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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.
/// It opens positions when price touches or breaks through the upper or lower Keltner Channel bands
/// and exits when price reverts to the middle band (EMA).
/// </summary>
public class KeltnerReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<decimal> _stopLossAtrMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private int _cooldown;

	/// <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>
	/// 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>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "Period for ATR calculation (middle band)", "Technical Parameters")
			
			.SetOptimize(7, 21, 7);

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

		_stopLossAtrMultiplier = Param(nameof(StopLossAtrMultiplier), 2.0m)
			.SetDisplay("ATR Multiplier (Stop Loss)", "ATR multiplier for stop-loss calculation", "Risk Management")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "Technical Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

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

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

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

		_cooldown = 0;

		// Create indicators
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

	/// <summary>
	/// Process candle and check for Keltner Channel signals
	/// </summary>
	private void ProcessCandle(ICandleMessage candle, decimal emaValue, decimal atrValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Calculate Keltner Channel bands
		decimal upperBand = emaValue + (atrValue * AtrMultiplier);
		decimal lowerBand = emaValue - (atrValue * AtrMultiplier);

		if (Position == 0)
		{
			if (candle.ClosePrice < lowerBand)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (candle.ClosePrice > upperBand)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0)
		{
			if (candle.ClosePrice > emaValue)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			if (candle.ClosePrice < emaValue)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}
	}
}