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Estrategia de Ruptura de Pendiente de Volumen

La estrategia de Ruptura de Pendiente de Volumen rastrea la tasa de cambio del Volumen. Una pendiente inusualmente pronunciada sugiere que se está formando una nueva tendencia.

Las pruebas indican un rendimiento anual promedio de aproximadamente 151%. Funciona mejor en el mercado de acciones.

Las entradas ocurren cuando la pendiente supera su nivel típico en un múltiplo de la desviación estándar, tomando operaciones en la dirección de la aceleración con un stop protector.

Atrae a los traders activos que buscan una exposición temprana a la tendencia. Las posiciones se cierran cuando la pendiente regresa a lecturas normales. VolumeSMAPeriod predeterminado = 20.

Detalles

  • Criterios de entrada: El indicador supera la media por el multiplicador de desviación.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: El indicador revierte a la media.
  • Stops: Sí.
  • Valores predeterminados:
    • VolumeSMAPeriod = 20
    • SlopePeriod = 20
    • BreakoutMultiplier = 2.0m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: Volumen
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Corto plazo
    • 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>
/// Strategy based on volume slope breakout with EMA direction filter.
/// Opens positions when candle volume slope deviates from its recent average and price confirms the direction relative to EMA.
/// </summary>
public class VolumeSlopeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _slopePeriod;
	private readonly StrategyParam<decimal> _breakoutMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ema;
	private decimal _prevVolume;
	private decimal _currentSlope;
	private decimal _avgSlope;
	private decimal _stdDevSlope;
	private decimal[] _slopes;
	private int _currentIndex;
	private int _filledCount;
	private int _cooldown;
	private bool _isInitialized;

	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Lookback period for slope statistics calculation.
	/// </summary>
	public int SlopePeriod
	{
		get => _slopePeriod.Value;
		set => _slopePeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for breakout detection.
	/// </summary>
	public decimal BreakoutMultiplier
	{
		get => _breakoutMultiplier.Value;
		set => _breakoutMultiplier.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

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

	/// <summary>
	/// Initializes a new instance of <see cref="VolumeSlopeBreakoutStrategy"/>.
	/// </summary>
	public VolumeSlopeBreakoutStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "Period for EMA direction filter", "Indicator Parameters");

		_slopePeriod = Param(nameof(SlopePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slope Period", "Period for slope statistics calculation", "Strategy Parameters");

		_breakoutMultiplier = Param(nameof(BreakoutMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Breakout Multiplier", "Standard deviation multiplier for breakout detection", "Strategy Parameters");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 1200)
			.SetRange(1, 5000)
			.SetDisplay("Cooldown Bars", "Bars to wait between orders", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_ema = null;
		_prevVolume = default;
		_currentSlope = default;
		_avgSlope = default;
		_stdDevSlope = default;
		_currentIndex = default;
		_filledCount = default;
		_cooldown = default;
		_isInitialized = default;
		_slopes = new decimal[SlopePeriod];
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaPeriod };
		_slopes = new decimal[SlopePeriod];
		_cooldown = 0;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ema, ProcessCandle)
			.Start();

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

		StartProtection(new(), new Unit(StopLossPercent, UnitTypes.Percent));
	}

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

		if (!_ema.IsFormed)
			return;

		var volume = candle.TotalVolume;

		if (!_isInitialized)
		{
			_prevVolume = volume;
			_isInitialized = true;
			return;
		}

		_currentSlope = volume - _prevVolume;
		_prevVolume = volume;

		_slopes[_currentIndex] = _currentSlope;
		_currentIndex = (_currentIndex + 1) % SlopePeriod;

		if (_filledCount < SlopePeriod)
			_filledCount++;

		if (_filledCount < SlopePeriod)
			return;

		CalculateStatistics();

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_stdDevSlope <= 0)
			return;

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

		var upperThreshold = _avgSlope + BreakoutMultiplier * _stdDevSlope;
		var closePrice = candle.ClosePrice;
		var priceAboveEma = closePrice > emaValue;
		var priceBelowEma = closePrice < emaValue;

		if (Position == 0)
		{
			if (_currentSlope > upperThreshold && priceAboveEma)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (_currentSlope > upperThreshold && priceBelowEma)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0)
		{
			if (_currentSlope <= _avgSlope || priceBelowEma)
			{
				SellMarket(Math.Abs(Position));
				_cooldown = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			if (_currentSlope <= _avgSlope || priceAboveEma)
			{
				BuyMarket(Math.Abs(Position));
				_cooldown = CooldownBars;
			}
		}
	}

	private void CalculateStatistics()
	{
		_avgSlope = 0;
		var sumSquaredDiffs = 0m;

		for (var i = 0; i < SlopePeriod; i++)
			_avgSlope += _slopes[i];

		_avgSlope /= SlopePeriod;

		for (var i = 0; i < SlopePeriod; i++)
		{
			var diff = _slopes[i] - _avgSlope;
			sumSquaredDiffs += diff * diff;
		}

		_stdDevSlope = (decimal)Math.Sqrt((double)(sumSquaredDiffs / SlopePeriod));
	}
}