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Keltner Reversion

Strategy that trades on mean reversion using Keltner Channels

Testing indicates an average annual return of about 130%. It performs best in the stocks market.

Keltner Reversion fades pushes outside the Keltner Channel. Entries bet on a return toward the middle band, closing trades once price re-enters the channel or the stop is hit.

The channel width expands and contracts with volatility, allowing the system to catch extreme moves while giving trades room to develop. Stops are typically based on ATR multiples.

Details

  • Entry Criteria: Signals based on RSI, ATR, Keltner.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal or stop.
  • Stops: Yes.
  • Default Values:
    • EmaPeriod = 20
    • AtrPeriod = 14
    • AtrMultiplier = 2.0m
    • StopLossAtrMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: RSI, ATR, Keltner
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday (5m)
    • 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 that trades on mean reversion using Keltner Channels.
/// Enters against outside closes confirmed by RSI, exits on return inside, protects actual fills with frozen ATR.
/// </summary>
public class KeltnerReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _stopLossAtrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private Order _pendingOrder;
	private Unit _stopDistance;
	private bool _protectionStarted;

	/// <summary>
	/// Period for EMA calculation (middle band) (default: 20)
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Period for ATR calculation (default: 14)
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for Keltner Channel width (default: 2.0)
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// Period of the RSI confirming entries (default: 14)
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	/// <summary>
	/// RSI level below which a long entry is confirmed (default: 30)
	/// </summary>
	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	/// <summary>
	/// RSI level above which a short entry is confirmed (default: 70)
	/// </summary>
	public decimal RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop-loss calculation (default: 2.0)
	/// </summary>
	public decimal StopLossAtrMultiplier
	{
		get => _stopLossAtrMultiplier.Value;
		set => _stopLossAtrMultiplier.Value = value;
	}

	/// <summary>
	/// Type of candles used for strategy calculation
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize the Keltner Reversion strategy
	/// </summary>
	public KeltnerReversionStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20).SetGreaterThanZero()
			.SetDisplay("EMA Period", "Period for EMA calculation (middle band)", "Technical Parameters")
			
			.SetOptimize(10, 50, 5);

		_atrPeriod = Param(nameof(AtrPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ATR Period", "Wilder ATR lookback for channel width and protection", "Technical Parameters")
			
			.SetOptimize(7, 21, 7);

		_atrMultiplier = Param(nameof(AtrMultiplier), 2.0m).SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR multiplier for Keltner Channel width", "Technical Parameters")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_rsiPeriod = Param(nameof(RsiPeriod), 14).SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period of the RSI confirming entries", "Technical Parameters")
			.SetOptimize(7, 21, 7);

		_rsiOversold = Param(nameof(RsiOversold), 30m).SetRange(0m, 100m)
			.SetDisplay("RSI Oversold", "Long entries below the lower band require RSI below this level", "Technical Parameters");

		_rsiOverbought = Param(nameof(RsiOverbought), 70m).SetRange(0m, 100m)
			.SetDisplay("RSI Overbought", "Short entries above the upper band require RSI above this level", "Technical Parameters");

		_stopLossAtrMultiplier = Param(nameof(StopLossAtrMultiplier), 2.0m).SetNotNegative()
			.SetDisplay("ATR Multiplier (Stop Loss)", "Frozen entry ATR stop distance; zero disables protection", "Risk Management")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

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

		OrderRegistering += order => _pendingOrder = order;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, DataType.Level1)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_pendingOrder = null;
		_stopDistance = null;
		_protectionStarted = false;
	}

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

		// Create indicators
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(ema, atr, rsi, ProcessCandle, false)
			.Start();

		// Configure chart
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema);
			DrawIndicator(area, atr);
			DrawIndicator(area, rsi);
			DrawOwnTrades(area);
		}
	}

	/// <summary>
	/// Process candle and check for Keltner Channel signals
	/// </summary>
	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// Native protection runs before the callback, including between finished candles.
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue emaValue, IIndicatorValue atrValue, IIndicatorValue rsiValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!emaValue.IsFormed || !atrValue.IsFormed || !rsiValue.IsFormed || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;

		var ema = emaValue.GetValue<decimal>();
		var atr = atrValue.GetValue<decimal>();
		var rsi = rsiValue.GetValue<decimal>();
		var upperBand = ema + atr * AtrMultiplier;
		var lowerBand = ema - atr * AtrMultiplier;
		if (Position > 0m && candle.ClosePrice >= lowerBand)
			SellMarket(Position);
		else if (Position < 0m && candle.ClosePrice <= upperBand)
			BuyMarket(Math.Abs(Position));
		else if (Position == 0m && candle.ClosePrice < lowerBand && rsi < RsiOversold)
			Enter(Sides.Buy, atr);
		else if (Position == 0m && candle.ClosePrice > upperBand && rsi > RsiOverbought)
			Enter(Sides.Sell, atr);
	}

	private void Enter(Sides side, decimal atr)
	{
		var distance = atr * StopLossAtrMultiplier;
		_stopDistance ??= new Unit(distance);
		// Update the same Unit retained by native cached controllers between flat entries.
		_stopDistance.Value = distance;
		if (!_protectionStarted && distance > 0m)
		{
			StartProtection(new Unit(), _stopDistance, useMarketOrders: true, isLocalStop: true);
			_protectionStarted = true;
		}
		RegisterOrder(new Order
		{
			Security = Security,
			Portfolio = Portfolio,
			Type = OrderTypes.Market,
			Side = side,
			Volume = Volume,
			Comment = "Keltner reversion entry",
		});
	}
}