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ATR Expansion Breakout 戦略

この戦略はAverage True Rangeを使用してボラティリティの急増に追従します。ATRが前のバーと比較して上昇し、価格が移動平均に対して取引される場合、ブレイクアウトに乗ることを目指します。

テストでは年間平均リターン約145%が示されています。暗号資産市場で最も優れたパフォーマンスを発揮します。

ATRの拡大は強い動きが進行中であることを示します。エントリーは移動平均に対する価格の方向に合わせ、ボラティリティの収縮がエグジットを引き起こします。

ストップは高ボラティリティ時に取引に余裕を持たせるためATRの倍数で設定されます。

詳細

  • エントリー条件: ATRが上昇し、価格がMAの上/下。
  • ロング/ショート: 両方向。
  • エグジット条件: ATRが収縮するかストップに達する。
  • ストップ: はい。
  • デフォルト値:
    • AtrPeriod = 14
    • MAPeriod = 20
    • AtrMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: 両方
    • インジケーター: ATR, MA
    • ストップ: はい
    • 複雑さ: 基本
    • 時間軸: イントラデイ
    • 季節性: いいえ
    • ニューラルネットワーク: 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>
/// Strategy that trades on volatility expansion as measured by ATR.
/// Enters on any one-bar increase in formed ATR in the price/SMA direction,
/// exits when volatility contracts.
/// </summary>
public class AtrExpansionStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevAtr;
	private bool _hasPrev;
	private Order _pendingOrder;
	private Unit _stopDistance;
	private bool _protectionStarted;

	/// <summary>
	/// Period for ATR calculation.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Period for Moving Average calculation.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Type of candles used for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize the ATR Expansion strategy.
	/// </summary>
	public AtrExpansionStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators")
			.SetOptimize(7, 21, 7);

		_maPeriod = Param(nameof(MAPeriod), 20).SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for MA calculation", "Indicators")
			.SetOptimize(10, 50, 5);

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m).SetNotNegative()
			.SetDisplay("ATR Stop Multiplier", "Frozen entry ATR stop distance; zero disables it", "Protection");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		OrderRegistering += order => _pendingOrder = order;
	}

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

	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevAtr = default;
		_hasPrev = default;
		_pendingOrder = null;
		_stopDistance = null;
		_protectionStarted = false;
	}

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

		_prevAtr = 0;
		_hasPrev = false;
		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 atr = new AverageTrueRange { Length = AtrPeriod };
		var sma = new SimpleMovingAverage { Length = MAPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(atr, sma, ProcessCandle, false)
			.Start();

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// Native protection runs before this callback, including between finished candles.
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue atrValue, IIndicatorValue smaValue)
	{
		if (candle.State != CandleStates.Finished || !atrValue.Indicator.IsFormed || !smaValue.Indicator.IsFormed
			|| !IsFormedAndOnlineAndAllowTrading())
			return;
		var atr = atrValue.GetValue<decimal>();
		var mean = smaValue.GetValue<decimal>();
		if (!_hasPrev)
		{
			_hasPrev = true;
			_prevAtr = atr;
			return;
		}
		var previous = _prevAtr;
		_prevAtr = atr;
		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		// Any contraction closes, including a zero ATR; the MA direction is entry-only.
		if (Position != 0m && atr < previous)
		{
			if (Position > 0m) SellMarket(Position);
			else BuyMarket(Math.Abs(Position));
		}
		else if (Position == 0m && atr > previous)
		{
			if (candle.ClosePrice > mean) Enter(Sides.Buy, atr);
			else if (candle.ClosePrice < mean) Enter(Sides.Sell, atr);
		}
	}

	private void Enter(Sides side, decimal atr)
	{
		var distance = atr * AtrMultiplier;
		_stopDistance ??= new Unit(distance);
		// Keep the Unit reference held by native cached protection controllers.
		_stopDistance.Value = distance;
		if (!_protectionStarted && distance > 0m)
		{
			StartProtection(new Unit(), _stopDistance, useMarketOrders: true, isLocalStop: true);
			_protectionStarted = true;
		}
		RegisterOrder(new Order
		{
			Security = Security,
			Portfolio = Portfolio,
			Type = OrderTypes.Market,
			Side = side,
			Volume = Volume,
			Comment = "ATR expansion entry",
		});
	}
}