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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 strategy.
/// Trades reversion of extreme volume-ratio slope values.
/// </summary>
public class VolumeSlopeMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _volumeMaPeriod;
	private readonly StrategyParam<int> _slopeLookback;
	private readonly StrategyParam<decimal> _thresholdMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _volumeAverage;
	private decimal _previousVolumeRatio;
	private decimal[] _slopeHistory;
	private int _currentIndex;
	private int _filledCount;
	private int _cooldown;
	private bool _isInitialized;

	/// <summary>
	/// Volume moving average period.
	/// </summary>
	public int VolumeMaPeriod
	{
		get => _volumeMaPeriod.Value;
		set => _volumeMaPeriod.Value = value;
	}

	/// <summary>
	/// Lookback used to estimate slope mean and standard deviation.
	/// </summary>
	public int SlopeLookback
	{
		get => _slopeLookback.Value;
		set => _slopeLookback.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for entry threshold.
	/// </summary>
	public decimal ThresholdMultiplier
	{
		get => _thresholdMultiplier.Value;
		set => _thresholdMultiplier.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Bars to wait between orders.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="VolumeSlopeMeanReversionStrategy"/>.
	/// </summary>
	public VolumeSlopeMeanReversionStrategy()
	{
		_volumeMaPeriod = Param(nameof(VolumeMaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume MA Period", "Period for the volume moving average", "Indicator Parameters");

		_slopeLookback = Param(nameof(SlopeLookback), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slope Lookback", "Period for slope statistics", "Strategy Parameters");

		_thresholdMultiplier = Param(nameof(ThresholdMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Threshold Multiplier", "Standard deviation multiplier for entries", "Strategy Parameters");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 1200)
			.SetRange(1, 5000)
			.SetDisplay("Cooldown Bars", "Bars to wait between orders", "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();

		_volumeAverage = null;
		_previousVolumeRatio = default;
		_slopeHistory = new decimal[SlopeLookback];
		_currentIndex = default;
		_filledCount = default;
		_cooldown = default;
		_isInitialized = default;
	}

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

		_volumeAverage = new SimpleMovingAverage
		{
			Length = VolumeMaPeriod,
			Source = Level1Fields.Volume,
		};

		_slopeHistory = new decimal[SlopeLookback];
		_currentIndex = 0;
		_filledCount = 0;
		_cooldown = 0;

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

		StartProtection(new(), new Unit(StopLossPercent, UnitTypes.Percent));

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

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

		if (!_volumeAverage.IsFormed || averageVolume <= 0)
			return;

		var volumeRatio = candle.TotalVolume / averageVolume;

		if (!_isInitialized)
		{
			_previousVolumeRatio = volumeRatio;
			_isInitialized = true;
			return;
		}

		var slope = volumeRatio - _previousVolumeRatio;
		_previousVolumeRatio = volumeRatio;

		_slopeHistory[_currentIndex] = slope;
		_currentIndex = (_currentIndex + 1) % SlopeLookback;

		if (_filledCount < SlopeLookback)
			_filledCount++;

		if (_filledCount < SlopeLookback)
			return;

		CalculateStatistics(out var averageSlope, out var slopeStdDev);

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (slopeStdDev <= 0)
			return;

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

		var lowerThreshold = averageSlope - ThresholdMultiplier * slopeStdDev;
		var upperThreshold = averageSlope + ThresholdMultiplier * slopeStdDev;
		var isBullishCandle = candle.ClosePrice >= candle.OpenPrice;
		var isBearishCandle = candle.ClosePrice <= candle.OpenPrice;

		if (Position == 0)
		{
			if (slope <= lowerThreshold && isBullishCandle)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (slope >= upperThreshold && isBearishCandle)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0)
		{
			if (slope >= averageSlope || isBearishCandle)
			{
				SellMarket(Math.Abs(Position));
				_cooldown = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			if (slope <= averageSlope || isBullishCandle)
			{
				BuyMarket(Math.Abs(Position));
				_cooldown = CooldownBars;
			}
		}
	}

	private void CalculateStatistics(out decimal averageSlope, out decimal slopeStdDev)
	{
		averageSlope = 0m;
		var sumSquaredDiffs = 0m;

		for (var i = 0; i < SlopeLookback; i++)
			averageSlope += _slopeHistory[i];

		averageSlope /= SlopeLookback;

		for (var i = 0; i < SlopeLookback; i++)
		{
			var diff = _slopeHistory[i] - averageSlope;
			sumSquaredDiffs += diff * diff;
		}

		slopeStdDev = (decimal)Math.Sqrt((double)(sumSquaredDiffs / SlopeLookback));
	}
}