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出来高 Slope 平均回帰戦略

出来高 Slope 平均回帰戦略は、出来高の極端な値に着目して回帰を利用することに焦点を当てています。典型的な水準からの大きな乖離が長続きすることはほとんどありません。

指標が平均から大きく乖離した後、反転し始めたときにトレードが発動します。ロングとショートの両方のセットアップに保護的なストップが含まれています。

振動を期待するスウィングトレーダーに適しており、出来高が均衡に戻ったときにポジションを決済します。開始パラメータ VolumeMaPeriod = 20。

詳細

  • エントリー条件: 指標が平均に向かって戻るクロス。
  • ロング/ショート: 両方向。
  • エグジット条件: 指標が平均に回帰する。
  • ストップ: はい。
  • デフォルト値:
    • VolumeMaPeriod = 20
    • LookbackPeriod = 20
    • DeviationMultiplier = 2.0m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: 出来高
    • 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>
/// Volume slope mean reversion.
/// The slope of the smoothed volume is compared with its average: buys when the slope is far below the average
/// and starts turning up, sells when it is far above and starts turning down.
/// Exits when the slope returns to its average.
/// </summary>
public class VolumeSlopeMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _volumeMaPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _volumeMa;
	private SimpleMovingAverage _slopeAverage;
	private StandardDeviation _slopeStdDev;
	private decimal? _prevVolume;
	private decimal? _prevSlope;

	/// <summary>
	/// Period of the volume moving average.
	/// </summary>
	public int VolumeMaPeriod
	{
		get => _volumeMaPeriod.Value;
		set => _volumeMaPeriod.Value = value;
	}

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

	/// <summary>
	/// Standard deviation multiplier for extreme slope.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.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>
	/// Initialize <see cref="VolumeSlopeMeanReversionStrategy"/>.
	/// </summary>
	public VolumeSlopeMeanReversionStrategy()
	{
		_volumeMaPeriod = Param(nameof(VolumeMaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume MA Period", "Period of the volume moving average", "Indicators");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for slope statistics", "Strategy");

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Standard deviation multiplier for extreme slope", "Strategy");

		_stopLossPercent = Param(nameof(StopLossPercent), 2.0m)
			.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();
		_volumeMa = null;
		_slopeAverage = null;
		_slopeStdDev = null;
		_prevVolume = null;
		_prevSlope = null;
	}

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

		_volumeMa = new SimpleMovingAverage { Length = VolumeMaPeriod };
		_slopeAverage = new SimpleMovingAverage { Length = LookbackPeriod };
		_slopeStdDev = new StandardDeviation { Length = LookbackPeriod };

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

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

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

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

		var volume = _volumeMa.Process(candle.TotalVolume, candle.ServerTime, true).ToDecimal();

		if (!_volumeMa.IsFormed)
			return;

		if (_prevVolume is not decimal prevVolume)
		{
			_prevVolume = volume;
			return;
		}

		_prevVolume = volume;

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

		var prevSlope = _prevSlope;
		_prevSlope = slope;

		if (!_slopeAverage.IsFormed || !_slopeStdDev.IsFormed || prevSlope is not decimal prev)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Extreme reading that has started to turn back toward the average.
		if (slope < avgSlope - DeviationMultiplier * stdSlope && slope > prev && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
		}
		else if (slope > avgSlope + DeviationMultiplier * stdSlope && slope < prev && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
		}
		else if (Position > 0 && slope >= avgSlope)
		{
			SellMarket(Position);
		}
		else if (Position < 0 && slope <= avgSlope)
		{
			BuyMarket(-Position);
		}
	}
}