Español ES
Ver en GitHub

Estrategia MA Volume

MA Volume combina un filtro de tendencia de media móvil con aumentos de volumen para sincronizar las entradas. El volumen creciente junto con el precio por encima de la media señala una acumulación fuerte; el volumen decreciente por debajo de la media indica distribución.

Las pruebas indican un rendimiento anual promedio de aproximadamente 136%. Funciona mejor en el mercado de acciones.

La estrategia opera en la dirección de la media móvil cuando el volumen se expande, saliendo una vez que el volumen se agota o la media se revierte.

Un stop porcentual protege contra cambios repentinos en la tendencia.

Detalles

  • Criterios de entrada: señal de indicador
  • Largo/Corto: Ambos
  • Criterios de salida: stop-loss o señal opuesta
  • Stops: Sí, basado en porcentaje
  • Valores predeterminados:
    • CandleType = 15 minute
    • StopLoss = 2%
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Ambos
    • Indicadores: Moving Average, Volume
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>
/// Strategy that combines moving average and volume indicators.
/// Buys on MA crossover with volume confirmation, sells on reverse crossover.
/// </summary>
public class MaVolumeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _volumeThreshold;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevClose;
	private decimal _prevSma;
	private bool _hasPrev;
	private decimal _prevVolume;
	private int _cooldown;

	/// <summary>
	/// Data type for candles.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Period for moving average calculation.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Volume threshold multiplier for volume confirmation.
	/// </summary>
	public decimal VolumeThreshold
	{
		get => _volumeThreshold.Value;
		set => _volumeThreshold.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="MaVolumeStrategy"/>.
	/// </summary>
	public MaVolumeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetDisplay("MA Period", "Period for moving average calculation", "MA Settings");

		_volumeThreshold = Param(nameof(VolumeThreshold), 1.2m)
			.SetDisplay("Volume Threshold", "Volume threshold multiplier", "Volume Settings");

		_cooldownBars = Param(nameof(CooldownBars), 150)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = 0;
		_prevSma = 0;
		_hasPrev = false;
		_prevVolume = 0;
		_cooldown = 0;
	}

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

		var volumeSma = new SimpleMovingAverage { Length = 20 };
		var priceSma = new SimpleMovingAverage { Length = MaPeriod };

		var subscription = SubscribeCandles(CandleType);

		// Use volumeSma to track volume average via separate bind
		subscription.Bind(priceSma, OnProcess);
		subscription
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, priceSma);
			DrawOwnTrades(area);
		}
	}

	private void OnProcess(ICandleMessage candle, decimal smaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var vol = candle.TotalVolume;

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevClose = close;
			_prevSma = smaValue;
			_prevVolume = vol;
			_hasPrev = true;
			return;
		}

		// Volume confirmation: current volume is above threshold * previous volume
		var volumeOk = _prevVolume > 0 && vol > _prevVolume * VolumeThreshold;

		if (_hasPrev)
		{
			// Price crosses above MA with volume - buy
			if (_prevClose <= _prevSma && close > smaValue && volumeOk && Position == 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			// Price crosses below MA with volume - sell
			else if (_prevClose >= _prevSma && close < smaValue && volumeOk && Position == 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			// Exit long on MA cross down
			else if (_prevClose >= _prevSma && close < smaValue && Position > 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			// Exit short on MA cross up
			else if (_prevClose <= _prevSma && close > smaValue && Position < 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}

		_prevClose = close;
		_prevSma = smaValue;
		_prevVolume = vol;
		_hasPrev = true;
	}
}