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Williams R Slope Mean Reversion

The Williams R Slope Mean Reversion strategy focuses on extreme readings of the Williams to exploit reversion. Wide departures from the normal level rarely last.

Trades trigger when the indicator swings far from its mean and then begins to reverse. Both long and short setups include a protective stop.

Suited for swing traders expecting oscillations, the strategy closes out once the Williams returns toward balance. Starting parameter WilliamsRPeriod = 14.

Details

  • Entry Criteria: Indicator crosses back toward mean.
  • Long/Short: Both directions.
  • Exit Criteria: Indicator reverts to average.
  • Stops: Yes.
  • Default Values:
    • WilliamsRPeriod = 14
    • LookbackPeriod = 20
    • DeviationMultiplier = 2.0m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: Williams
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Short-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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>
/// Williams %R slope mean reversion strategy.
/// Trades reversions from extreme Williams %R slopes and exits when the slope returns to its recent average.
/// </summary>
public class WilliamsRSlopeMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _williamsRPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _longWilliamsLevel;
	private readonly StrategyParam<decimal> _shortWilliamsLevel;
	private readonly StrategyParam<DataType> _candleType;

	private WilliamsR _williamsR;
	private decimal _previousWilliamsValue;
	private decimal[] _slopeHistory;
	private int _currentIndex;
	private int _filledCount;
	private int _cooldown;
	private bool _isInitialized;

	/// <summary>
	/// Williams %R period.
	/// </summary>
	public int WilliamsRPeriod
	{
		get => _williamsRPeriod.Value;
		set => _williamsRPeriod.Value = value;
	}

	/// <summary>
	/// Period for slope statistics.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Multiplier for standard deviation to determine entry threshold.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Cooldown bars between orders.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Maximum Williams %R level for long entries.
	/// </summary>
	public decimal LongWilliamsLevel
	{
		get => _longWilliamsLevel.Value;
		set => _longWilliamsLevel.Value = value;
	}

	/// <summary>
	/// Minimum Williams %R level for short entries.
	/// </summary>
	public decimal ShortWilliamsLevel
	{
		get => _shortWilliamsLevel.Value;
		set => _shortWilliamsLevel.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="WilliamsRSlopeMeanReversionStrategy"/>.
	/// </summary>
	public WilliamsRSlopeMeanReversionStrategy()
	{
		_williamsRPeriod = Param(nameof(WilliamsRPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Williams %R Period", "Period for Williams %R indicator", "Indicator Parameters")
			.SetOptimize(10, 30, 2);

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for slope statistics", "Strategy Parameters")
			.SetOptimize(10, 50, 5);

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Multiplier for standard deviation to determine entry threshold", "Strategy Parameters")
			.SetOptimize(1m, 3m, 0.5m);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 1200)
			.SetRange(1, 5000)
			.SetDisplay("Cooldown Bars", "Bars to wait between orders", "Risk Management");

		_longWilliamsLevel = Param(nameof(LongWilliamsLevel), -80m)
			.SetRange(-100m, 0m)
			.SetDisplay("Long Williams Level", "Maximum Williams %R level for long entries", "Signal Filters");

		_shortWilliamsLevel = Param(nameof(ShortWilliamsLevel), -20m)
			.SetRange(-100m, 0m)
			.SetDisplay("Short Williams Level", "Minimum Williams %R level for short entries", "Signal Filters");

		_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()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_williamsR = null;
		_previousWilliamsValue = default;
		_slopeHistory = new decimal[LookbackPeriod];
		_currentIndex = default;
		_filledCount = default;
		_cooldown = default;
		_isInitialized = default;
	}

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

		_williamsR = new WilliamsR { Length = WilliamsRPeriod };
		_slopeHistory = new decimal[LookbackPeriod];
		_currentIndex = 0;
		_filledCount = 0;
		_cooldown = 0;

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

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

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

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

		if (!_williamsR.IsFormed)
			return;

		if (!_isInitialized)
		{
			_previousWilliamsValue = williamsRValue;
			_isInitialized = true;
			return;
		}

		var slope = williamsRValue - _previousWilliamsValue;
		_previousWilliamsValue = williamsRValue;

		_slopeHistory[_currentIndex] = slope;
		_currentIndex = (_currentIndex + 1) % LookbackPeriod;

		if (_filledCount < LookbackPeriod)
			_filledCount++;

		if (_filledCount < LookbackPeriod)
			return;

		var averageSlope = 0m;
		var sumSq = 0m;

		for (var i = 0; i < LookbackPeriod; i++)
			averageSlope += _slopeHistory[i];

		averageSlope /= LookbackPeriod;

		for (var i = 0; i < LookbackPeriod; i++)
		{
			var diff = _slopeHistory[i] - averageSlope;
			sumSq += diff * diff;
		}

		var slopeStdDev = (decimal)Math.Sqrt((double)(sumSq / LookbackPeriod));

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var lowerThreshold = averageSlope - DeviationMultiplier * slopeStdDev;
		var upperThreshold = averageSlope + DeviationMultiplier * slopeStdDev;

		if (Position == 0)
		{
			if (slope < lowerThreshold && williamsRValue <= LongWilliamsLevel)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (slope > upperThreshold && williamsRValue >= ShortWilliamsLevel)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0 && slope >= averageSlope)
		{
			SellMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && slope <= averageSlope)
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}