中文 ZH
在 GitHub 上查看

Keltner均值回归 (Keltner Reversion)

当价格突破Keltner通道时做反向交易, 期望价格回到中轨。

测试表明年均收益约为 130%，该策略在股票市场表现最佳。

通道宽度随波动率调整, 止损基于ATR倍数。

详情

  • 入场条件: Signals based on RSI, ATR, Keltner.
  • 多空方向: Both directions.
  • 出场条件: Opposite signal or stop.
  • 止损: Yes.
  • 默认值:
    • EmaPeriod = 20
    • AtrPeriod = 14
    • AtrMultiplier = 2.0m
    • StopLossAtrMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Mean Reversion
    • 方向: Both
    • 指标: RSI, ATR, Keltner
    • 止损: Yes
    • 复杂度: Basic
    • 时间框架: Intraday (5m)
    • 季节性: No
    • 神经网络: No
    • 背离: No
    • 风险等级: 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>
/// Strategy that trades on mean reversion using Keltner Channels.
/// It opens positions when price touches or breaks through the upper or lower Keltner Channel bands
/// and exits when price reverts to the middle band (EMA).
/// </summary>
public class KeltnerReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<decimal> _stopLossAtrMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private int _cooldown;

	/// <summary>
	/// Period for EMA calculation (middle band) (default: 20)
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Period for ATR calculation (default: 14)
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for Keltner Channel width (default: 2.0)
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop-loss calculation (default: 2.0)
	/// </summary>
	public decimal StopLossAtrMultiplier
	{
		get => _stopLossAtrMultiplier.Value;
		set => _stopLossAtrMultiplier.Value = value;
	}

	/// <summary>
	/// Type of candles used for strategy calculation
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

	/// <summary>
	/// Initialize the Keltner Reversion strategy
	/// </summary>
	public KeltnerReversionStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetDisplay("EMA Period", "Period for EMA calculation (middle band)", "Technical Parameters")
			
			.SetOptimize(10, 50, 5);

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "Period for ATR calculation (middle band)", "Technical Parameters")
			
			.SetOptimize(7, 21, 7);

		_atrMultiplier = Param(nameof(AtrMultiplier), 2.0m)
			.SetDisplay("ATR Multiplier", "ATR multiplier for Keltner Channel width", "Technical Parameters")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_stopLossAtrMultiplier = Param(nameof(StopLossAtrMultiplier), 2.0m)
			.SetDisplay("ATR Multiplier (Stop Loss)", "ATR multiplier for stop-loss calculation", "Risk Management")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "Technical Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_cooldown = default;
	}

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

		_cooldown = 0;

		// Create indicators
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, atr, ProcessCandle)
			.Start();

		// Configure chart
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema);
			DrawIndicator(area, atr);
			DrawOwnTrades(area);
		}
	}

	/// <summary>
	/// Process candle and check for Keltner Channel signals
	/// </summary>
	private void ProcessCandle(ICandleMessage candle, decimal emaValue, decimal atrValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		// Calculate Keltner Channel bands
		decimal upperBand = emaValue + (atrValue * AtrMultiplier);
		decimal lowerBand = emaValue - (atrValue * AtrMultiplier);

		if (Position == 0)
		{
			if (candle.ClosePrice < lowerBand)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (candle.ClosePrice > upperBand)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0)
		{
			if (candle.ClosePrice > emaValue)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			if (candle.ClosePrice < emaValue)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}
	}
}