日本語
GitHub で見る

ATR Range Breakout 戦略

ATR Range Breakoutは、固定本数のバーにわたる価格変動を計測し、平均真の値幅（ATR）と比較します。変動がATRを超えると、その方向にポジションを建てます。

テストでは年平均リターン約169%を示しています。暗号資産市場での運用に最も適しています。

戦略はNバーごとに価格を確認し、移動平均をエグジットシグナルに使用します。ボラティリティが通常レベルを超えて拡大する際のモメンタムを捉えることを目指しています。

価格が移動平均に戻ってクロスするか、ATRに基づくストップが発動した時点でトレードを決済します。

詳細

  • エントリー条件: ルックバック期間中に価格がATRを超えて動く。
  • ロング/ショート: 両方向。
  • エグジット条件: 価格がMAをクロスまたはストップ。
  • ストップ: あり。
  • デフォルト値:
    • MAPeriod = 20
    • ATRPeriod = 14
    • LookbackPeriod = 5
    • 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>
/// Trades strict N-interval Close movement beyond current Wilder ATR at every Nth bar.
/// Exits on any ready bar's adverse SMA crossing or frozen entry-ATR actual-fill protection.
/// </summary>
public class AtrRangeStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private readonly Queue<decimal> _closes = new();
	private long _barCount;
	private decimal? _previousClose;
	private decimal _previousMean;
	private Order _pendingOrder;
	private Unit _stopDistance;
	private bool _protectionStarted;

	public int MAPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public int ATRPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public int LookbackPeriod { get => _lookbackPeriod.Value; set => _lookbackPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AtrRangeStrategy()
	{
		_maPeriod = Param(nameof(MAPeriod), 20).SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for Moving Average calculation", "Indicators")
			.SetOptimize(10, 50, 10);
		_atrPeriod = Param(nameof(ATRPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators")
			.SetOptimize(7, 28, 7);
		_lookbackPeriod = Param(nameof(LookbackPeriod), 5).SetGreaterThanZero()
			.SetDisplay("Lookback Period", "N intervals for movement and N-bar entry-check cadence", "Entry")
			.SetOptimize(3, 10, 1);
		_atrMultiplier = Param(nameof(AtrMultiplier), 2m).SetNotNegative()
			.SetDisplay("ATR Stop Multiplier", "Frozen entry ATR distance; zero disables only protection", "Protection");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		OrderRegistering += order => _pendingOrder = order;
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	private void ResetState()
	{
		_closes.Clear();
		_barCount = 0;
		_previousClose = null;
		_previousMean = default;
		_pendingOrder = null;
		_stopDistance = null;
		_protectionStarted = false;
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		ResetState();
		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 ma = new SimpleMovingAverage { Length = MAPeriod };
		var atr = new AverageTrueRange { Length = ATRPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(ma, atr, ProcessCandle, false).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ma);
			DrawOwnTrades(area);
		}
	}

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue maValue, IIndicatorValue atrValue)
	{
		if (candle.State != CandleStates.Finished)
			return;
		_barCount++;
		_closes.Enqueue(candle.ClosePrice);
		if (_closes.Count > LookbackPeriod + 1) _closes.Dequeue();
		if (!maValue.Indicator.IsFormed || !atrValue.Indicator.IsFormed || !IsFormedAndOnlineAndAllowTrading())
			return;
		var close = candle.ClosePrice;
		var mean = maValue.GetValue<decimal>();
		var downwardCross = _previousClose is decimal down && down >= _previousMean && close < mean;
		var upwardCross = _previousClose is decimal up && up <= _previousMean && close > mean;
		_previousClose = close;
		_previousMean = mean;
		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		// Exits run on every ready bar, independent of the entry checkpoint.
		if (Position > 0m && downwardCross)
			SellMarket(Position);
		else if (Position < 0m && upwardCross)
			BuyMarket(Math.Abs(Position));
		else if (Position == 0m && _barCount % LookbackPeriod == 0 && _closes.Count == LookbackPeriod + 1)
		{
			// N intervals need N+1 closes, not N closes in a non-overlapping block.
			var movement = close - _closes.Peek();
			var atr = atrValue.GetValue<decimal>();
			if (Math.Abs(movement) > atr)
				Enter(movement > 0m ? Sides.Buy : 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 range entry",
		});
	}
}