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Estrategia Historical Volatility Breakout

Este método de rompimiento usa la volatilidad histórica para establecer umbrales dinámicos. Cuando el precio se mueve más allá de un nivel de referencia por más de la volatilidad actual, indica una tendencia potencial.

Las pruebas indican un rendimiento anual promedio de aproximadamente 154%. Funciona mejor en el mercado de acciones.

La estrategia compara el precio con niveles derivados de la desviación estándar y una media móvil simple. Los rompimientos por encima o por debajo de esos niveles activan operaciones.

Las salidas ocurren cuando el precio cruza de vuelta a través de la media móvil o el stop se activa.

Detalles

  • Criterios de entrada: El precio rompe por encima o por debajo del nivel basado en HV.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: El precio cruza la MA o stop.
  • Stops: Sí.
  • Valores predeterminados:
    • HvPeriod = 20
    • MAPeriod = 20
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: HV, MA
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// Breakouts beyond SMA-anchored levels widened by relative population price dispersion (StdDev / Close).
/// Exits on an adverse price/SMA crossing or native actual-fill percent protection.
/// </summary>
public class HvBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _hvPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousClose;
	private decimal _previousMean;
	private Order _pendingOrder;

	public int HvPeriod { get => _hvPeriod.Value; set => _hvPeriod.Value = value; }
	public int MAPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public HvBreakoutStrategy()
	{
		_hvPeriod = Param(nameof(HvPeriod), 20).SetGreaterThanZero()
			.SetDisplay("HV Period", "Period for Historical Volatility calculation", "Indicators")
			.SetOptimize(10, 30, 5);
		_maPeriod = Param(nameof(MAPeriod), 20).SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for the Moving Average that anchors the breakout levels and exits", "Indicators")
			.SetOptimize(10, 50, 5);
		_stopLossPercent = Param(nameof(StopLossPercent), 2m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it.", "Protection");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		OrderRegistering += order => _pendingOrder = order;
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousClose = null;
		_previousMean = default;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_previousClose = null;
		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 deviation = new StandardDeviation { Length = HvPeriod };
		var sma = new SimpleMovingAverage { Length = MAPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(deviation, sma, ProcessCandle, false).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, deviation);
			DrawIndicator(area, sma);
			DrawOwnTrades(area);
		}
	}

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue deviationValue, IIndicatorValue smaValue)
	{
		if (candle.State != CandleStates.Finished || !deviationValue.Indicator.IsFormed || !smaValue.Indicator.IsFormed
			|| !IsFormedAndOnlineAndAllowTrading() || candle.ClosePrice <= 0m)
			return;
		var close = candle.ClosePrice;
		var mean = smaValue.GetValue<decimal>();
		if (_previousClose is not decimal prior)
		{
			_previousClose = close;
			_previousMean = mean;
			return;
		}
		var upwardCross = prior <= _previousMean && close > mean;
		var downwardCross = prior >= _previousMean && close < mean;
		_previousClose = close;
		_previousMean = mean;
		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (Position > 0m && downwardCross)
			SellMarket(Position);
		else if (Position < 0m && upwardCross)
			BuyMarket(Math.Abs(Position));
		else if (Position == 0m)
		{
			// HV is the relative price dispersion StdDev / Close.
			var relativeDeviation = deviationValue.GetValue<decimal>() / close;
			if (close > mean * (1m + relativeDeviation))
				BuyMarket(Volume);
			else if (close < mean * (1m - relativeDeviation))
				SellMarket(Volume);
		}
	}
}