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Weighted Harrell-Davis Quantile Estimator with AbsoluteDeviation Strategy

Strategy uses a median-based quantile estimator with absolute deviation bands to detect price outliers. It buys when the close drops below the lower band and sells when the close rises above the upper band.

Details

  • Entry Criteria: close below lower deviation band or above upper band
  • Long/Short: Both
  • Exit Criteria: opposite band cross
  • Stops: No
  • Default Values:
    • Length = 39
    • DeviationMultiplier = 1.213
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: Median
    • Stops: No
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Quantile estimator strategy with deviation bands.
/// Uses SMA + StdDev as Bollinger-like bands for mean reversion.
/// Buys when price drops below the lower band, sells when above upper band.
/// </summary>
public class WeightedHarrellDavisQuantileEstimatorWithAbsoluteDeviationStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _devMult;
	private readonly StrategyParam<DataType> _candleType;

	public int Length { get => _length.Value; set => _length.Value = value; }
	public decimal DevMult { get => _devMult.Value; set => _devMult.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public WeightedHarrellDavisQuantileEstimatorWithAbsoluteDeviationStrategy()
	{
		_length = Param(nameof(Length), 39)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Lookback period", "General");

		_devMult = Param(nameof(DevMult), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Mult", "Band multiplier", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var sma = new SimpleMovingAverage { Length = Length };
		var stdDev = new StandardDeviation { Length = Length };

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

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

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

		if (stdVal <= 0)
			return;

		var upper = smaVal + DevMult * stdVal;
		var lower = smaVal - DevMult * stdVal;

		if (candle.ClosePrice > upper && Position >= 0)
			SellMarket();
		else if (candle.ClosePrice < lower && Position <= 0)
			BuyMarket();
	}
}