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Estrategia de Volumen por Sesión

Estrategia simplificada derivada del indicador de TradingView "Volume by Session". El día de trading se divide en cuatro sesiones, cada una con su propio volumen promedio. Cuando el volumen actual dentro de una sesión se desvía de su media, la estrategia entra en operaciones en consecuencia.

Detalles

  • Entrada: El volumen de la sesión actual por encima o por debajo de su media móvil.
  • Salida: La señal contraria cierra la posición existente.
  • Largo/Corto: Ambos.
  • Indicadores: SMA.
  • Marco temporal: Intradía.

Esta es una traducción educativa mínima; la visualización y la configuración extensa del script original están omitidas.

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Volume by session strategy.
/// Tracks average volume and trades on volume deviations with price confirmation.
/// Buys when volume spikes above average and price is rising, sells when opposite.
/// </summary>
public class VolumeBySessionStrategy : Strategy
{
	private readonly StrategyParam<int> _volAvgLength;
	private readonly StrategyParam<decimal> _volMult;
	private readonly StrategyParam<decimal> _stopPct;
	private readonly StrategyParam<decimal> _tpPct;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _signalCooldownBars;

	private readonly List<decimal> _volumes = new();
	private decimal _volumeSum;
	private decimal _entryPrice;
	private decimal _stopDist;
	private decimal? _prevHigh;
	private decimal? _prevLow;
	private int _cooldownRemaining;

	public int VolAvgLength { get => _volAvgLength.Value; set => _volAvgLength.Value = value; }
	public decimal VolMult { get => _volMult.Value; set => _volMult.Value = value; }
	public decimal StopPct { get => _stopPct.Value; set => _stopPct.Value = value; }
	public decimal TpPct { get => _tpPct.Value; set => _tpPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }

	public VolumeBySessionStrategy()
	{
		_volAvgLength = Param(nameof(VolAvgLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Vol Avg Length", "Volume average period", "Parameters");

		_volMult = Param(nameof(VolMult), 2.25m)
			.SetGreaterThanZero()
			.SetDisplay("Vol Multiplier", "Volume spike multiplier", "Parameters");

		_stopPct = Param(nameof(StopPct), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Stop %", "Stop loss percent", "Risk");

		_tpPct = Param(nameof(TpPct), 1m)
			.SetGreaterThanZero()
			.SetDisplay("TP %", "Take profit percent", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 12)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between new entries", "Trading");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_volumes.Clear();
		_volumeSum = 0m;
		_entryPrice = 0;
		_stopDist = 0;
		_prevHigh = null;
		_prevLow = null;
		_cooldownRemaining = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_volumes.Clear();
		_volumeSum = 0m;
		_entryPrice = 0;
		_stopDist = 0;
		_prevHigh = null;
		_prevLow = null;
		_cooldownRemaining = 0;

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

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

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

		var vol = candle.TotalVolume;
		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		// TP/SL
		if (Position > 0 && _entryPrice > 0 && _stopDist > 0)
		{
			if (candle.ClosePrice <= _entryPrice - _stopDist || candle.ClosePrice >= _entryPrice + _stopDist * (TpPct / StopPct))
			{
				SellMarket(Position);
				_entryPrice = 0;
				_stopDist = 0;
				_cooldownRemaining = SignalCooldownBars;
			}
		}
		else if (Position < 0 && _entryPrice > 0 && _stopDist > 0)
		{
			if (candle.ClosePrice >= _entryPrice + _stopDist || candle.ClosePrice <= _entryPrice - _stopDist * (TpPct / StopPct))
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = 0;
				_stopDist = 0;
				_cooldownRemaining = SignalCooldownBars;
			}
		}

		if (_volumes.Count >= VolAvgLength && _prevHigh.HasValue && _prevLow.HasValue && _cooldownRemaining == 0 && Position == 0)
		{
			var avgVol = _volumeSum / _volumes.Count;
			var highVol = vol >= avgVol * VolMult;
			var bullishBreakout = candle.ClosePrice > _prevHigh.Value && candle.ClosePrice > candle.OpenPrice;
			var bearishBreakout = candle.ClosePrice < _prevLow.Value && candle.ClosePrice < candle.OpenPrice;
			var minBody = Math.Max(candle.ClosePrice * 0.001m, Security?.PriceStep ?? 0m);
			var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);

			if (highVol && bullishBreakout && body >= minBody)
			{
				BuyMarket(Volume);
				_entryPrice = candle.ClosePrice;
				_stopDist = candle.ClosePrice * StopPct / 100m;
				_cooldownRemaining = SignalCooldownBars;
			}
			else if (highVol && bearishBreakout && body >= minBody)
			{
				SellMarket(Volume);
				_entryPrice = candle.ClosePrice;
				_stopDist = candle.ClosePrice * StopPct / 100m;
				_cooldownRemaining = SignalCooldownBars;
			}
		}

		_volumes.Add(vol);
		_volumeSum += vol;

		if (_volumes.Count > VolAvgLength)
		{
			_volumeSum -= _volumes[0];
			_volumes.RemoveAt(0);
		}

		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
	}
}