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Estrategia de Ruptura de Pendiente OBV

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

Las pruebas indican un rendimiento anual promedio de aproximadamente 154%. 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. LookbackPeriod 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:
    • LookbackPeriod = 20
    • SlopeLength = 5
    • Multiplier = 2m
    • StopLoss = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: OBV
    • 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 OBV slope breakout with EMA direction filter.
/// Opens positions when OBV slope deviates from its recent average and price confirms the direction relative to EMA.
/// </summary>
public class ObvSlopeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _cooldownBars;

	private OnBalanceVolume _obv;
	private ExponentialMovingAverage _ema;
	private decimal _prevObvValue;
	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>
	/// Lookback period for slope statistics calculation.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

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

	/// <summary>
	/// Stop-loss as a percentage of entry price.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Type of candles to use in the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// EMA period for trend confirmation.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.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="ObvSlopeBreakoutStrategy"/>.
	/// </summary>
	public ObvSlopeBreakoutStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for calculating average and standard deviation of OBV slope", "Strategy Parameters")
			.SetOptimize(10, 50, 5);

		_multiplier = Param(nameof(Multiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Std Dev Multiplier", "Multiplier for standard deviation to determine breakout threshold", "Strategy Parameters")
			.SetOptimize(1m, 3m, 0.5m);

		_stopLoss = Param(nameof(StopLoss), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop-loss as a percentage of entry price", "Risk Management");

		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "Period for EMA trend confirmation", "Indicator Parameters");

		_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 in the strategy", "General");
	}

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

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

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

		_obv = new OnBalanceVolume();
		_ema = new ExponentialMovingAverage { Length = EmaPeriod };
		_slopes = new decimal[LookbackPeriod];
		_cooldown = 0;

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

		StartProtection(new(), new Unit(StopLoss, UnitTypes.Percent));

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

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

		if (!_obv.IsFormed || !_ema.IsFormed)
			return;

		if (!_isInitialized)
		{
			_prevObvValue = obvValue;
			_isInitialized = true;
			return;
		}

		_currentSlope = obvValue - _prevObvValue;
		_prevObvValue = obvValue;

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

		if (_filledCount < LookbackPeriod)
			_filledCount++;

		if (_filledCount < LookbackPeriod)
			return;

		CalculateStatistics();

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_stdDevSlope <= 0)
			return;

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

		var upperThreshold = _avgSlope + Multiplier * _stdDevSlope;
		var lowerThreshold = _avgSlope - Multiplier * _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 < lowerThreshold && 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 < LookbackPeriod; i++)
			_avgSlope += _slopes[i];

		_avgSlope /= LookbackPeriod;

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

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