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Estrategia ATR Trailing Stops

ATR Trailing usa un múltiplo del average true range para arrastrar stops detrás de las posiciones abiertas. Las entradas ocurren cuando el precio cruza una media móvil, y el stop de seguimiento se ajusta con la volatilidad.

Las pruebas indican un rendimiento anual promedio de aproximadamente 157%. Funciona mejor en el mercado de criptomonedas.

A medida que el precio avanza, el stop se desplaza hacia arriba (o hacia abajo) basándose en la última lectura de ATR, sin retroceder nunca. Esto bloquea las ganancias mientras persiste la tendencia.

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

Detalles

  • Criterios de entrada: Precio por encima o por debajo de la MA.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: Stop de seguimiento activado o precio cruza la MA.
  • Stops: Sí.
  • Valores predeterminados:
    • AtrPeriod = 14
    • AtrMultiplier = 3.0m
    • MAPeriod = 20
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Tendencia
    • Dirección: Ambos
    • Indicadores: ATR, 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>
/// Enters on price/SMA crossings; a crossing against the open position closes it and opens the crossing side.
/// A fill-anchored, finished-close/current-ATR ratchet exits at market on fresh executable quotes.
/// </summary>
public class AtrTrailingStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousClose;
	private decimal _previousMean;
	private decimal? _trailingStopLevel;
	private decimal _entryDistance;
	private decimal _entryVolume;
	private decimal _entryValue;
	private Sides _entrySide;
	private Order _pendingOrder;

	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public int MAPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AtrTrailingStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators")
			.SetOptimize(7, 21, 7);
		_atrMultiplier = Param(nameof(AtrMultiplier), 3m).SetNotNegative()
			.SetDisplay("ATR Multiplier", "ATR multiplier for trailing stop; zero disables it", "Risk")
			.SetOptimize(2m, 4m, 0.5m);
		_maPeriod = Param(nameof(MAPeriod), 20).SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for Moving Average calculation for entry", "Indicators")
			.SetOptimize(10, 50, 5);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		OrderRegistering += order => _pendingOrder = order;
		Trades.TradeAdded += ObserveActualFill;
	}

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

	private bool HasPendingOrder => _pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed);

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousClose = null;
		_previousMean = default;
		_trailingStopLevel = null;
		_entryDistance = _entryVolume = _entryValue = default;
		_entrySide = default;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_previousClose = null;
		_trailingStopLevel = null;
		_entryVolume = _entryValue = 0m;
		_pendingOrder = null;
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ProcessQuote).Start();
		}
		var atr = new AverageTrueRange { Length = AtrPeriod };
		var sma = new SimpleMovingAverage { Length = MAPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(atr, sma, ProcessCandle, false).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, sma);
			DrawOwnTrades(area);
		}
	}

	private void Ratchet(decimal candidate)
	{
		_trailingStopLevel = _trailingStopLevel is decimal previous
			? (_entrySide == Sides.Buy ? Math.Max(previous, candidate) : Math.Min(previous, candidate))
			: candidate;
	}

	private void ObserveActualFill(MyTrade trade)
	{
		if (Position == 0m)
		{
			_trailingStopLevel = null;
			_entryVolume = _entryValue = 0m;
		}
		else if (trade.Order.Side == _entrySide && AtrMultiplier > 0m)
		{
			_entryVolume += trade.Trade.Volume;
			_entryValue += trade.Trade.Price * trade.Trade.Volume;
			var actualEntry = _entryValue / _entryVolume;
			Ratchet(_entrySide == Sides.Buy ? actualEntry - _entryDistance : actualEntry + _entryDistance);
		}
	}

	private void ProcessQuote(Level1ChangeMessage quote)
	{
		if (AtrMultiplier == 0m || Position == 0m || _trailingStopLevel is not decimal stop
			|| HasPendingOrder || !IsFormedAndOnlineAndAllowTrading())
			return;
		// Only a fresh executable-side price can activate; never reuse another side's stale quote.
		var field = Position > 0m ? Level1Fields.BestBidPrice : Level1Fields.BestAskPrice;
		if (!quote.Changes.TryGetValue(field, out var raw) || raw is not decimal price || price <= 0m)
			return;
		if (Position > 0m ? price <= stop : price >= stop)
			ClosePosition("ATR trailing stop");
	}

	private void ClosePosition(string comment)
	{
		RegisterOrder(new Order
		{
			Security = Security, Portfolio = Portfolio, Type = OrderTypes.Market,
			Side = Position > 0m ? Sides.Sell : Sides.Buy,
			Volume = Math.Abs(Position), Comment = comment,
		});
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue atrValue, IIndicatorValue smaValue)
	{
		if (candle.State != CandleStates.Finished || !atrValue.Indicator.IsFormed || !smaValue.Indicator.IsFormed
			|| !IsFormedAndOnlineAndAllowTrading())
			return;
		var atr = atrValue.GetValue<decimal>();
		var mean = smaValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		var downwardCross = _previousClose is decimal prevDown && prevDown >= _previousMean && close < mean;
		var upwardCross = _previousClose is decimal prevUp && prevUp <= _previousMean && close > mean;
		_previousClose = close;
		_previousMean = mean;
		// While a reversal is unfilled the old side is still held; its close must not seed the new side's stop.
		if (Position != 0m && (Position > 0m) == (_entrySide == Sides.Buy) && AtrMultiplier > 0m)
			Ratchet(Position > 0m ? close - atr * AtrMultiplier : close + atr * AtrMultiplier);
		if (HasPendingOrder)
			return;
		if (upwardCross || downwardCross)
		{
			var side = upwardCross ? Sides.Buy : Sides.Sell;
			// A crossing against the open position closes it and opens the crossing side in one order.
			if (Position == 0m || (Position > 0m) != (side == Sides.Buy))
			{
				_entrySide = side;
				_entryDistance = atr * AtrMultiplier;
				_entryVolume = _entryValue = 0m;
				_trailingStopLevel = null;
				RegisterOrder(new Order
				{
					Security = Security, Portfolio = Portfolio, Type = OrderTypes.Market,
					Side = side, Volume = Volume + Math.Abs(Position), Comment = "ATR trailing entry",
				});
			}
		}
		// A newly tightened level is eligible only for subsequent quote updates, not this bar's old wick.
	}
}