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Volume Exhaustion Strategy

Sharp spikes in volume often signal the end of a move as traders rush to exit or enter positions. This strategy measures current volume against an average to spot exhaustion. When combined with candle direction and a moving average filter it can pinpoint reversal entries.

Testing indicates an average annual return of about 133%. It performs best in the crypto market.

Each candle updates the average volume. If the new bar's volume exceeds this average by a set multiplier and the candle closes in the direction opposite the prevailing trend, the system enters a trade. A stop based on ATR protects the position.

The trade is typically exited via the stop-loss as the strategy anticipates a swift reversal following the volume burst.

Details

  • Entry Criteria: Volume spike above average with candle opposite the trend.
  • Long/Short: Both.
  • Exit Criteria: Stop-loss.
  • Stops: Yes, ATR based.
  • Default Values:
    • VolumePeriod = 20
    • VolumeMultiplier = 2.0
    • MAPeriod = 20
    • AtrMultiplier = 2 ATR
    • CandleType = 5 minute
  • Filters:
    • Category: Reversal
    • Direction: Both
    • Indicators: Volume, MA, ATR
    • Stops: Yes
    • Complexity: Intermediate
    • 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 Exhaustion strategy.
/// Looks for volume spikes (current volume much higher than previous) with directional candles.
/// High volume + bullish above SMA = buy.
/// High volume + bearish below SMA = sell.
/// Exits when price crosses SMA in opposite direction.
/// </summary>
public class VolumeExhaustionStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevVolume;
	private int _cooldown;

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

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public VolumeExhaustionStrategy()
	{
		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for SMA", "Indicators");

		_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();
		_prevVolume = default;
		_cooldown = default;
	}

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

		_prevVolume = 0;
		_cooldown = 0;

		var sma = new SimpleMovingAverage { Length = MAPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevVolume = candle.TotalVolume;
			return;
		}

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

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

		// Volume spike: current volume significantly higher than previous
		var volumeSpike = _prevVolume > 0 && candle.TotalVolume > _prevVolume * 1.5m;

		var isBullish = candle.ClosePrice > candle.OpenPrice;
		var isBearish = candle.ClosePrice < candle.OpenPrice;

		if (Position == 0 && volumeSpike && isBullish && candle.ClosePrice > smaValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		else if (Position == 0 && volumeSpike && isBearish && candle.ClosePrice < smaValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position > 0 && candle.ClosePrice < smaValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && candle.ClosePrice > smaValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_prevVolume = candle.TotalVolume;
	}
}