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OBV 背离策略

能量潮（OBV）通过累积成交量反映成交动能，理论上成交量领先价格。当价格创出新高但 OBV 未能确认，或反之，可能预示反转。本策略利用这种背离做反向交易，抓住难以持续的走势。

测试表明年均收益约为 112%，该策略在外汇市场表现最佳。

每根K线都会更新 OBV，并与之前读数比较。当价格创新低但 OBV 形成更高的低点时发出看涨信号；当价格上破新高但 OBV 滞后时则为看跌信号。移动平均线提供离场依据，百分比止损控制风险。

该方法试图在成交量耗尽后捕捉均值回归，通常持仓到价格重新穿过均线为止。

细节

  • 入场条件：价格与 OBV 背离。
  • 多/空：双向。
  • 退出条件：价格穿越移动平均线或止损。
  • 止损：是，按百分比。
  • 默认值：
    • DivergencePeriod = 5
    • MAPeriod = 20
    • CandleType = 5 分钟
    • StopLossPercent = 2
  • 过滤条件：
    • 类别: 背离
    • 方向: 双向
    • 指标: OBV, 均线
    • 止损: 有
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 是
    • 风险级别: 中等
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>
/// OBV (On-Balance Volume) Divergence strategy.
/// Tracks OBV direction vs price direction over a lookback window.
/// Bullish divergence: price trending down but OBV trending up.
/// Bearish divergence: price trending up but OBV trending down.
/// Uses SMA for exit signals.
/// </summary>
public class ObvDivergenceStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _lookback;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _cumulativeObv;
	private decimal _prevClosePrice;
	private readonly List<decimal> _priceHistory = new();
	private readonly List<decimal> _obvHistory = new();
	private int _cooldown;

	/// <summary>
	/// MA Period.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Lookback period for divergence.
	/// </summary>
	public int Lookback
	{
		get => _lookback.Value;
		set => _lookback.Value = value;
	}

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public ObvDivergenceStrategy()
	{
		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for SMA exit signal", "Indicators");

		_lookback = Param(nameof(Lookback), 10)
			.SetGreaterThanZero()
			.SetDisplay("Lookback", "Lookback period for divergence detection", "Indicators");

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

		_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();
		_cumulativeObv = default;
		_prevClosePrice = default;
		_priceHistory.Clear();
		_obvHistory.Clear();
		_cooldown = default;
	}

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

		_cumulativeObv = 0;
		_prevClosePrice = 0;
		_priceHistory.Clear();
		_obvHistory.Clear();
		_cooldown = 0;

		var sma = new SimpleMovingAverage { Length = MAPeriod };

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

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

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

		// Calculate OBV manually
		if (_prevClosePrice > 0)
		{
			if (candle.ClosePrice > _prevClosePrice)
				_cumulativeObv += candle.TotalVolume;
			else if (candle.ClosePrice < _prevClosePrice)
				_cumulativeObv -= candle.TotalVolume;
		}
		_prevClosePrice = candle.ClosePrice;

		// Store history
		_priceHistory.Add(candle.ClosePrice);
		_obvHistory.Add(_cumulativeObv);

		// Keep only what we need
		if (_priceHistory.Count > Lookback + 1)
		{
			_priceHistory.RemoveAt(0);
			_obvHistory.RemoveAt(0);
		}

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_priceHistory.Count <= Lookback)
			return;

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

		// Compare current values to lookback-period-ago values
		var priceChange = _priceHistory[_priceHistory.Count - 1] - _priceHistory[0];
		var obvChange = _obvHistory[_obvHistory.Count - 1] - _obvHistory[0];

		// Bullish divergence: price down but OBV up
		var bullishDiv = priceChange < 0 && obvChange > 0;
		// Bearish divergence: price up but OBV down
		var bearishDiv = priceChange > 0 && obvChange < 0;

		if (Position == 0 && bullishDiv)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		else if (Position == 0 && bearishDiv)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position > 0 && candle.ClosePrice < smaValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && candle.ClosePrice > smaValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}