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Parabolic SAR Volatility Expansion

The Parabolic SAR Volatility Expansion strategy is built around Parabolic SAR with Volatility Expansion detection.

Testing indicates an average annual return of about 49%. It performs best in the crypto market.

Signals trigger when Parabolic confirms trend changes on intraday (5m) data. This makes the method suitable for active traders.

Stops rely on ATR multiples and factors like SarAf, SarMaxAf. Adjust these defaults to balance risk and reward.

Details

  • Entry Criteria: see implementation for indicator conditions.
  • Long/Short: Both directions.
  • Exit Criteria: opposite signal or stop logic.
  • Stops: Yes, using indicator-based calculations.
  • Default Values:
    • SarAf = 0.02m
    • SarMaxAf = 0.2m
    • AtrPeriod = 14
    • VolatilityExpansionFactor = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Parabolic
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Trend-following strategy that activates Parabolic SAR signals only when ATR expands above its recent regime.
/// </summary>
public class ParabolicSarWithVolatilityExpansionStrategy : Strategy
{
	private readonly StrategyParam<decimal> _sarAf;
	private readonly StrategyParam<decimal> _sarMaxAf;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _volatilityExpansionFactor;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private ParabolicSar _parabolicSar;
	private AverageTrueRange _atr;
	private SimpleMovingAverage _atrSma;
	private StandardDeviation _atrStdDev;
	private int _cooldown;

	/// <summary>
	/// Parabolic SAR acceleration factor.
	/// </summary>
	public decimal SarAf
	{
		get => _sarAf.Value;
		set => _sarAf.Value = value;
	}

	/// <summary>
	/// Parabolic SAR maximum acceleration factor.
	/// </summary>
	public decimal SarMaxAf
	{
		get => _sarMaxAf.Value;
		set => _sarMaxAf.Value = value;
	}

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

	/// <summary>
	/// Multiplier for volatility expansion detection.
	/// </summary>
	public decimal VolatilityExpansionFactor
	{
		get => _volatilityExpansionFactor.Value;
		set => _volatilityExpansionFactor.Value = value;
	}

	/// <summary>
	/// Bars to wait after each order.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.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>
	/// Initializes strategy parameters.
	/// </summary>
	public ParabolicSarWithVolatilityExpansionStrategy()
	{
		_sarAf = Param(nameof(SarAf), 0.02m)
			.SetRange(0.001m, 1m)
			.SetDisplay("SAR AF", "Parabolic SAR acceleration factor", "Indicators");

		_sarMaxAf = Param(nameof(SarMaxAf), 0.2m)
			.SetRange(0.01m, 2m)
			.SetDisplay("SAR Max AF", "Parabolic SAR maximum acceleration factor", "Indicators");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetRange(2, 100)
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators");

		_volatilityExpansionFactor = Param(nameof(VolatilityExpansionFactor), 1.6m)
			.SetRange(0.1m, 10m)
			.SetDisplay("Volatility Expansion Factor", "Factor for volatility expansion detection", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 84)
			.SetRange(1, 500)
			.SetDisplay("Cooldown Bars", "Bars to wait after each order", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_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()
	{
		if (Security != null)
			yield return (Security, CandleType);
	}

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

		_parabolicSar = null;
		_atr = null;
		_atrSma = null;
		_atrStdDev = null;
		_cooldown = 0;
	}

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

		if (Security == null)
			throw new InvalidOperationException("Security is not specified.");

		_parabolicSar = new ParabolicSar
		{
			Acceleration = SarAf,
			AccelerationMax = SarMaxAf,
		};
		_atr = new AverageTrueRange { Length = AtrPeriod };
		_atrSma = new SimpleMovingAverage { Length = AtrPeriod };
		_atrStdDev = new StandardDeviation { Length = AtrPeriod };
		_cooldown = 0;

		var subscription = SubscribeCandles(CandleType);

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

		var area = CreateChartArea();

		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _parabolicSar);
			DrawIndicator(area, _atr);
			DrawOwnTrades(area);
		}

		StartProtection(new Unit(0, UnitTypes.Absolute), new Unit(StopLossPercent, UnitTypes.Percent), false);
	}

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

		var atrValue = _atr.Process(candle).ToDecimal();
		var atrSmaValue = _atrSma.Process(atrValue, candle.OpenTime, true).ToDecimal();
		var atrStdDevValue = _atrStdDev.Process(atrValue, candle.OpenTime, true).ToDecimal();

		if (!_parabolicSar.IsFormed || !_atr.IsFormed || !_atrSma.IsFormed || !_atrStdDev.IsFormed)
			return;

		if (ProcessState != ProcessStates.Started)
			return;

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

		var volatilityThreshold = atrSmaValue + VolatilityExpansionFactor * atrStdDevValue;
		var isVolatilityExpanding = atrValue >= volatilityThreshold;
		var isAboveSar = candle.ClosePrice > sarValue;
		var isBelowSar = candle.ClosePrice < sarValue;

		if (Position == 0)
		{
			if (isVolatilityExpanding && isAboveSar)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (isVolatilityExpanding && isBelowSar)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}

			return;
		}

		if (Position > 0 && (!isAboveSar || !isVolatilityExpanding))
		{
			SellMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && (!isBelowSar || !isVolatilityExpanding))
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}