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OBV スロープ・ブレイクアウト戦略

OBV スロープ・ブレイクアウト戦略は、OBV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154%です。株式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 LookbackPeriod = 20。

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:
    • LookbackPeriod = 20
    • SlopeLength = 5
    • Multiplier = 2m
    • StopLoss = 2m
    • 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: OBV
    • 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>
/// On-Balance Volume slope breakout.
/// The slope is the OBV change over <see cref="SlopeLength"/> bars. Enters in the direction of the slope
/// when it exceeds its average by a standard deviation multiplier and exits when it returns to the average.
/// </summary>
public class ObvSlopeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<int> _slopeLength;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private readonly Queue<decimal> _obvHistory = new();
	private SimpleMovingAverage _slopeAverage;
	private StandardDeviation _slopeStdDev;

	/// <summary>
	/// Lookback period for slope statistics.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Number of bars used to measure the OBV slope.
	/// </summary>
	public int SlopeLength
	{
		get => _slopeLength.Value;
		set => _slopeLength.Value = value;
	}

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

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

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

	/// <summary>
	/// Initialize <see cref="ObvSlopeBreakoutStrategy"/>.
	/// </summary>
	public ObvSlopeBreakoutStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for slope statistics", "Strategy");

		_slopeLength = Param(nameof(SlopeLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Slope Length", "Bars used to measure the OBV slope", "Indicators");

		_multiplier = Param(nameof(Multiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviation multiplier for breakout", "Strategy");

		_stopLoss = Param(nameof(StopLoss), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop-loss percentage", "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();
		_obvHistory.Clear();
		_slopeAverage = null;
		_slopeStdDev = null;
	}

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

		var obv = new OnBalanceVolume();
		_slopeAverage = new SimpleMovingAverage { Length = LookbackPeriod };
		_slopeStdDev = new StandardDeviation { Length = LookbackPeriod };

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

		StartProtection(
			takeProfit: null,
			stopLoss: StopLoss > 0 ? new Unit(StopLoss, UnitTypes.Percent) : null
		);

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

			var obvArea = CreateChartArea();
			if (obvArea != null)
				DrawIndicator(obvArea, obv);
		}
	}

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

		_obvHistory.Enqueue(obvValue);

		if (_obvHistory.Count <= SlopeLength)
			return;

		var slope = obvValue - _obvHistory.Dequeue();
		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 (slope > avgSlope + Multiplier * stdSlope && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
		}
		else if (slope < avgSlope - Multiplier * stdSlope && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
		}
		else if (Position > 0 && slope < avgSlope)
		{
			SellMarket(Position);
		}
		else if (Position < 0 && slope > avgSlope)
		{
			BuyMarket(-Position);
		}
	}
}