Português PT
Ver no GitHub

ColorXvaMA Digit StDev Strategy

Overview

This strategy trades based on how far the price deviates from an exponential moving average (EMA). Two deviation multipliers (K1 and K2) define inner and outer bands calculated from the standard deviation of price.

When the price rises above the EMA by K2 standard deviations, the strategy enters a long position. When the price falls below the EMA by K2 standard deviations, it enters a short position. Existing positions are closed once the deviation returns inside the inner band defined by K1.

Parameters

  • EMA Length – period of the exponential moving average.
  • StdDev Length – period for the standard deviation calculation.
  • Deviation K1 – multiplier for the inner band used to exit positions.
  • Deviation K2 – multiplier for the outer band used to open positions.
  • Candle Type – timeframe of the candles.

Indicators

  • Exponential Moving Average
  • StandardDeviation

How It Works

  1. Subscribe to candles of the chosen timeframe.
  2. Calculate EMA and standard deviation of price.
  3. Compute price deviation from the EMA.
  4. Enter long/short when deviation exceeds ±K2×StdDev.
  5. Exit when deviation returns within ±K1×StdDev.

This approach seeks to capture strong mean deviations and exit on reversion.

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>
/// Strategy that enters positions based on price deviation from EMA and standard deviation.
/// Opens long when price is above EMA by K2*StdDev and short when below by K2*StdDev.
/// Closes positions when deviation returns within K1*StdDev.
/// </summary>
public class ColorXvaMaDigitStDevStrategy : Strategy
{
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _stdLength;
	private readonly StrategyParam<decimal> _k1;
	private readonly StrategyParam<decimal> _k2;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// EMA period length.
	/// </summary>
	public int MaLength { get => _maLength.Value; set => _maLength.Value = value; }

	/// <summary>
	/// Standard deviation period.
	/// </summary>
	public int StdLength { get => _stdLength.Value; set => _stdLength.Value = value; }

	/// <summary>
	/// Inner deviation multiplier.
	/// </summary>
	public decimal K1 { get => _k1.Value; set => _k1.Value = value; }

	/// <summary>
	/// Outer deviation multiplier.
	/// </summary>
	public decimal K2 { get => _k2.Value; set => _k2.Value = value; }

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

	/// <summary>
	/// Initializes parameters.
	/// </summary>
	public ColorXvaMaDigitStDevStrategy()
	{
		_maLength = Param(nameof(MaLength), 15)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "Period for the exponential moving average", "Parameters");

		_stdLength = Param(nameof(StdLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("StdDev Length", "Period for standard deviation", "Parameters");

		_k1 = Param(nameof(K1), 1.5m)
			.SetDisplay("Deviation K1", "Inner band multiplier", "Parameters");

		_k2 = Param(nameof(K2), 2.5m)
			.SetDisplay("Deviation K2", "Outer band multiplier", "Parameters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for market data", "General");
	}

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

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

		var ema = new ExponentialMovingAverage { Length = MaLength };
		var std = new StandardDeviation { Length = StdLength };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (stdValue == 0m)
			return;

		var deviation = candle.ClosePrice - emaValue;
		var filter1 = K1 * stdValue;
		var filter2 = K2 * stdValue;

		// Open long when price exceeds the upper band
		if (Position <= 0 && deviation > filter2)
		{
			BuyMarket();
		}
		// Open short when price falls below the lower band
		else if (Position >= 0 && deviation < -filter2)
		{
			SellMarket();
		}
		// Close long when price returns inside inner band
		else if (Position > 0 && deviation < filter1)
		{
			SellMarket();
		}
		// Close short when price returns inside inner band
		else if (Position < 0 && deviation > -filter1)
		{
			BuyMarket();
		}
	}
}