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Volumen- und Volatilitätsverhältnis-Indikator WODI-Strategie

Vereinfachte Strategie, abgeleitet vom TradingView-Skript "Volume and Volatility Ratio Indicator - WODI". Sie überwacht das Produkt aus Volumen und Preisvolatilität, um potenzielle Umkehrungen zu erkennen. Wenn der Volatilitätsindex einen dynamischen Schwellenwert überschreitet und die letzten Kerzen eine Richtungsänderung zeigen, wird eine Position mit Fibonacci-basiertem Risikomanagement eröffnet.

Details

  • Einstieg: Hohes Volumen und Volatilität kombiniert mit einem Kerzen-Umkehrmuster.
  • Ausstieg: Stop-Loss und Take-Profit berechnet aus dem Kerzenbereich und Fibonacci-Multiplikatoren.
  • Long/Short: Beide.
  • Zeitrahmen: Beliebig.
  • Indikatoren: SMA.

Dies ist eine vereinfachte Lehrversion. Die originale TradingView-Logik wurde reduziert.

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Volume and volatility ratio indicator strategy (WODI).
/// Detects increased volume and volatility to enter reversal trades.
/// Uses volume MA and volatility index with short/long MA crossover.
/// </summary>
public class VolumeAndVolatilityRatioIndicatorWodiStrategy : Strategy
{
	private readonly StrategyParam<int> _volLength;
	private readonly StrategyParam<int> _indexLength;
	private readonly StrategyParam<decimal> _stopPct;
	private readonly StrategyParam<decimal> _tpPct;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _volumes = new();
	private readonly List<decimal> _volIndices = new();
	private decimal _entryPrice;
	private decimal _stopDist;
	private ICandleMessage _prevCandle;
	private ICandleMessage _prevPrevCandle;
	private int _cooldownRemaining;

	public int VolLength { get => _volLength.Value; set => _volLength.Value = value; }
	public int IndexLength { get => _indexLength.Value; set => _indexLength.Value = value; }
	public decimal StopPct { get => _stopPct.Value; set => _stopPct.Value = value; }
	public decimal TpPct { get => _tpPct.Value; set => _tpPct.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public VolumeAndVolatilityRatioIndicatorWodiStrategy()
	{
		_volLength = Param(nameof(VolLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume MA Length", "Volume average period", "Parameters");

		_indexLength = Param(nameof(IndexLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Index Length", "Volatility index average period", "Parameters");

		_stopPct = Param(nameof(StopPct), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Stop %", "Stop loss percent", "Risk");

		_tpPct = Param(nameof(TpPct), 1m)
			.SetGreaterThanZero()
			.SetDisplay("TP %", "Take profit percent", "Risk");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 24)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_volumes.Clear();
		_volIndices.Clear();
		_entryPrice = 0;
		_stopDist = 0;
		_prevCandle = null;
		_prevPrevCandle = null;
		_cooldownRemaining = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var sma = new SimpleMovingAverage { Length = 2 };

		_volumes.Clear();
		_volIndices.Clear();
		_entryPrice = 0;
		_stopDist = 0;
		_prevCandle = null;
		_prevPrevCandle = null;
		_cooldownRemaining = 0;

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(sma, ProcessCandle).Start();

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

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var vol = candle.TotalVolume;
		var volatility = candle.ClosePrice > 0 ? (candle.HighPrice - candle.LowPrice) / candle.ClosePrice * 100m : 0;
		var volIndex = vol * volatility;

		_volumes.Add(vol);
		_volIndices.Add(volIndex);

		while (_volumes.Count > VolLength + 1)
			_volumes.RemoveAt(0);
		while (_volIndices.Count > IndexLength + 1)
			_volIndices.RemoveAt(0);

		// TP/SL management
		if (Position > 0 && _entryPrice > 0 && _stopDist > 0)
		{
			if (candle.ClosePrice <= _entryPrice - _stopDist || candle.ClosePrice >= _entryPrice + _stopDist * (TpPct / StopPct))
			{
				SellMarket();
				_entryPrice = 0;
				_stopDist = 0;
				_cooldownRemaining = SignalCooldownBars;
			}
		}
		else if (Position < 0 && _entryPrice > 0 && _stopDist > 0)
		{
			if (candle.ClosePrice >= _entryPrice + _stopDist || candle.ClosePrice <= _entryPrice - _stopDist * (TpPct / StopPct))
			{
				BuyMarket();
				_entryPrice = 0;
				_stopDist = 0;
				_cooldownRemaining = SignalCooldownBars;
			}
		}

		if (_volumes.Count < VolLength || _volIndices.Count < IndexLength || _prevCandle == null || _prevPrevCandle == null)
		{
			_prevPrevCandle = _prevCandle;
			_prevCandle = candle;
			return;
		}

		// Calculate averages
		var volAvg = _volumes.Take(VolLength).Sum() / VolLength;
		var indexAvg = _volIndices.Take(IndexLength).Sum() / IndexLength;

		// Entry conditions
		var highVol = vol > volAvg;
		var highVolIndex = volIndex > indexAvg * 2.5m;

		var isLongPattern = highVol && highVolIndex
			&& _prevCandle.ClosePrice < _prevPrevCandle.ClosePrice
			&& candle.ClosePrice > _prevCandle.ClosePrice;

		var isShortPattern = highVol && highVolIndex
			&& _prevCandle.ClosePrice > _prevPrevCandle.ClosePrice
			&& candle.ClosePrice < _prevCandle.ClosePrice;

		if (_cooldownRemaining == 0 && isLongPattern && Position == 0)
		{
			BuyMarket();
			_entryPrice = candle.ClosePrice;
			_stopDist = candle.ClosePrice * StopPct / 100m;
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (_cooldownRemaining == 0 && isShortPattern && Position == 0)
		{
			SellMarket();
			_entryPrice = candle.ClosePrice;
			_stopDist = candle.ClosePrice * StopPct / 100m;
			_cooldownRemaining = SignalCooldownBars;
		}

		_prevPrevCandle = _prevCandle;
		_prevCandle = candle;
	}
}