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Historical Volatility Ratio Strategy

Strategy based on the Historical Volatility Ratio (HVR). It compares short-term volatility over 6 bars to long-term volatility over 100 bars using log returns. When the ratio rises above the threshold, the system goes long expecting volatility expansion. When it falls below the threshold, the system goes short.

Details

  • Entry Criteria:
    • Long: HVR > RatioThreshold
    • Short: HVR < RatioThreshold
  • Long/Short: Both
  • Exit Criteria: Opposite signal
  • Stops: No
  • Default Values:
    • ShortPeriod = 6
    • LongPeriod = 100
    • RatioThreshold = 1.0
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • Filters:
    • Category: Volatility
    • Direction: Both
    • Indicators: Historical volatility (short and long)
    • Stops: No
    • Complexity: Intermediate
    • 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 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();
		}
	}
}