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Vwap Stochastic Strategy

Strategy combining VWAP and Stochastic indicators. Buys when price is below VWAP and Stochastic is oversold. Sells when price is above VWAP and Stochastic is overbought.

Testing indicates an average annual return of about 187%. It performs best in the stocks market.

VWAP marks the average trading level and Stochastic shows overbought or oversold conditions. Longs trigger below VWAP with a rising oscillator, shorts above VWAP with a falling one.

Day traders watching intraday value levels may benefit from this style. Stops are placed using an ATR multiple.

Details

  • Entry Criteria:
    • Long: Close < VWAP && StochK < OversoldLevel
    • Short: Close > VWAP && StochK > OverboughtLevel
  • Long/Short: Both
  • Exit Criteria:
    • Long: Close > VWAP
    • Short: Close < VWAP
  • Stops: Percent-based using StopLossPercent
  • Default Values:
    • StochPeriod = 14
    • StochKPeriod = 3
    • StochDPeriod = 3
    • OverboughtLevel = 80m
    • OversoldLevel = 20m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: VWAP, Stochastic Oscillator
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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>
/// Strategy combining VWAP and manual Stochastic %K.
/// Buys when price is below VWAP and Stochastic is oversold.
/// Sells when price is above VWAP and Stochastic is overbought.
/// </summary>
public class VwapStochasticStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<int> _cooldownBars;

	private readonly List<decimal> _highs = new();
	private readonly List<decimal> _lows = new();
	private readonly List<decimal> _closes = new();
	private readonly List<decimal> _volumes = new();
	private readonly List<decimal> _typicalPriceVol = new();
	private int _cooldown;

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

	/// <summary>
	/// Stochastic lookback period.
	/// </summary>
	public int StochPeriod
	{
		get => _stochPeriod.Value;
		set => _stochPeriod.Value = value;
	}

	/// <summary>
	/// Overbought level for stochastic (0-100).
	/// </summary>
	public decimal OverboughtLevel
	{
		get => _overboughtLevel.Value;
		set => _overboughtLevel.Value = value;
	}

	/// <summary>
	/// Oversold level for stochastic (0-100).
	/// </summary>
	public decimal OversoldLevel
	{
		get => _oversoldLevel.Value;
		set => _oversoldLevel.Value = value;
	}

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

	/// <summary>
	/// Initialize strategy.
	/// </summary>
	public VwapStochasticStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetRange(5, 30)
			.SetDisplay("Stoch Period", "Lookback period for Stochastic %K", "Indicators");

		_overboughtLevel = Param(nameof(OverboughtLevel), 80m)
			.SetDisplay("Overbought Level", "Level considered overbought", "Trading Levels");

		_oversoldLevel = Param(nameof(OversoldLevel), 20m)
			.SetDisplay("Oversold Level", "Level considered oversold", "Trading Levels");

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.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();
		_highs.Clear();
		_lows.Clear();
		_closes.Clear();
		_volumes.Clear();
		_typicalPriceVol.Clear();
		_cooldown = 0;
	}

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

		// Use EMA as binding indicator
		var ema = new ExponentialMovingAverage { Length = 20 };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(ema, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var high = candle.HighPrice;
		var low = candle.LowPrice;
		var close = candle.ClosePrice;
		var volume = candle.TotalVolume;
		var typicalPrice = (high + low + close) / 3m;

		_highs.Add(high);
		_lows.Add(low);
		_closes.Add(close);
		_volumes.Add(volume);
		_typicalPriceVol.Add(typicalPrice * volume);

		var period = StochPeriod;

		if (_closes.Count < period)
		{
			if (_cooldown > 0) _cooldown--;
			return;
		}

		// Manual VWAP (cumulative)
		decimal sumTpv = 0;
		decimal sumVol = 0;
		for (int i = 0; i < _typicalPriceVol.Count; i++)
		{
			sumTpv += _typicalPriceVol[i];
			sumVol += _volumes[i];
		}
		var vwapValue = sumVol > 0 ? sumTpv / sumVol : close;

		// Manual Stochastic %K
		decimal highestHigh = decimal.MinValue;
		decimal lowestLow = decimal.MaxValue;
		var count = _highs.Count;
		for (int i = count - period; i < count; i++)
		{
			if (_highs[i] > highestHigh) highestHigh = _highs[i];
			if (_lows[i] < lowestLow) lowestLow = _lows[i];
		}

		var range = highestHigh - lowestLow;
		var stochK = range > 0 ? 100m * (close - lowestLow) / range : 50m;

		// Keep stochastic lists manageable (but keep all data for VWAP)
		if (_highs.Count > period * 3)
		{
			// For VWAP we need all data, but for stochastic just recent
			// Keep all volumes/tpv for VWAP, trim only H/L/C for stochastic
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Buy: price below VWAP + Stochastic oversold
		if (close < vwapValue && stochK < OversoldLevel && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Sell: price above VWAP + Stochastic overbought
		else if (close > vwapValue && stochK > OverboughtLevel && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit long: price above VWAP or stoch overbought
		if (Position > 0 && (close > vwapValue || stochK > OverboughtLevel))
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Exit short: price below VWAP or stoch oversold
		else if (Position < 0 && (close < vwapValue || stochK < OversoldLevel))
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}