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Volatility Quality

A sample strategy demonstrating how to trade using the direction changes of a smoothed median price. The original MQL expert used the Volatility Quality indicator; this implementation approximates it with a simple moving average of the median price.

Strategy Logic

  • Calculate the median price of each candle (High + Low) / 2.
  • Smooth the median price with a Simple Moving Average (SMA).
  • Determine the indicator color: rising values are treated as up (color 0) and falling values as down (color 1).
  • When the color switches from up to down, the strategy closes any short position and opens a long position.
  • When the color switches from down to up, the strategy closes any long position and opens a short position.
  • Basic risk management is applied via fixed stop loss and take profit levels.

Parameters

Name Description
Length Smoothing period for the SMA applied to median price.
Candle Type Timeframe of candles used for calculations.

Disclaimer

This example is provided for educational purposes. It simplifies the original algorithm and may behave differently from the MQL version. Use at your own risk.

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

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

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Volatility Quality strategy. Trades when smoothed median price slope changes direction.
/// </summary>
public class VolatilityQualityStrategy : Strategy
{
	private readonly StrategyParam<int> _lengthParam;
	private readonly StrategyParam<DataType> _candleTypeParam;

	private ExponentialMovingAverage _sma;
	private decimal _prevSma;
	private int _prevColor;

	/// <summary>
	/// Smoothing period for median price.
	/// </summary>
	public int Length
	{
		get => _lengthParam.Value;
		set => _lengthParam.Value = value;
	}

	/// <summary>
	/// Candle type used for analysis.
	/// </summary>
	public DataType CandleType
	{
		get => _candleTypeParam.Value;
		set => _candleTypeParam.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="VolatilityQualityStrategy"/> class.
	/// </summary>
	public VolatilityQualityStrategy()
	{
		_lengthParam = Param(nameof(Length), 5)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Smoothing period for median price", "Parameters")
			
			.SetOptimize(5, 30, 5);

		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for strategy", "Common");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_sma = null;
		_prevSma = 0m;
		_prevColor = -1;
	}

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

		// Create indicator for smoothed median price
		_sma = new ExponentialMovingAverage { Length = Length };

		// Subscribe to candle series and bind indicator
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_sma, ProcessCandle)
			.Start();

		// Draw chart elements if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _sma);
			DrawOwnTrades(area);
		}

		// Basic position protection
		StartProtection(
			takeProfit: new Unit(2m, UnitTypes.Percent),
			stopLoss: new Unit(1m, UnitTypes.Percent));
	}

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

		// Determine indicator color based on slope
		int color;

		if (_prevSma == 0m)
		{
			_prevSma = smaValue;
			_prevColor = -1;
			return;
		}

		if (smaValue > _prevSma)
			color = 0; // rising line
		else if (smaValue < _prevSma)
			color = 1; // falling line
		else
			color = _prevColor; // unchanged

		// Check for color change and trade accordingly
		if (_prevColor == 1 && color == 0 && Position <= 0)
		{
			// Slope turned up - buy
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		else if (_prevColor == 0 && color == 1 && Position >= 0)
		{
			// Slope turned down - sell
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevSma = smaValue;
		_prevColor = color;
	}
}