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HVR-Strategie (Historisches Volatilitätsverhältnis)

Strategie basierend auf dem Historical Volatility Ratio (HVR). Sie vergleicht die kurzfristige Volatilität über 6 Bars mit der langfristigen Volatilität über 100 Bars anhand von logarithmischen Renditen. Wenn das Verhältnis über den Schwellenwert steigt, geht das System long und erwartet eine Volatilitätsausweitung. Wenn es unter den Schwellenwert fällt, geht das System short.

Details

  • Einstiegskriterien:
    • Long: HVR > RatioThreshold
    • Short: HVR < RatioThreshold
  • Long/Short: Beide
  • Ausstiegskriterien: Entgegengesetztes Signal
  • Stops: Nein
  • Standardwerte:
    • ShortPeriod = 6
    • LongPeriod = 100
    • RatioThreshold = 1.0
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • Filter:
    • Kategorie: Volatilität
    • Richtung: Beide
    • Indikatoren: Historische Volatilität (kurz und lang)
    • Stops: Nein
    • Komplexität: Mittel
    • 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>
/// Strategy based on the Historical Volatility Ratio (HVR).
/// Compares short-term volatility against long-term volatility.
/// Buys when short-term vol exceeds long-term, sells when below.
/// </summary>
public class HvrStrategy : Strategy
{
	private readonly StrategyParam<int> _shortPeriod;
	private readonly StrategyParam<int> _longPeriod;
	private readonly StrategyParam<decimal> _ratioThreshold;
	private readonly StrategyParam<DataType> _candleType;

	private StandardDeviation _shortSd;
	private StandardDeviation _longSd;
	private decimal? _prevClose;

	public int ShortPeriod { get => _shortPeriod.Value; set => _shortPeriod.Value = value; }
	public int LongPeriod { get => _longPeriod.Value; set => _longPeriod.Value = value; }
	public decimal RatioThreshold { get => _ratioThreshold.Value; set => _ratioThreshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public HvrStrategy()
	{
		_shortPeriod = Param(nameof(ShortPeriod), 6)
			.SetGreaterThanZero()
			.SetDisplay("Short HV Period", "Bars for short-term volatility", "Parameters");

		_longPeriod = Param(nameof(LongPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("Long HV Period", "Bars for long-term volatility", "Parameters");

		_ratioThreshold = Param(nameof(RatioThreshold), 1m)
			.SetDisplay("Ratio Threshold", "HVR level for trade direction", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for calculation", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_shortSd = default;
		_longSd = default;
		_prevClose = default;
	}

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

		_prevClose = null;
		_shortSd = new StandardDeviation { Length = ShortPeriod };
		_longSd = new StandardDeviation { Length = LongPeriod };

		Indicators.Add(_shortSd);
		Indicators.Add(_longSd);

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

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

		if (_prevClose is not decimal prevClose || prevClose <= 0)
		{
			_prevClose = candle.ClosePrice;
			return;
		}

		var logReturn = (decimal)Math.Log((double)(candle.ClosePrice / prevClose));
		_prevClose = candle.ClosePrice;

		var shortResult = _shortSd.Process(logReturn, candle.OpenTime, true);
		var longResult = _longSd.Process(logReturn, candle.OpenTime, true);

		if (!shortResult.IsFormed || !longResult.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var shortVal = shortResult.ToDecimal();
		var longVal = longResult.ToDecimal();

		if (longVal == 0)
			return;

		var ratio = shortVal / longVal;

		if (ratio > RatioThreshold && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (ratio < RatioThreshold && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
	}
}