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ボラティリティ・アクション戦略

この戦略は、4時間足で計算されたBill WilliamsのAlligatorトレンドフィルターと短期のボラティリティブレイクアウトを組み合わせます。

トレードルール

  • ロングエントリーの条件:
    • 期間1のATRが、Volatility Coefと期間ATR PeriodのATRの積より大きい。
    • ローソク足が陽線で24本の高値を更新する。
    • Alligatorラインが上向きに整列（Lips > Teeth > Jaw）し、始値と終値の両方がTeeth線より上にある。
  • ショートエントリー: 上記条件が反対方向に当てはまるとき。

エントリー時に、戦略はATR(1)の倍数としてストップロスとテイクプロフィットのレベルを設定します:

  • ストップロス = エントリー価格 ± Stop Coef × ATR(1)
  • テイクプロフィット = エントリー価格 ± Profit Coef × ATR(1)

パラメーター

  • Volatility Coef – 高速ATRと低速ATRを比較する乗数。
  • ATR Period – 低速ATRの期間。
  • Stop Coef – ストップロス用ATR乗数。
  • Profit Coef – テイクプロフィット用ATR乗数。
  • Candle Type – メイン分析の時間軸（Alligatorは4H足を使用）。
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>
/// Volatile Action strategy.
/// Combines volatility breakout (ATR) with Alligator trend filter.
/// </summary>
public class VolatileActionStrategy : Strategy
{
	private readonly StrategyParam<decimal> _volatilityCoef;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<DataType> _candleType;

	private AverageTrueRange _atr1;
	private AverageTrueRange _atrBase;
	private SmoothedMovingAverage _jaw;
	private SmoothedMovingAverage _teeth;
	private SmoothedMovingAverage _lips;

	public decimal VolatilityCoef { get => _volatilityCoef.Value; set => _volatilityCoef.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public VolatileActionStrategy()
	{
		_volatilityCoef = Param(nameof(VolatilityCoef), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Volatility Coef", "ATR1 multiplier against base ATR", "General");

		_atrPeriod = Param(nameof(AtrPeriod), 23)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Base ATR period", "General");

		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for main calculation", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_atr1 = default;
		_atrBase = default;
		_jaw = default;
		_teeth = default;
		_lips = default;
	}

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

		_atr1 = new AverageTrueRange { Length = 1 };
		_atrBase = new AverageTrueRange { Length = AtrPeriod };
		_jaw = new SmoothedMovingAverage { Length = 13 };
		_teeth = new SmoothedMovingAverage { Length = 8 };
		_lips = new SmoothedMovingAverage { Length = 5 };

		Indicators.Add(_atr1);
		Indicators.Add(_atrBase);
		Indicators.Add(_jaw);
		Indicators.Add(_teeth);
		Indicators.Add(_lips);

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

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			useMarketOrders: true);

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

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

		var atr1Val = _atr1.Process(candle);
		var atrBaseVal = _atrBase.Process(candle);

		var median = (candle.HighPrice + candle.LowPrice) / 2m;
		var jawVal = _jaw.Process(median, candle.OpenTime, true);
		var teethVal = _teeth.Process(median, candle.OpenTime, true);
		var lipsVal = _lips.Process(median, candle.OpenTime, true);

		if (!atr1Val.IsFormed || !atrBaseVal.IsFormed || !jawVal.IsFormed || !teethVal.IsFormed || !lipsVal.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var atr1 = atr1Val.ToDecimal();
		var atrBase = atrBaseVal.ToDecimal();
		var jaw = jawVal.ToDecimal();
		var teeth = teethVal.ToDecimal();
		var lips = lipsVal.ToDecimal();

		var hl = candle.HighPrice - candle.LowPrice;
		if (hl == 0) return;

		var hc = Math.Abs(candle.HighPrice - candle.ClosePrice);
		var lc = Math.Abs(candle.LowPrice - candle.ClosePrice);

		// Alligator bullish: lips > teeth > jaw
		var bullGator = lips > teeth && teeth > jaw;
		// Alligator bearish: lips < teeth < jaw
		var bearGator = lips < teeth && teeth < jaw;

		// Volatility breakout
		var volBreakout = atrBase > 0 && atr1 > VolatilityCoef * atrBase;

		if (Position == 0)
		{
			if (volBreakout && bullGator && candle.ClosePrice > candle.OpenPrice)
			{
				BuyMarket();
			}
			else if (volBreakout && bearGator && candle.ClosePrice < candle.OpenPrice)
			{
				SellMarket();
			}
		}
	}
}