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Williams %R Hook Reversal 戦略

Williams %R Hook Reversal戦略は、Williams %Rインジケーターが極端な水準から素早く戻るときの動きを追います。値が-20を上回るか-80を下回り、その後中央に向けてフックすると、前の推進力はおそらく枯渇しています。

テストでは平均年間リターンが約172%であることが示されています。外国為替市場で最もパフォーマンスが優れています。

%Rが売られすぎから上向きに反転し、価格が新安値を押しているときにロングします。%Rが買われすぎから下向きにフックし、新高値が形成されているときにショートします。

タイトなパーセントストップがリスクをコントロールし、%Rが反対方向にフックするかストップが発動したときに取引が終了します。

詳細

  • エントリー条件: インジケーターシグナル
  • ロング/ショート: 両方
  • エグジット条件: ストップロスまたは逆シグナル
  • ストップ: はい、パーセントベース
  • デフォルト値:
    • CandleType = 15分
    • WillRPeriod = 14
    • OversoldLevel = -80
    • OverboughtLevel = -20
    • StopLossPercent = 2
  • フィルター:
    • カテゴリ: リバーサル
    • 方向: 両方
    • インジケーター: Williams %R
    • ストップ: はい
    • 複雑さ: 中級
    • 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>
/// Williams %R Hook Reversal strategy.
/// A long opens when Williams %R was below the oversold level on the previous candle and turns up while the low makes a new low
/// against the previous candle; a short opens when it was above the overbought level and turns down while the high makes a new high.
/// The position closes when Williams %R turns the other way, reversing on the opposite signal, and a percent stop limits the loss.
/// </summary>
public class WilliamsRHookReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _willRPeriod;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevValue;
	private decimal _prevHigh;
	private decimal _prevLow;

	/// <summary>
	/// Period for Williams %R.
	/// </summary>
	public int WillRPeriod
	{
		get => _willRPeriod.Value;
		set => _willRPeriod.Value = value;
	}

	/// <summary>
	/// Williams %R level of the oversold zone.
	/// </summary>
	public decimal OversoldLevel
	{
		get => _oversoldLevel.Value;
		set => _oversoldLevel.Value = value;
	}

	/// <summary>
	/// Williams %R level of the overbought zone.
	/// </summary>
	public decimal OverboughtLevel
	{
		get => _overboughtLevel.Value;
		set => _overboughtLevel.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public WilliamsRHookReversalStrategy()
	{
		_willRPeriod = Param(nameof(WillRPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Williams %R Period", "Period for Williams %R", "Indicators");

		_oversoldLevel = Param(nameof(OversoldLevel), -80m)
			.SetDisplay("Oversold Level", "Williams %R level of the oversold zone", "Levels");

		_overboughtLevel = Param(nameof(OverboughtLevel), -20m)
			.SetDisplay("Overbought Level", "Williams %R level of the overbought zone", "Levels");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevValue = null;
		_prevHigh = default;
		_prevLow = default;
	}

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

		_prevValue = null;
		_prevHigh = default;
		_prevLow = default;

		var oscillator = new WilliamsR { Length = WillRPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(oscillator, ProcessCandle)
			.Start();

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		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 area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, oscillator);
			DrawOwnTrades(area);
		}
	}

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished || !value.IsFormed || value.IsEmpty)
			return;

		var current = value.GetValue<decimal>();
		var previous = _prevValue;
		var prevHigh = _prevHigh;
		var prevLow = _prevLow;

		_prevValue = current;
		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;

		if (previous is not decimal last || !IsFormedAndOnlineAndAllowTrading())
			return;

		var hooksUp = current > last;
		var hooksDown = current < last;
		var longSignal = last < OversoldLevel && hooksUp && candle.LowPrice < prevLow;
		var shortSignal = last > OverboughtLevel && hooksDown && candle.HighPrice > prevHigh;

		if (Position > 0)
		{
			if (hooksDown)
				SellMarket(shortSignal ? Volume + Position : Position);
		}
		else if (Position < 0)
		{
			if (hooksUp)
				BuyMarket(longSignal ? Volume - Position : -Position);
		}
		else if (longSignal)
		{
			BuyMarket(Volume);
		}
		else if (shortSignal)
		{
			SellMarket(Volume);
		}
	}
}