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VWAP 回踩策略

成交量加权平均价（VWAP）是常用的日内基准。当价格远离 VWAP 后又出现向其回归的蜡烛时，通常会有短暂的反弹。本策略交易这种回踩。

测试表明年均收益约为 130%，该策略在股票市场表现最佳。

每根K线计算当前的 VWAP。如果看涨蜡烛收盘低于 VWAP，则做多；若看跌蜡烛收盘高于 VWAP，则做空。风险通过固定百分比止损控制，持仓通常仅维持到出现反向信号或止损触发。

由于属于日内极端的均值回归方法，该策略在震荡行情中效果更佳。

细节

  • 入场条件：阳线收盘低于 VWAP 或阴线收盘高于 VWAP。
  • 多/空：双向。
  • 退出条件：出现反向信号或止损。
  • 止损：是，按百分比。
  • 默认值：
    • CandleType = 5 分钟
    • StopLoss = 2%
  • 过滤条件：
    • 类别: 均值回归
    • 方向: 双向
    • 指标: VWAP
    • 止损: 有
    • 复杂度: 基础
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 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>
/// VWAP Bounce strategy.
/// Enters long when price bounces off VWAP from below with a bullish candle.
/// Enters short when price bounces off VWAP from above with a bearish candle.
/// Uses SMA for exit signals.
/// </summary>
public class VwapBounceStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevClose;
	private int _cooldown;

	/// <summary>
	/// MA Period.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.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 VwapBounceStrategy()
	{
		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for SMA", "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();
		_prevClose = default;
		_cooldown = default;
	}

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

		_prevClose = 0;
		_cooldown = 0;

		var vwma = new VolumeWeightedMovingAverage { Length = 20 };
		var sma = new SimpleMovingAverage { Length = MAPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_prevClose == 0)
		{
			_prevClose = candle.ClosePrice;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevClose = candle.ClosePrice;
			return;
		}

		var isBullish = candle.ClosePrice > candle.OpenPrice;
		var isBearish = candle.ClosePrice < candle.OpenPrice;

		// Bounce off VWAP from below (bullish): prev close was below VWAP, now above or near, bullish candle
		var bouncedUp = _prevClose < vwmaValue && candle.ClosePrice >= vwmaValue && isBullish;
		// Bounce off VWAP from above (bearish): prev close was above VWAP, now below or near, bearish candle
		var bouncedDown = _prevClose > vwmaValue && candle.ClosePrice <= vwmaValue && isBearish;

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

		_prevClose = candle.ClosePrice;
	}
}