日本語
GitHub で見る

Powertrend - 出来高レンジフィルター戦略

この戦略は出来高調整レンジフィルターを使用して動的な価格帯を定義します。アップトレンド中に価格が上限バンドを突破するとロングエントリーが発生し、価格が下限バンドを下回るとポジションが決済されます。オプションのフィルターにはADX、高値/安値によるトレンド確認、フィルター値のVWMAが含まれます。

計算と執行

C# と Python は次の明示的な因果定義を使います。確定足で d = abs(Close - 前の Close)、V = TotalVolume とします。RangePeriod 回の変化が揃った後、現在足を含む窓で r = RangeMultiplier * sum(d * V) / sum(V) を計算し、合計出来高は正とします。最初の形成済みフィルター f は現在の終値です。その後は前の f を [Close - r, Close + r] に制限します。現在の判定バンドは中心更新前の 前の f + r と 前の f - r です。これにより、フィルターを移動した後のバンドを突破価格そのものと定義する問題を避けます。

ポジションなしで Close > 上限バンド かつフィルター上昇時だけ Volume を買います。Close < 下限バンド ならエントリーフィルターに関係なく全ロングを成行決済します。同値はポジション維持、未完了注文中は追加注文を禁止します。ショート、EMA 交差、待機時間はありません。

任意の ADX は形成済みで AdxThreshold より厳密に高い必要があります。無効な ADX は登録せず、その準備完了を待ちません。高値・安値確認は 現在の High > 前の High と 現在の Low > 前の Low を同時に要求します。フィルター値の VWMA は現在値を含む直近 VwmaPeriod 個の形成済み値の sum(f * V) / sum(V) です。完全な窓、正の合計出来高、Close > VWMA が必要です。無効なフィルターは準備完了を要求しません。これは確定足での成行判断であり、取引所のストップ注文や足内の高値・安値での想定約定ではありません。

標準値：RangePeriod=40、RangeMultiplier=1.5、AdxPeriod=14、AdxThreshold=20、VwmaPeriod=20、CandleType=TimeSpan.FromMinutes(5).TimeFrame()。IsAdxFilterEnabled、IsHighLowFilterEnabled、IsVwmaFilterEnabled はすべて false。期間と倍率は正、ADX 閾値は [0, 100] 内にします。この式と値が本例を明確化します。元の短い説明には原指標の式がありませんでした。

namespace StockSharp.Samples.Strategies;

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;

/// <summary>
/// Long-only volume-weighted range breakouts with optional ADX, high/low and filter-value VWMA confirmation.
/// </summary>
public class PowertrendVolumeRangeFilterStrategy : Strategy
{
	private readonly StrategyParam<int> _rangePeriod;
	private readonly StrategyParam<decimal> _rangeMultiplier;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<int> _vwmaPeriod;
	private readonly StrategyParam<bool> _isAdxFilterEnabled;
	private readonly StrategyParam<bool> _isHighLowFilterEnabled;
	private readonly StrategyParam<bool> _isVwmaFilterEnabled;
	private readonly StrategyParam<DataType> _candleType;
	private readonly Queue<(decimal delta, decimal volume)> _changes = [];
	private readonly Queue<(decimal price, decimal volume)> _filtered = [];
	private decimal? _previousClose;
	private decimal? _previousHigh;
	private decimal? _previousLow;
	private decimal? _filter;
	private decimal _weightedRange;
	private decimal _rangeVolume;
	private decimal _weightedFilter;
	private decimal _filterVolume;
	private Order _pendingOrder;

	/// <summary>Initializes a 40-change range multiplied by 1.5, disabled optional filters and five-minute candles.</summary>
	public PowertrendVolumeRangeFilterStrategy()
	{
		_rangePeriod = Param(nameof(RangePeriod), 40).SetGreaterThanZero()
			.SetDisplay("Range Period", "Volume-weighted absolute close changes", "Range");
		_rangeMultiplier = Param(nameof(RangeMultiplier), 1.5m).SetGreaterThanZero()
			.SetDisplay("Range Multiplier", "Multiplier of the volume-weighted price-change range", "Range");
		_adxPeriod = Param(nameof(AdxPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ADX Period", "Native directional-index period", "Filters");
		_adxThreshold = Param(nameof(AdxThreshold), 20m).SetRange(0m, 100m)
			.SetDisplay("ADX Threshold", "Strict lower bound on formed ADX for entries", "Filters");
		_vwmaPeriod = Param(nameof(VwmaPeriod), 20).SetGreaterThanZero()
			.SetDisplay("VWMA Period", "Volume-weighted average of formed filter values", "Filters");
		_isAdxFilterEnabled = Param(nameof(IsAdxFilterEnabled), false)
			.SetDisplay("ADX Enabled", "Require formed ADX above its threshold", "Filters");
		_isHighLowFilterEnabled = Param(nameof(IsHighLowFilterEnabled), false)
			.SetDisplay("High/Low Enabled", "Require both a higher high and a higher low", "Filters");
		_isVwmaFilterEnabled = Param(nameof(IsVwmaFilterEnabled), false)
			.SetDisplay("VWMA Enabled", "Require close above the formed filter-value VWMA", "Filters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Finished candles supplying price and true total volume", "General");
		OrderRegistering += order => _pendingOrder = order;
	}

