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Estrategia de MA Ponderada por Volumen con Desviación Estándar

Esta estrategia aplica una Media Móvil Ponderada por Volumen (VWMA) con un filtro de desviación estándar. Mide el impulso de la VWMA y abre una posición larga cuando el movimiento al alza supera un umbral de desviación configurable. Se abre una posición corta cuando el movimiento a la baja cruza el umbral negativo. El enfoque intenta capturar movimientos direccionales fuertes confirmados por el volumen.

Parámetros

  • Tipo de vela
  • Longitud de VWMA
  • Período de StdDev
  • K1
  • K2
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>
/// Volume Weighted Moving Average with Standard Deviation filter.
/// Opens long when VWMA momentum exceeds threshold, short on opposite.
/// </summary>
public class VolumeWeightedMaStDevStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _vwmaLength;
	private readonly StrategyParam<int> _stdPeriod;
	private readonly StrategyParam<decimal> _k1;

	private VolumeWeightedMovingAverage _vwma;
	private StandardDeviation _stdDev;
	private decimal? _prevVwma;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int VwmaLength { get => _vwmaLength.Value; set => _vwmaLength.Value = value; }
	public int StdPeriod { get => _stdPeriod.Value; set => _stdPeriod.Value = value; }
	public decimal K1 { get => _k1.Value; set => _k1.Value = value; }

	public VolumeWeightedMaStDevStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time frame for analysis", "General");

		_vwmaLength = Param(nameof(VwmaLength), 12)
			.SetDisplay("VWMA Length", "Period for Volume Weighted MA", "Indicators");

		_stdPeriod = Param(nameof(StdPeriod), 9)
			.SetDisplay("StdDev Period", "Period for standard deviation", "Indicators");

		_k1 = Param(nameof(K1), 0.5m)
			.SetDisplay("K1", "Deviation multiplier for signal threshold", "Signal");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_vwma = null;
		_stdDev = null;
		_prevVwma = null;
	}

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

		_prevVwma = null;

		_vwma = new VolumeWeightedMovingAverage { Length = VwmaLength };
		_stdDev = new StandardDeviation { Length = StdPeriod };

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

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

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

		if (!_vwma.IsFormed)
			return;
		var t = candle.ServerTime;

		if (_prevVwma is null)
		{
			_prevVwma = vwmaValue;
			return;
		}

		var diff = vwmaValue - _prevVwma.Value;

		var stdResult = _stdDev.Process(new DecimalIndicatorValue(_stdDev, diff, t) { IsFinal = true });

		if (!_stdDev.IsFormed)
		{
			_prevVwma = vwmaValue;
			return;
		}

		var stdValue = stdResult.ToDecimal();
		var filter = K1 * stdValue;

		if (diff > filter && Position <= 0)
			BuyMarket();
		else if (diff < -filter && Position >= 0)
			SellMarket();

		_prevVwma = vwmaValue;
	}
}