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Ichimokuボラティリティ収縮戦略

Ichimoku Volatility Contraction戦略は、Ichimokuインジケーターを使用してボラティリティ収縮期間を特定します。

テストでは年間平均リターン約85%を示しています。暗号資産市場で最も効果を発揮します。

インジケーターがイントラデイ（5m）データのボラティリティ収縮パターンを確認したときにシグナルが発生します。このため、アクティブトレーダーに適した手法です。

ストップはATRの倍数とTenkanPeriod、KijunPeriodなどのパラメーターに基づいています。リスクとリワードのバランスを取るためにこれらのデフォルト値を調整してください。

詳細

  • エントリー条件: インジケーターの条件については実装を参照してください。
  • ロング/ショート: 両方向。
  • エグジット条件: 反対のシグナルまたはストップロジック。
  • ストップ: はい、インジケーターベースの計算を使用。
  • デフォルト値:
    • TenkanPeriod = 9
    • KijunPeriod = 26
    • SenkouSpanBPeriod = 52
    • AtrPeriod = 14
    • DeviationFactor = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 方向: 両方
    • インジケーター: 複数のインジケーター
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: イントラデイ (5m)
    • 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.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Ichimoku with Volatility Contraction strategy.
/// Enters positions when Ichimoku signals a trend and volatility is contracting.
/// </summary>
public class IchimokuVolatilityContractionStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanBPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _deviationFactor;
	private readonly StrategyParam<DataType> _candleType;
	private static readonly object _sync = new();
	
	private decimal _avgAtr;
	private decimal _atrStdDev;
	private int _processedCandles;

	/// <summary>
	/// Tenkan-sen (Conversion Line) period.
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}

	/// <summary>
	/// Kijun-sen (Base Line) period.
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}

	/// <summary>
	/// Senkou Span B (Leading Span B) period.
	/// </summary>
	public int SenkouSpanBPeriod
	{
		get => _senkouSpanBPeriod.Value;
		set => _senkouSpanBPeriod.Value = value;
	}

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

	/// <summary>
	/// Deviation factor for volatility contraction detection.
	/// </summary>
	public decimal DeviationFactor
	{
		get => _deviationFactor.Value;
		set => _deviationFactor.Value = value;
	}

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

	/// <summary>
	/// Initialize strategy.
	/// </summary>
	public IchimokuVolatilityContractionStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Period for Tenkan-sen (Conversion Line)", "Ichimoku Settings")
			
			.SetOptimize(7, 11, 1);

		_kijunPeriod = Param(nameof(KijunPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Period for Kijun-sen (Base Line)", "Ichimoku Settings")
			
			.SetOptimize(20, 30, 2);

		_senkouSpanBPeriod = Param(nameof(SenkouSpanBPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Senkou Span B Period", "Period for Senkou Span B (Leading Span B)", "Ichimoku Settings")
			
			.SetOptimize(40, 60, 4);

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for Average True Range calculation", "Volatility Settings")
			
			.SetOptimize(10, 20, 2);

		_deviationFactor = Param(nameof(DeviationFactor), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Factor", "Factor multiplied by standard deviation to detect volatility contraction", "Volatility Settings")
			
			.SetOptimize(1.5m, 3.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).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();

		_avgAtr = 0;
		_atrStdDev = 0;
		_processedCandles = 0;
	}

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

		// Create Ichimoku indicator
		var ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanBPeriod }
		};

		// Create ATR indicator for volatility measurement
		var atr = new AverageTrueRange
		{
			Length = AtrPeriod
		};

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

		// Start position protection
		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ichimoku);
			DrawIndicator(area, atr);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, Ichimoku ichimoku, AverageTrueRange atr)
	{
		if (candle.State != CandleStates.Finished)
			return;

		lock (_sync)
		{
			var ichimokuValue = ichimoku.Process(new CandleIndicatorValue(ichimoku, candle) { IsFinal = true });
			var atrValue = atr.Process(new CandleIndicatorValue(atr, candle) { IsFinal = true });
			if (!ichimokuValue.IsFinal || !atrValue.IsFinal || !ichimoku.IsFormed || !atr.IsFormed)
				return;

			var currentAtr = atrValue.ToDecimal();
			_processedCandles++;

			if (_processedCandles == 1)
			{
				_avgAtr = currentAtr;
				_atrStdDev = 0m;
			}
			else
			{
				var alpha = 2.0m / (AtrPeriod + 1);
				var oldAvg = _avgAtr;
				_avgAtr = alpha * currentAtr + (1 - alpha) * _avgAtr;
				var atrDev = Math.Abs(currentAtr - oldAvg);
				_atrStdDev = alpha * atrDev + (1 - alpha) * _atrStdDev;
			}

			if (!IsFormedAndOnlineAndAllowTrading())
				return;

			if (ichimokuValue is not IchimokuValue ichimokuTyped ||
				ichimokuTyped.Tenkan is not decimal tenkan ||
				ichimokuTyped.Kijun is not decimal kijun ||
				ichimokuTyped.SenkouA is not decimal senkouA ||
				ichimokuTyped.SenkouB is not decimal senkouB)
			{
				return;
			}

			var upperKumo = Math.Max(senkouA, senkouB);
			var lowerKumo = Math.Min(senkouA, senkouB);
			var isVolatilityContraction = currentAtr <= _avgAtr;

			if (isVolatilityContraction)
			{
				if (candle.ClosePrice > upperKumo && tenkan > kijun && Position <= 0)
					BuyMarket(Volume + Math.Abs(Position));
				else if (candle.ClosePrice < lowerKumo && tenkan < kijun && Position >= 0)
					SellMarket(Volume + Math.Abs(Position));
			}

			if (Position > 0 && candle.ClosePrice < lowerKumo)
				SellMarket(Position);
			else if (Position < 0 && candle.ClosePrice > upperKumo)
				BuyMarket(-Position);
		}
	}
}