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Стохастический перекос подразумеваемой волатильности

Стратегия Stochastic Implied Volatility Skew основана на стохастическом анализе перекоса подразумеваемой волатильности. Сигналы формируются, когда Stochastic подтверждает смену тренда на внутридневных данных (5м). Такой подход подходит активным трейдерам. Стопы рассчитываются исходя из кратных ATR и параметров StochLength, StochK. Эти значения можно изменять для баланса риска и прибыли.

Подробности

  • Условия входа: см. реализацию для условий по индикаторам.
  • Длинные/короткие позиции: обе стороны.
  • Условия выхода: обратный сигнал или логика стопов.
  • Стопы: да, вычисляются на основе индикаторов.
  • Значения по умолчанию:
    • StochLength = 14
    • StochK = 3
    • StochD = 3
    • IvPeriod = 20
    • StopLoss = 2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Фильтры:
    • Категория: Следование за трендом
    • Направление: Оба
    • Индикаторы: Stochastic, Skew
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Внутридневной (5m)
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
using System;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Stochastic strategy filtered by deterministic implied-volatility skew regime changes.
/// </summary>
public class StochasticImpliedVolatilitySkewStrategy : Strategy
{
	private readonly StrategyParam<int> _stochLength;
	private readonly StrategyParam<int> _stochK;
	private readonly StrategyParam<int> _stochD;
	private readonly StrategyParam<int> _ivPeriod;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private StochasticOscillator _stochastic;
	private SimpleMovingAverage _ivSkewSma;
	private decimal _currentIvSkew;
	private decimal _avgIvSkew;
	private decimal? _prevK;
	private bool _prevHighSkew;
	private bool _prevLowSkew;
	private int _cooldownRemaining;

	/// <summary>
	/// Stochastic length parameter.
	/// </summary>
	public int StochLength
	{
		get => _stochLength.Value;
		set => _stochLength.Value = value;
	}

	/// <summary>
	/// Stochastic %K smoothing parameter.
	/// </summary>
	public int StochK
	{
		get => _stochK.Value;
		set => _stochK.Value = value;
	}

	/// <summary>
	/// Stochastic %D smoothing parameter.
	/// </summary>
	public int StochD
	{
		get => _stochD.Value;
		set => _stochD.Value = value;
	}

	/// <summary>
	/// IV skew averaging period.
	/// </summary>
	public int IvPeriod
	{
		get => _ivPeriod.Value;
		set => _ivPeriod.Value = value;
	}

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

	/// <summary>
	/// Closed candles to wait before another position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initialize strategy.
	/// </summary>
	public StochasticImpliedVolatilitySkewStrategy()
	{
		_stochLength = Param(nameof(StochLength), 14)
			.SetRange(5, 30)
			.SetDisplay("Stoch Length", "Period for stochastic oscillator", "Indicators");

		_stochK = Param(nameof(StochK), 3)
			.SetRange(1, 10)
			.SetDisplay("Stoch %K", "Smoothing for stochastic %K line", "Indicators");

		_stochD = Param(nameof(StochD), 3)
			.SetRange(1, 10)
			.SetDisplay("Stoch %D", "Smoothing for stochastic %D line", "Indicators");

		_ivPeriod = Param(nameof(IvPeriod), 20)
			.SetRange(10, 50)
			.SetDisplay("IV Period", "Period for IV skew averaging", "Options");

		_stopLoss = Param(nameof(StopLoss), 2m)
			.SetRange(1m, 5m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 18)
			.SetNotNegative()
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "General");

		_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();

		_stochastic = null;
		_ivSkewSma = null;
		_currentIvSkew = 0m;
		_avgIvSkew = 0m;
		_prevK = null;
		_prevHighSkew = false;
		_prevLowSkew = false;
		_cooldownRemaining = 0;
	}

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

		_stochastic = new StochasticOscillator
		{
			K = { Length = StochLength },
			D = { Length = StochD },
		};

		_ivSkewSma = new SimpleMovingAverage
		{
			Length = IvPeriod
		};

		Indicators.Add(_stochastic);
		Indicators.Add(_ivSkewSma);

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

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

		StartProtection(
			new Unit(2, UnitTypes.Percent),
			new Unit(StopLoss, UnitTypes.Percent)
		);
	}

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

		SimulateIvSkew(candle);

		var ivSkewSmaValue = _ivSkewSma.Process(new DecimalIndicatorValue(_ivSkewSma, _currentIvSkew, candle.OpenTime) { IsFinal = true });
		if (!_ivSkewSma.IsFormed || ivSkewSmaValue.IsEmpty)
			return;

		_avgIvSkew = ivSkewSmaValue.ToDecimal();

		var stochResult = _stochastic.Process(candle);
		if (!_stochastic.IsFormed)
			return;

		if (stochResult is not StochasticOscillatorValue stochTyped || stochTyped.K is not decimal stochK)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var highSkew = _currentIvSkew > _avgIvSkew;
		var lowSkew = _currentIvSkew < _avgIvSkew;
		var oversold = stochK < 25m;
		var overbought = stochK > 75m;

		if (_cooldownRemaining == 0 && Position == 0 && oversold && highSkew)
		{
			BuyMarket();
			_cooldownRemaining = CooldownBars;
		}
		else if (_cooldownRemaining == 0 && Position == 0 && overbought && lowSkew)
		{
			SellMarket();
			_cooldownRemaining = CooldownBars;
		}

		_prevK = stochK;
		_prevHighSkew = highSkew;
		_prevLowSkew = lowSkew;
	}

	private void SimulateIvSkew(ICandleMessage candle)
	{
		var range = Math.Max(candle.HighPrice - candle.LowPrice, 1m);
		var body = candle.ClosePrice - candle.OpenPrice;
		var rangeRatio = range / Math.Max(candle.OpenPrice, 1m);
		var bodyRatio = body / range;

		// Rising candles tend to keep skew more negative, falling candles less negative or positive.
		_currentIvSkew = (bodyRatio * 0.2m) - Math.Min(0.15m, rangeRatio * 10m);
	}
}