日本語 JA
GitHub で見る

Keltner Volume 戦略

Keltner Channels + Volume 戦略の実装。平均を超える出来高で上部 Keltner Channel を上抜けたときに買い。平均を超える出来高で下部 Keltner Channel を下抜けたときに売り。

テストでは年平均リターン約 58% を示しています。株式市場で最も優れたパフォーマンスを発揮します。

Keltner Channel の境界は潜在的な反転点を示し、出来高の増加がその確信を裏付けます。価格がバンドに触れ出来高が拡大したときにシステムがトレードを行います。

ボラティリティバンド付近での出来高確認を求めるトレーダーに適したセットアップです。ストップは ATR から計算されます。

詳細

  • エントリー条件:
    • ロング: Close < LowerBand && Volume > AvgVolume
    • ショート: Close > UpperBand && Volume > AvgVolume
  • ロング/ショート: 両方
  • エグジット条件:
    • 価格が EMA を突き抜ける
  • ストップ: StopLoss を使用した ATR ベース
  • デフォルト値:
    • EmaPeriod = 20
    • AtrPeriod = 14
    • Multiplier = 2.0m
    • VolumeAvgPeriod = 20
    • StopLoss = new Unit(2, UnitTypes.Absolute)
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: Keltner Channel, 出来高
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 中期
    • 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 combining Keltner Channels with volume confirmation.
/// Buys on upper channel breakout with above-average volume,
/// sells on lower channel breakdown with above-average volume.
/// </summary>
public class KeltnerVolumeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<int> _volumeAvgPeriod;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _averageVolume;
	private int _volumeCounter;
	private int _cooldown;

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

	/// <summary>
	/// EMA period for center line.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// ATR period for channel width.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for channel width.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

	/// <summary>
	/// Volume average period.
	/// </summary>
	public int VolumeAvgPeriod
	{
		get => _volumeAvgPeriod.Value;
		set => _volumeAvgPeriod.Value = value;
	}

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

	/// <summary>
	/// Initialize strategy.
	/// </summary>
	public KeltnerVolumeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetRange(10, 40)
			.SetDisplay("EMA Period", "EMA period for center line", "Keltner");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetRange(7, 21)
			.SetDisplay("ATR Period", "ATR period for channel width", "Keltner");

		_multiplier = Param(nameof(Multiplier), 2.0m)
			.SetDisplay("ATR Multiplier", "Multiplier for ATR", "Keltner");

		_volumeAvgPeriod = Param(nameof(VolumeAvgPeriod), 20)
			.SetRange(10, 50)
			.SetDisplay("Volume Avg Period", "Period for volume average", "Volume");

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_averageVolume = 0;
		_volumeCounter = 0;
		_cooldown = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(ema, atr, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var volume = candle.TotalVolume;

		if (_volumeCounter < VolumeAvgPeriod)
		{
			_volumeCounter++;
			_averageVolume = ((_averageVolume * (_volumeCounter - 1)) + volume) / _volumeCounter;
		}
		else
		{
			_averageVolume = (_averageVolume * (VolumeAvgPeriod - 1) + volume) / VolumeAvgPeriod;
		}

		if (_volumeCounter < VolumeAvgPeriod)
		{
			if (_cooldown > 0)
				_cooldown--;
			return;
		}

		var upperBand = emaValue + Multiplier * atrValue;
		var lowerBand = emaValue - Multiplier * atrValue;
		var highVolume = volume > _averageVolume;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Buy: price above upper band + high volume
		if (close > upperBand && highVolume && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Sell: price below lower band + high volume
		else if (close < lowerBand && highVolume && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit long: price below EMA
		if (Position > 0 && close < emaValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Exit short: price above EMA
		else if (Position < 0 && close > emaValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}