Español
Ver en GitHub

Estrategia VWMA Cross

La Media Móvil Ponderada por Volumen (VWMA) enfatiza los niveles de precio con mayor volumen de negociación. Esta estrategia opera los cruces entre el precio y la VWMA.

Las pruebas indican un retorno anual promedio de aproximadamente 184%. Funciona mejor en el mercado de criptomonedas.

Un cierre por encima de la VWMA tras estar por debajo genera una entrada larga, mientras que una caída por debajo de la VWMA genera una operación corta. Las posiciones salen cuando el precio cruza de vuelta en la dirección opuesta.

Usar una media ponderada por volumen reduce el ruido de los períodos de bajo volumen.

Detalles

  • Criterios de entrada: El precio cruza la VWMA desde abajo o desde arriba.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: Cruce inverso o stop.
  • Stops: Sí.
  • Valores predeterminados:
    • VWMAPeriod = 14
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Tendencia
    • Dirección: Ambos
    • Indicadores: VWMA
    • Stops: Sí
    • Complejidad: Básico
    • 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>
/// Trades actual Close crossings of native rolling Close/volume VWMA.
/// The opposite crossing reverses the position; actual-fill percent protection flattens it.
/// </summary>
public class VWMAStrategy : Strategy
{
	private readonly StrategyParam<int> _vwmaPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal? _previousClose;
	private decimal _previousVwma;
	private Order _pendingOrder;

	public int VWMAPeriod { get => _vwmaPeriod.Value; set => _vwmaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }

	public VWMAStrategy()
	{
		_vwmaPeriod = Param(nameof(VWMAPeriod), 14).SetGreaterThanZero()
			.SetDisplay("VWMA Period", "Current-inclusive rolling Close/volume mean length", "Indicators")
			.SetOptimize(5, 30, 5);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_stopLossPercent = Param(nameof(StopLossPercent), 2m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it.", "Protection");
		OrderRegistering += order => _pendingOrder = order;
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		ClearSignalState();
	}

	private void ClearSignalState()
	{
		_previousClose = null;
		_previousVwma = 0m;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ClearSignalState();
		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 vwma = new VolumeWeightedMovingAverage { Length = VWMAPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(vwma, ProcessCandle, false).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, vwma);
			DrawOwnTrades(area);
		}
	}

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished)
			return;
		if (value.IsEmpty || !value.Indicator.IsFormed)
		{
			// A zero-volume window has no mean and cannot connect crossing history across it.
			_previousClose = null;
			return;
		}
		var vwma = value.GetValue<decimal>();
		var upwardCross = _previousClose is decimal up && up <= _previousVwma && candle.ClosePrice > vwma;
		var downwardCross = _previousClose is decimal down && down >= _previousVwma && candle.ClosePrice < vwma;
		// The first formed value only seeds; history continues while an order is pending.
		_previousClose = candle.ClosePrice;
		_previousVwma = vwma;
		if (!IsFormedAndOnlineAndAllowTrading() ||
			_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (upwardCross && Position <= 0m) BuyMarket(this.ReversalVolume());
		else if (downwardCross && Position >= 0m) SellMarket(this.ReversalVolume());
	}
}