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ATR スロープ・ブレイクアウト戦略

ATR スロープ・ブレイクアウト戦略は、ATRの変化率を監視します。異常に急な傾きは、新しいトレンドが形成されつつあることを示唆します。

テストによると、年平均リターンは約148%です。外国為替市場で最もよく機能します。

傾きが標準偏差の倍数だけ典型的なレベルを超えたときにエントリーし、加速の方向にトレードを行い、保護的なストップを設定します。

早期のトレンド参入を求めるアクティブなトレーダーに向いています。傾きが通常の水準に戻ったときにポジションを手仕舞います。デフォルト AtrPeriod = 14。

詳細

  • エントリー条件: インジケーターが偏差乗数分だけ平均を超える。
  • ロング/ショート: 両方向。
  • エグジット条件: インジケーターが平均に戻る。
  • ストップ: はい。
  • デフォルト値:
    • AtrPeriod = 14
    • SlopePeriod = 20
    • BreakoutMultiplier = 2.0m
    • StopLossAtrMultiplier = 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: ATR
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 短期
    • 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>
/// ATR slope breakout.
/// Enters when the ATR slope exceeds its average by a standard deviation multiplier,
/// in the direction of the breakout candle. Exits when the slope returns to its average
/// or the ATR-based stop is hit.
/// </summary>
public class AtrSlopeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<int> _slopePeriod;
	private readonly StrategyParam<decimal> _breakoutMultiplier;
	private readonly StrategyParam<decimal> _stopLossAtrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _slopeAverage;
	private StandardDeviation _slopeStdDev;
	private decimal? _prevAtr;
	private decimal _stopPrice;

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

	/// <summary>
	/// Period for slope statistics.
	/// </summary>
	public int SlopePeriod
	{
		get => _slopePeriod.Value;
		set => _slopePeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for breakout detection.
	/// </summary>
	public decimal BreakoutMultiplier
	{
		get => _breakoutMultiplier.Value;
		set => _breakoutMultiplier.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in ATR multiples.
	/// </summary>
	public decimal StopLossAtrMultiplier
	{
		get => _stopLossAtrMultiplier.Value;
		set => _stopLossAtrMultiplier.Value = value;
	}

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

	/// <summary>
	/// Initialize <see cref="AtrSlopeBreakoutStrategy"/>.
	/// </summary>
	public AtrSlopeBreakoutStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR", "Indicators");

		_slopePeriod = Param(nameof(SlopePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slope Period", "Period for slope statistics", "Strategy");

		_breakoutMultiplier = Param(nameof(BreakoutMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Breakout Multiplier", "Standard deviation multiplier for breakout", "Strategy");

		_stopLossAtrMultiplier = Param(nameof(StopLossAtrMultiplier), 2.0m)
			.SetNotNegative()
			.SetDisplay("Stop ATR Multiplier", "Stop-loss distance in ATR multiples", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_slopeAverage = null;
		_slopeStdDev = null;
		_prevAtr = null;
		_stopPrice = 0m;
	}

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

		var atr = new AverageTrueRange { Length = AtrPeriod };
		_slopeAverage = new SimpleMovingAverage { Length = SlopePeriod };
		_slopeStdDev = new StandardDeviation { Length = SlopePeriod };

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

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

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

		if (_prevAtr is not decimal prev)
		{
			_prevAtr = atrValue;
			return;
		}

		_prevAtr = atrValue;

		var slope = atrValue - prev;
		var avgSlope = _slopeAverage.Process(slope, candle.ServerTime, true).ToDecimal();
		var stdSlope = _slopeStdDev.Process(slope, candle.ServerTime, true).ToDecimal();

		if (!_slopeAverage.IsFormed || !_slopeStdDev.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (CheckStop(candle))
			return;

		var close = candle.ClosePrice;
		var stopDistance = StopLossAtrMultiplier * atrValue;

		// ATR has no direction, so the breakout candle decides the side.
		if (slope > avgSlope + BreakoutMultiplier * stdSlope)
		{
			if (close > candle.OpenPrice && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				_stopPrice = stopDistance > 0 ? close - stopDistance : 0m;
				return;
			}

			if (close < candle.OpenPrice && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				_stopPrice = stopDistance > 0 ? close + stopDistance : 0m;
				return;
			}
		}

		if (Position != 0 && slope < avgSlope)
			ExitPosition();
	}

	private bool CheckStop(ICandleMessage candle)
	{
		if (_stopPrice == 0m)
			return false;

		if ((Position > 0 && candle.LowPrice <= _stopPrice) || (Position < 0 && candle.HighPrice >= _stopPrice))
		{
			ExitPosition();
			return true;
		}

		return false;
	}

	private void ExitPosition()
	{
		if (Position > 0)
			SellMarket(Position);
		else if (Position < 0)
			BuyMarket(-Position);

		_stopPrice = 0m;
	}
}