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ATR Reversion

ATR Reversion looks for sudden moves measured in multiples of Average True Range (ATR). When price surges beyond the ATR multiplier, the system expects a mean reversion.

Testing indicates an average annual return of about 133%. It performs best in the crypto market.

The strategy opens a trade opposite the direction of the spike and uses a moving average to judge momentum.

Positions close on a moving-average crossover or when the volatility stop is hit.

Details

  • Entry Criteria: Price move exceeds AtrMultiplier times ATR.
  • Long/Short: Both directions.
  • Exit Criteria: Price crosses moving average or stop.
  • Stops: Yes.
  • Default Values:
    • AtrPeriod = 14
    • AtrMultiplier = 2.0m
    • MAPeriod = 20
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: ATR, MA
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • 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 sudden price movements measured in ATR units.
/// It enters positions when price makes a significant move in one direction (N * ATR)
/// and expects a reversion to the mean.
/// </summary>
public class AtrReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevClose;
	private decimal _prevMean;
	private bool _hasPrevious;
	private Order _pendingOrder;

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

	/// <summary>
	/// ATR multiplier for entry signal.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// Period for Moving Average calculation for exit.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

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

	/// <summary>
	/// Initialize the ATR Reversion strategy.
	/// </summary>
	public AtrReversionStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators")
			.SetOptimize(7, 21, 7);

		_atrMultiplier = Param(nameof(AtrMultiplier), 2.0m).SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR multiplier for entry signal", "Entry")
			.SetOptimize(1.5m, 3.0m, 0.5m);

		_maPeriod = Param(nameof(MAPeriod), 20).SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for MA calculation for exit", "Indicators")
			.SetOptimize(10, 50, 5);

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

		_stopLossPercent = Param(nameof(StopLossPercent), 2m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it.", "Protection");
		OrderRegistering += order => _pendingOrder = order;
	}

	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = default;
		_prevMean = default;
		_hasPrevious = false;
		_pendingOrder = null;
	}

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

		var atr = new AverageTrueRange { Length = AtrPeriod };
		var sma = new SimpleMovingAverage { Length = MAPeriod };
		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);
		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();
		}

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(atr, sma, ProcessCandle, false)
			.Start();

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// Native protection runs before the callback, including between finished candles.
	}

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

		if (!atrValue.IsFormed || !smaValue.IsFormed || !IsFormedAndOnlineAndAllowTrading())
			return;

		var atr = atrValue.GetValue<decimal>();
		var mean = smaValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		if (!_hasPrevious)
		{
			_hasPrevious = true;
			_prevClose = close;
			_prevMean = mean;
			return;
		}

		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
		{
			_prevClose = close;
			_prevMean = mean;
			return;
		}

		// A current level is not a crossing: compare each close against its own SMA.
		if (Position > 0m && _prevClose <= _prevMean && close > mean)
			SellMarket(Position);
		else if (Position < 0m && _prevClose >= _prevMean && close < mean)
			BuyMarket(Math.Abs(Position));
		else if (Position == 0m && atr > 0m && close - _prevClose < -AtrMultiplier * atr)
			BuyMarket(Volume);
		else if (Position == 0m && atr > 0m && close - _prevClose > AtrMultiplier * atr)
			SellMarket(Volume);
		_prevClose = close;
		_prevMean = mean;
	}
}