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MA Volume Strategy

MA Volume combines a moving average trend filter with volume surges to time entries. Rising volume alongside price above the average signals strong accumulation; falling volume below the average indicates distribution.

Testing indicates an average annual return of about 136%. It performs best in the stocks market.

The strategy trades in the direction of the moving average when volume expands, exiting once volume dries up or the average reverses.

A percent stop protects against sudden shifts in trend.

Details

  • Entry Criteria: indicator signal
  • Long/Short: Both
  • Exit Criteria: stop-loss or opposite signal
  • Stops: Yes, percent based
  • Default Values:
    • CandleType = 15 minute
    • StopLossPercent = 2
    • MaPeriod = 20
    • VolumePeriod = 20
    • VolumeThreshold = 1.2 Volume expands when a candle's volume exceeds VolumeThreshold times the average of the previous VolumePeriod candles. While flat, an expanding candle closing above a rising SMA goes long and one closing below a falling SMA goes short. The position closes when volume falls below its average or the SMA turns against it.
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Moving Average, Volume
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// MA Volume strategy.
/// Volume expands when a candle's volume exceeds VolumeThreshold times the average of the previous VolumePeriod candles.
/// While flat, an expanding candle that closes above a rising MaPeriod SMA goes long and one that closes below a falling SMA goes short.
/// The position closes once volume dries up below its average or the SMA turns against it, and a percent stop limits the loss.
/// </summary>
public class MaVolumeStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _volumePeriod;
	private readonly StrategyParam<decimal> _volumeThreshold;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _volumes = [];
	private decimal? _prevMa;

	/// <summary>
	/// Period of the trend SMA.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

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

	/// <summary>
	/// How many times the average volume an expanding candle must exceed.
	/// </summary>
	public decimal VolumeThreshold
	{
		get => _volumeThreshold.Value;
		set => _volumeThreshold.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public MaVolumeStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period of the trend SMA", "Indicators");

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

		_volumeThreshold = Param(nameof(VolumeThreshold), 1.2m)
			.SetGreaterThanZero()
			.SetDisplay("Volume Threshold", "How many times the average volume an expanding candle must exceed", "Indicators");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();
		_prevMa = null;
	}

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

		_volumes.Clear();
		_prevMa = null;

		var sma = new SimpleMovingAverage { Length = MaPeriod };

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

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		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 area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, sma);
			DrawOwnTrades(area);
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		// Expansion is measured against 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);

		if (!smaValue.IsFormed)
			return;

		var ma = smaValue.GetValue<decimal>();
		var prevMa = _prevMa;
		_prevMa = ma;

		if (average is not decimal avgVolume || prevMa is not decimal lastMa)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var volume = candle.TotalVolume;

		if (Position > 0)
		{
			if (volume < avgVolume || ma < lastMa)
				SellMarket(Position);
		}
		else if (Position < 0)
		{
			if (volume < avgVolume || ma > lastMa)
				BuyMarket(-Position);
		}
		else if (volume > avgVolume * VolumeThreshold)
		{
			if (close > ma && ma > lastMa)
				BuyMarket(Volume);
			else if (close < ma && ma < lastMa)
				SellMarket(Volume);
		}
	}
}