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Estrategia de Ratio de Volatilidad Histórica (HVR)

Estrategia basada en el Ratio de Volatilidad Histórica (HVR). Compara la volatilidad a corto plazo durante 6 barras con la volatilidad a largo plazo durante 100 barras utilizando retornos logarítmicos. Cuando el ratio sube por encima del umbral, el sistema va largo esperando una expansión de la volatilidad. Cuando cae por debajo del umbral, el sistema va corto.

Detalles

  • Criterios de entrada:
    • Largo: HVR > RatioThreshold
    • Corto: HVR < RatioThreshold
  • Largo/Corto: Ambos
  • Criterios de salida: Señal contraria
  • Stops: No
  • Valores predeterminados:
    • ShortPeriod = 6
    • LongPeriod = 100
    • RatioThreshold = 1.0
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • Filtros:
    • Categoría: Volatilidad
    • Dirección: Ambos
    • Indicadores: Volatilidad histórica (corta y larga)
    • Stops: No
    • Complejidad: Intermedio
    • 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>
/// Strategy based on the Historical Volatility Ratio (HVR).
/// Compares short-term volatility against long-term volatility.
/// Buys when short-term vol exceeds long-term, sells when below.
/// </summary>
public class HvrStrategy : Strategy
{
	private readonly StrategyParam<int> _shortPeriod;
	private readonly StrategyParam<int> _longPeriod;
	private readonly StrategyParam<decimal> _ratioThreshold;
	private readonly StrategyParam<DataType> _candleType;

	private StandardDeviation _shortSd;
	private StandardDeviation _longSd;
	private decimal? _prevClose;

	public int ShortPeriod { get => _shortPeriod.Value; set => _shortPeriod.Value = value; }
	public int LongPeriod { get => _longPeriod.Value; set => _longPeriod.Value = value; }
	public decimal RatioThreshold { get => _ratioThreshold.Value; set => _ratioThreshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public HvrStrategy()
	{
		_shortPeriod = Param(nameof(ShortPeriod), 6)
			.SetGreaterThanZero()
			.SetDisplay("Short HV Period", "Bars for short-term volatility", "Parameters");

		_longPeriod = Param(nameof(LongPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("Long HV Period", "Bars for long-term volatility", "Parameters");

		_ratioThreshold = Param(nameof(RatioThreshold), 1m)
			.SetDisplay("Ratio Threshold", "HVR level for trade direction", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for calculation", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_shortSd = default;
		_longSd = default;
		_prevClose = default;
	}

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

		_prevClose = null;
		_shortSd = new StandardDeviation { Length = ShortPeriod };
		_longSd = new StandardDeviation { Length = LongPeriod };

		Indicators.Add(_shortSd);
		Indicators.Add(_longSd);

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

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

		if (_prevClose is not decimal prevClose || prevClose <= 0)
		{
			_prevClose = candle.ClosePrice;
			return;
		}

		var logReturn = (decimal)Math.Log((double)(candle.ClosePrice / prevClose));
		_prevClose = candle.ClosePrice;

		var shortResult = _shortSd.Process(logReturn, candle.OpenTime, true);
		var longResult = _longSd.Process(logReturn, candle.OpenTime, true);

		if (!shortResult.IsFormed || !longResult.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var shortVal = shortResult.ToDecimal();
		var longVal = longResult.ToDecimal();

		if (longVal == 0)
			return;

		var ratio = shortVal / longVal;

		if (ratio > RatioThreshold && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (ratio < RatioThreshold && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
	}
}