 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			// Exit short on MA cross up
			else if (_prevClose <= _prevSma && close > smaValue && Position < 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}

		_prevClose = close;
		_prevSma = smaValue;
		_prevVolume = vol;
		_hasPrev = true;
	}
}