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ROC Impulce 戦略

Rate of Change（ROC）インパルスに基づく戦略

テストでは年平均リターンが約91%であることが示されています。株式市場で最もよく機能します。

ROC Impulseは、Rate of Changeインジケーターの突然の急増を捉えます。急激なプラスのスパイクはロング取引につながり、急激なマイナスはショート取引につながります。モメンタムがゼロに向かって弱まるとポジションが閉じられます。

トリガーレベルは例外的なモメンタムイベントにのみ反応するよう調整できます。ATRベースのストップは、スパイクが素早く反転した場合の大きな損失を防ぐのに役立ちます。

詳細

  • エントリー条件: ATR、ROC、Momentumに基づくシグナル。
  • ロング/ショート: 両方向。
  • エグジット条件: 逆シグナルまたはストップ。
  • ストップ: はい。
  • デフォルト値:
    • RocPeriod = 12
    • AtrMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: トレンド
    • 方向: 両方
    • インジケーター: ATR、ROC、Momentum
    • ストップ: はい
    • 複雑さ: 基本
    • 時間軸: イントラデイ (5m)
    • 季節性: いいえ
    • Neural Networks: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
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>
/// Signed percentage ROC breakouts, zero exits and native actual-fill ATR protection.
/// </summary>
public class RocImpulseStrategy : Strategy
{
	private readonly StrategyParam<int> _rocPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<decimal> _thresholdPercent;

	private decimal _prevRoc;
	private bool _hasPrevValues;
	private Unit _stopDistance;
	private bool _protectionStarted;
	private decimal _requestedDistance;
	private Order _entryOrder;
	private Order _pendingOrder;

	/// <summary>
	/// Percentage rate-of-change period.
	/// </summary>
	public int RocPeriod
	{
		get => _rocPeriod.Value;
		set => _rocPeriod.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public decimal ThresholdPercent { get => _thresholdPercent.Value; set => _thresholdPercent.Value = value; }

	/// <summary>
	/// Initializes a new instance of the <see cref="RocImpulseStrategy"/>.
	/// </summary>
	public RocImpulseStrategy()
	{
		_rocPeriod = Param(nameof(RocPeriod), 12)
			.SetDisplay("ROC Period", "Lookback for percentage rate of change.", "Indicators")
			.SetOptimize(8, 20, 4);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_atrPeriod = Param(nameof(AtrPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ATR Period", "Wilder ATR lookback.", "Indicators");
		_atrMultiplier = Param(nameof(AtrMultiplier), 2m).SetNotNegative()
			.SetDisplay("ATR Multiplier", "Entry ATR stop distance; zero disables it.", "Protection");
		_thresholdPercent = Param(nameof(ThresholdPercent), 0.5m).SetGreaterThanZero()
			.SetDisplay("Threshold (%)", "Symmetric percentage ROC breakout level.", "Signal");
		OrderRegistering += order => _pendingOrder = order;
		Trades.TradeAdded += ProcessEntryFill;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, DataType.Level1)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRoc = default;
		_hasPrevValues = default;
		_stopDistance = null;
		_protectionStarted = false;
		_requestedDistance = 0m;
		_entryOrder = _pendingOrder = null;
	}

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

		var roc = new RateOfChange { Length = RocPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before the callback, including between bars.
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_hasPrevValues)
		{
			_hasPrevValues = true;
			_prevRoc = rocValue;
			return;
		}

		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
		{
			_prevRoc = rocValue;
			return;
		}

		if (_prevRoc <= ThresholdPercent && rocValue > ThresholdPercent && Position <= 0m)
			Enter(Sides.Buy, atrValue);
		else if (_prevRoc >= -ThresholdPercent && rocValue < -ThresholdPercent && Position >= 0m)
			Enter(Sides.Sell, atrValue);
		else if (Position > 0m && rocValue <= 0m)
			SellMarket(Position);
		else if (Position < 0m && rocValue >= 0m)
			BuyMarket(Math.Abs(Position));

		_prevRoc = rocValue;
	}

	private void Enter(Sides side, decimal atr)
	{
		_requestedDistance = atr * AtrMultiplier;
		_stopDistance ??= new Unit(_requestedDistance);
		if (Position == 0m) _stopDistance.Value = _requestedDistance;
		if (!_protectionStarted && _requestedDistance > 0m)
		{
			StartProtection(new Unit(), _stopDistance, useMarketOrders: true, isLocalStop: true);
			_protectionStarted = true;
		}
		_entryOrder = new Order
		{
			Security = Security,
			Portfolio = Portfolio,
			Type = OrderTypes.Market,
			Side = side,
			Volume = Volume + Math.Abs(Position),
			Comment = "ROC signal",
		};
		RegisterOrder(_entryOrder);
	}

	private void ProcessEntryFill(MyTrade trade)
	{
		// Preserve the old position's distance until a partial reversal actually changes direction.
		// Native processors retain this Unit reference and anchor themselves to actual fills.
		if (trade.Order == _entryOrder && Position != 0m && (Position > 0m) == (trade.Order.Side == Sides.Buy))
			_stopDistance.Value = _requestedDistance;
	}
}