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Williams %Rブレイクアウト戦略

この戦略はWilliams %Rを歴史的平均と比較して観察することでモメンタムの爆発を探します。オシレーターが典型的な読み取り値をはるかに超えると、強い動きの始まりを示す可能性があります。

テストでは平均年間リターンが約91%であることが示されています。株式市場で最も良いパフォーマンスを発揮します。

%Rが平均値にMultiplier倍の推定標準偏差を足した値を上回ったときにロングポジションを開きます。%Rが平均値から同じ乗数を引いた値を下回ったときにショートポジションを取ります。%Rが平均値に向かって戻るか、ストップロスに達したら取引を決済します。

このアプローチは新興トレンドへの早期参加を望むブレイクアウトトレーダー向けです。ポジションリスクはエントリー価格に基づくパーセンテージストップで管理されます。

詳細

  • エントリー条件:
    • ロング: %R > Avg + Multiplier * StdDev
    • ショート: %R < Avg - Multiplier * StdDev
  • ロング/ショート: 両方。
  • エグジット条件:
    • ロング: %R < Avg のときに決済
    • ショート: %R > Avg のときに決済
  • ストップ: あり、パーセントストップロス。
  • デフォルト値:
    • WilliamsRPeriod = 14
    • AvgPeriod = 20
    • Multiplier = 2.0m
    • 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: Williams %R
    • ストップ: あり
    • 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.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that trades on Williams %R breakouts.
/// When Williams %R crosses above the overbought level or below the oversold level,
/// it enters position in the corresponding direction. Exits when Williams %R
/// crosses back through its moving average.
/// </summary>
public class WilliamsRBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _williamsRPeriod;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLoss;

	private WilliamsR _williamsR;
	private SimpleMovingAverage _williamsRAverage;
	private bool _prevInitialized;
	private decimal _prevWilliamsRValue;
	private decimal _prevWilliamsRAvgValue;
	private int _cooldown;

	/// <summary>
	/// Williams %R period.
	/// </summary>
	public int WilliamsRPeriod
	{
		get => _williamsRPeriod.Value;
		set => _williamsRPeriod.Value = value;
	}

	/// <summary>
	/// Period for Williams %R average calculation.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}

	/// <summary>
	/// Overbought level for Williams %R (e.g. -10).
	/// </summary>
	public decimal OverboughtLevel
	{
		get => _overboughtLevel.Value;
		set => _overboughtLevel.Value = value;
	}

	/// <summary>
	/// Oversold level for Williams %R (e.g. -90).
	/// </summary>
	public decimal OversoldLevel
	{
		get => _oversoldLevel.Value;
		set => _oversoldLevel.Value = value;
	}

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

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

	/// <summary>
	/// Initialize <see cref="WilliamsRBreakoutStrategy"/>.
	/// </summary>
	public WilliamsRBreakoutStrategy()
	{
		_williamsRPeriod = Param(nameof(WilliamsRPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Williams %R Period", "Period for Williams %R indicator", "Indicators")
			.SetOptimize(10, 30, 2);

		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for Williams %R average calculation", "Indicators")
			.SetOptimize(10, 50, 5);

		_overboughtLevel = Param(nameof(OverboughtLevel), -10m)
			.SetDisplay("Overbought Level", "Williams %R overbought threshold", "Indicators");

		_oversoldLevel = Param(nameof(OversoldLevel), -90m)
			.SetDisplay("Oversold Level", "Williams %R oversold threshold", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_stopLoss = Param(nameof(StopLoss), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop Loss percentage", "Risk Management")
			.SetOptimize(1.0m, 5.0m, 0.5m);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevInitialized = false;
		_prevWilliamsRValue = 0;
		_prevWilliamsRAvgValue = 0;
		_cooldown = 0;
	}

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

		// Create indicators
		_williamsR = new WilliamsR { Length = WilliamsRPeriod };
		_williamsRAverage = new SimpleMovingAverage { Length = AvgPeriod };

		// Create subscription and bind Williams %R
		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(_williamsR, ProcessCandle)
			.Start();

		// Enable stop loss protection
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute),
			stopLoss: new Unit(StopLoss, UnitTypes.Percent)
		);

		// Create chart area for visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _williamsR);
			DrawOwnTrades(area);
		}
	}

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

		// Feed WR value through SMA to get the average (must set IsFinal for buffer to accumulate)
		var input = new DecimalIndicatorValue(_williamsRAverage, wrValue, candle.ServerTime) { IsFinal = true };
		var avgResult = _williamsRAverage.Process(input);

		if (!_williamsRAverage.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var currentWilliamsRAvg = avgResult.ToDecimal();

		if (!_prevInitialized)
		{
			_prevWilliamsRValue = wrValue;
			_prevWilliamsRAvgValue = currentWilliamsRAvg;
			_prevInitialized = true;
			return;
		}

		// Cooldown between trades (minimum bars between signals)
		if (_cooldown > 0)
		{
			_cooldown--;
			_prevWilliamsRValue = wrValue;
			_prevWilliamsRAvgValue = currentWilliamsRAvg;
			return;
		}

		const int cooldownBars = 100;

		// Williams %R breakout detection using crossover of extreme levels
		// Williams %R crossing above overbought level from below = bullish breakout
		if (_prevWilliamsRValue <= OverboughtLevel && wrValue > OverboughtLevel && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_cooldown = cooldownBars;
		}
		// Williams %R crossing below oversold level from above = bearish breakout
		else if (_prevWilliamsRValue >= OversoldLevel && wrValue < OversoldLevel && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_cooldown = cooldownBars;
		}
		// Exit long when Williams %R drops below the midpoint (-50)
		else if (Position > 0 && _prevWilliamsRValue >= -50m && wrValue < -50m)
		{
			SellMarket(Math.Abs(Position));
			_cooldown = cooldownBars;
		}
		// Exit short when Williams %R rises above the midpoint (-50)
		else if (Position < 0 && _prevWilliamsRValue <= -50m && wrValue > -50m)
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = cooldownBars;
		}

		// Update previous values
		_prevWilliamsRValue = wrValue;
		_prevWilliamsRAvgValue = currentWilliamsRAvg;
	}
}