	/// <summary>Number of close changes used to form a volume-weighted range.</summary>
	public int RangePeriod { get => _rangePeriod.Value; set => _rangePeriod.Value = value; }
	/// <summary>Positive multiplier applied to the weighted range.</summary>
	public decimal RangeMultiplier { get => _rangeMultiplier.Value; set => _rangeMultiplier.Value = value; }
	/// <summary>Native ADX length.</summary>
	public int AdxPeriod { get => _adxPeriod.Value; set => _adxPeriod.Value = value; }
	/// <summary>Strict ADX entry threshold in [0, 100].</summary>
	public decimal AdxThreshold { get => _adxThreshold.Value; set => _adxThreshold.Value = value; }
	/// <summary>Number of formed filter values in the optional VWMA.</summary>
	public int VwmaPeriod { get => _vwmaPeriod.Value; set => _vwmaPeriod.Value = value; }
	/// <summary>Require a formed native ADX above the threshold for entry.</summary>
	public bool IsAdxFilterEnabled { get => _isAdxFilterEnabled.Value; set => _isAdxFilterEnabled.Value = value; }
	/// <summary>Require current high and low to exceed the previous candle's high and low.</summary>
	public bool IsHighLowFilterEnabled { get => _isHighLowFilterEnabled.Value; set => _isHighLowFilterEnabled.Value = value; }
	/// <summary>Require current close above the formed filter-value VWMA.</summary>
	public bool IsVwmaFilterEnabled { get => _isVwmaFilterEnabled.Value; set => _isVwmaFilterEnabled.Value = value; }
	/// <summary>Base candle type; five minutes by default.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	private void ResetState()
	{
		_changes.Clear();
		_filtered.Clear();
		_previousClose = _previousHigh = _previousLow = _filter = null;
		_weightedRange = _rangeVolume = _weightedFilter = _filterVolume = 0m;
		_pendingOrder = null;
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		if (RangePeriod <= 0 || RangeMultiplier <= 0m || AdxPeriod <= 0 || AdxThreshold < 0m
			|| AdxThreshold > 100m || VwmaPeriod <= 0)
			throw new ArgumentException("Range/ADX/VWMA periods and multiplier must be positive; ADX threshold must be within [0, 100].");
		ResetState();
		var adx = new AverageDirectionalIndex { Length = AdxPeriod };
		var subscription = SubscribeCandles(CandleType);
		if (IsAdxFilterEnabled)
			subscription.BindEx([adx], ProcessCandle, allowEmpty: true).Start();
		else
			subscription.Bind(candle => ProcessCandle(candle, [])).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			if (IsAdxFilterEnabled)
				DrawIndicator(area, adx);
			DrawOwnTrades(area);
		}
	}

	private void Submit(Sides side, decimal volume)
		=> RegisterOrder(new Order { Security = Security, Portfolio = Portfolio, Type = OrderTypes.Market, Side = side, Volume = volume });

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue[] values)
	{
		if (candle.State != CandleStates.Finished)
			return;
		var higherHighLow = _previousHigh is decimal high && _previousLow is decimal low
			&& candle.HighPrice > high && candle.LowPrice > low;
		_previousHigh = candle.HighPrice;
		_previousLow = candle.LowPrice;
		if (_previousClose is decimal previous)
		{
			var delta = Math.Abs(candle.ClosePrice - previous);
			_changes.Enqueue((delta, candle.TotalVolume));
			_weightedRange += delta * candle.TotalVolume;
			_rangeVolume += candle.TotalVolume;
			if (_changes.Count > RangePeriod)
			{
				var removed = _changes.Dequeue();
				_weightedRange -= removed.delta * removed.volume;
				_rangeVolume -= removed.volume;
			}
		}
		_previousClose = candle.ClosePrice;
		if (_changes.Count < RangePeriod || _rangeVolume <= 0m)
			return;
		var width = RangeMultiplier * _weightedRange / _rangeVolume;
		var prior = _filter;
		if (prior is null)
			_filter = candle.ClosePrice;
		else if (candle.ClosePrice > prior + width)
			_filter = candle.ClosePrice - width;
		else if (candle.ClosePrice < prior - width)
			_filter = candle.ClosePrice + width;
		_filtered.Enqueue((_filter.Value, candle.TotalVolume));
		_weightedFilter += _filter.Value * candle.TotalVolume;
		_filterVolume += candle.TotalVolume;
		if (_filtered.Count > VwmaPeriod)
		{
			var removed = _filtered.Dequeue();
			_weightedFilter -= removed.price * removed.volume;
			_filterVolume -= removed.volume;
		}
		if (prior is not decimal center || !IsFormedAndOnlineAndAllowTrading()
			|| _pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (Position > 0m && candle.ClosePrice < center - width)
		{
			Submit(Sides.Sell, Position);
			return;
		}
		if (Position != 0m || width <= 0m || candle.ClosePrice <= center + width || _filter <= center
			|| IsHighLowFilterEnabled && !higherHighLow
			|| IsVwmaFilterEnabled && (_filtered.Count < VwmaPeriod || _filterVolume <= 0m || candle.ClosePrice <= _weightedFilter / _filterVolume))
			return;
		if (IsAdxFilterEnabled && (!values[0].IsFormed
			|| ((IAverageDirectionalIndexValue)values[0]).MovingAverage is not decimal strength || strength <= AdxThreshold))
			return;
		Submit(Sides.Buy, Volume);
	}
}