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Volume Spike Trend

Volume Spike Trend monitors sudden surges in traded volume. When current volume exceeds the recent average by a set multiplier, it signals strong participation.

Testing indicates an average annual return of about 175%. It performs best in the stocks market.

If volume spikes and price is above the moving average, the strategy buys; if volume spikes below the average, it sells short. Trades exit when volume falls back under the average or the stop-loss is reached.

This method seeks to catch moves fueled by a burst of activity.

Details

  • Entry Criteria: Volume change exceeds VolumeSpikeMultiplier times average.
  • Long/Short: Both directions.
  • Exit Criteria: Volume drops below average or stop.
  • Stops: Yes.
  • Default Values:
    • MAPeriod = 20
    • VolAvgPeriod = 20
    • VolumeSpikeMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: Volume, MA
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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 Spike strategy.
/// Enters when volume spikes above average and price is above/below MA.
/// </summary>
public class VolumeSpikeStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _volumeSpikeMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _previousVolume;
	private int _cooldown;

	/// <summary>
	/// MA Period.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Volume Spike Multiplier.
	/// </summary>
	public decimal VolumeSpikeMultiplier
	{
		get => _volumeSpikeMultiplier.Value;
		set => _volumeSpikeMultiplier.Value = value;
	}

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

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initialize the Volume Spike strategy.
	/// </summary>
	public VolumeSpikeStrategy()
	{
		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetDisplay("MA Period", "Period for Moving Average calculation", "Indicators")
			.SetOptimize(10, 50, 10);

		_volumeSpikeMultiplier = Param(nameof(VolumeSpikeMultiplier), 2.0m)
			.SetDisplay("Volume Spike Multiplier", "Minimum volume increase for signal", "Entry")
			.SetOptimize(1.5m, 3.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousVolume = default;
		_cooldown = default;
	}

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

		_previousVolume = 0;
		_cooldown = 0;

		var ma = new SimpleMovingAverage { Length = MAPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_previousVolume == 0)
		{
			_previousVolume = candle.TotalVolume;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_previousVolume = candle.TotalVolume;
			return;
		}

		var volumeChange = _previousVolume > 0 ? candle.TotalVolume / _previousVolume : 0;

		if (Position == 0 && volumeChange >= VolumeSpikeMultiplier)
		{
			if (candle.ClosePrice > maValue)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (candle.ClosePrice < maValue)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0 && candle.TotalVolume < _previousVolume)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && candle.TotalVolume < _previousVolume)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_previousVolume = candle.TotalVolume;
	}
}