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Strategie Parabolic Sar Volume

Strategie, die Parabolic SAR mit Volumenbestätigung kombiniert. Einstieg in Trades, wenn der Preis den Parabolic SAR bei überdurchschnittlichem Volumen kreuzt.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 151%. Sie funktioniert am besten auf dem Aktienmarkt.

Parabolic SAR identifiziert Trendwechsel und höheres Volumen validiert das Signal. Trades beginnen, wenn der SAR-Wechsel mit zunehmendem Volumen einhergeht.

Nützlich für Trader, die volumenbasierte Bewegungen verfolgen. Der SAR-Trail schützt vor großen Verlusten.

Details

  • Einstiegskriterien:
    • Long: Close > SAR && Volume > AvgVolume
    • Short: Close < SAR && Volume > AvgVolume
  • Long/Short: Beide
  • Ausstiegskriterien: SAR-Wechsel
  • Stops: Verwendet Parabolic SAR als Trailing Stop
  • Standardwerte:
    • Acceleration = 0.02m
    • MaxAcceleration = 0.2m
    • VolumePeriod = 20
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() AvgVolume ist das durchschnittliche Volumen der vorherigen VolumePeriod Kerzen. Ein Long schließt, wenn der SAR über den Kurs wechselt, ein Short, wenn er darunter wechselt. Ein Einstiegssignal gegen eine offene Position dreht sie.
  • Filter:
    • Kategorie: Ausbruch
    • Richtung: Beide
    • Indikatoren: Parabolic SAR, Parabolic SAR, Volumen
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Mittelfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Parabolic SAR Volume strategy.
/// A close above the Parabolic SAR on volume above the average of the previous VolumePeriod candles goes long and a close below it on such
/// volume goes short, reversing an opposite position. The SAR is the trailing stop: a long closes when the SAR flips above price and a short
/// when it flips below.
/// </summary>
public class ParabolicSarVolumeStrategy : Strategy
{
	private readonly StrategyParam<decimal> _acceleration;
	private readonly StrategyParam<decimal> _maxAcceleration;
	private readonly StrategyParam<int> _volumePeriod;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _volumes = [];

	/// <summary>
	/// Initial acceleration factor of the SAR.
	/// </summary>
	public decimal Acceleration
	{
		get => _acceleration.Value;
		set => _acceleration.Value = value;
	}

	/// <summary>
	/// Maximum acceleration factor of the SAR.
	/// </summary>
	public decimal MaxAcceleration
	{
		get => _maxAcceleration.Value;
		set => _maxAcceleration.Value = value;
	}

	/// <summary>
	/// Previous candles the volume is averaged over.
	/// </summary>
	public int VolumePeriod
	{
		get => _volumePeriod.Value;
		set => _volumePeriod.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public ParabolicSarVolumeStrategy()
	{
		_acceleration = Param(nameof(Acceleration), 0.02m)
			.SetGreaterThanZero()
			.SetDisplay("SAR Acceleration", "Initial acceleration factor of the SAR", "SAR");

		_maxAcceleration = Param(nameof(MaxAcceleration), 0.2m)
			.SetGreaterThanZero()
			.SetDisplay("SAR Max Acceleration", "Maximum acceleration factor of the SAR", "SAR");

		_volumePeriod = Param(nameof(VolumePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume Period", "Previous candles the volume is averaged over", "Volume");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_volumes.Clear();
	}

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

		_volumes.Clear();

		var sar = new ParabolicSar
		{
			Acceleration = Acceleration,
			AccelerationMax = MaxAcceleration,
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(sar, ProcessCandle)
			.Start();

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

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

		// Volume is compared with the candles before this one.
		var average = _volumes.Count == VolumePeriod ? _volumes.Average() : (decimal?)null;

		_volumes.Add(candle.TotalVolume);

		if (_volumes.Count > VolumePeriod)
			_volumes.RemoveAt(0);

		// The first SAR value is formed but empty.
		if (!sarValue.IsFormed || sarValue.IsEmpty || average is not decimal avgVolume)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var sar = sarValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		var surge = candle.TotalVolume > avgVolume;

		if (close > sar && surge && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < sar && surge && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && close < sar)
			SellMarket(Position);
		else if (Position < 0 && close > sar)
			BuyMarket(-Position);
	}
}