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Volatility Breakout Strategy

该策略在价格脱离平均区间时捕捉强势走势。通过平均真实波幅(ATR)衡量价格与简单移动平均线的距离，并据此设定随波动变化的突破阈值。

测试表明年均收益约为 97%，该策略在加密市场表现最佳。

当收盘价高于SMA超过Multiplier*ATR时买入；当收盘价低于SMA相同距离时卖出。持仓直到出现反向突破或触发止损。

此方法适合在日内动量爆发中获利的交易者。ATR阈值有助于过滤噪声，仅在显著波动时进场。

细节

  • 入场条件:
    • 多头: Close > SMA + Multiplier*ATR
    • 空头: Close < SMA - Multiplier*ATR
  • 多/空: 双向
  • 离场条件:
    • 多头: 反向突破或止损触发
    • 空头: 反向突破或止损触发
  • 止损: Multiplier*ATR
  • 默认值:
    • Period = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Breakout
    • 方向: 双向
    • 指标: SMA, ATR
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
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>
/// Volatility Breakout strategy. Enters trades when price breaks out from average price with volatility threshold.
/// </summary>
public class VolatilityBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _periodParam;
	private readonly StrategyParam<decimal> _multiplierParam;
	private readonly StrategyParam<DataType> _candleTypeParam;

	private SimpleMovingAverage _sma;
	private AverageTrueRange _atr;
	
	private decimal _prevSma;
	private decimal _prevAtr;

	/// <summary>
	/// Period for SMA and ATR calculations.
	/// </summary>
	public int Period
	{
		get => _periodParam.Value;
		set => _periodParam.Value = value;
	}

	/// <summary>
	/// Volatility multiplier for breakout threshold.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplierParam.Value;
		set => _multiplierParam.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public VolatilityBreakoutStrategy()
	{
		_periodParam = Param(nameof(Period), 20)
			.SetGreaterThanZero()
			.SetDisplay("Period", "Period for SMA and ATR", "Parameters")
			
			.SetOptimize(10, 50, 5);

		_multiplierParam = Param(nameof(Multiplier), 2.0m)
			.SetRange(0.1m, decimal.MaxValue)
			.SetDisplay("Multiplier", "Volatility multiplier for breakout threshold", "Parameters")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy", "Common");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_sma = null;
		_atr = null;
		_prevSma = 0;
		_prevAtr = 0;
	}

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

// Create indicators
		_sma = new SMA { Length = Period };
		_atr = new AverageTrueRange { Length = Period };

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

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _sma);
			DrawOwnTrades(area);
		}
		
		// Enable position protection
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute), // No take profit
			stopLoss: new Unit(Multiplier, UnitTypes.Absolute) // Stop loss at 2*ATR
		);
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;
		
		// Save values for the next candle
		var currentSma = smaValue;
		var currentAtr = atrValue;
		
		// Skip first candle after indicators become formed
		if (_prevSma == 0 || _prevAtr == 0)
		{
			_prevSma = currentSma;
			_prevAtr = currentAtr;
			return;
		}
		
		// Calculate volatility threshold
		var threshold = Multiplier * currentAtr;
		
		// Check for long setup - price breaks above SMA + threshold
		if (candle.ClosePrice > currentSma + threshold && Position <= 0)
		{
			// Close any short position and open long
			BuyMarket(Volume + Math.Abs(Position));
		}
		// Check for short setup - price breaks below SMA - threshold
		else if (candle.ClosePrice < currentSma - threshold && Position >= 0)
		{
			// Close any long position and open short
			SellMarket(Volume + Math.Abs(Position));
		}
		
		// Update previous values for next candle
		_prevSma = currentSma;
		_prevAtr = currentAtr;
	}
}