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ATR Mean Reversion 策略

此策略衡量价格偏离移动平均线的距离与近期波动(ATR)的比值。价格偏离越大，ATR阈值越宽，动态适应市场活跃程度。

测试表明年均收益约为 109%，该策略在加密市场表现最佳。

当收盘价低于均线Multiplier*ATR以上时做多；当收盘价高于均线同样距离时做空。价格回到均线时离场。ATR止损保持风险与当前波动相匹配。

适合短线交易者，在过度波动后期望价格回归均值。

细节

  • 入场条件:
    • 多头: Close < MA - Multiplier * ATR
    • 空头: Close > MA + Multiplier * ATR
  • 多/空: 双向
  • 离场条件:
    • 多头: 收盘价>= MA
    • 空头: 收盘价<= MA
  • 止损: 默认约2*ATR
  • 默认值:
    • MaPeriod = 20
    • AtrPeriod = 14
    • Multiplier = 2 MA为MaPeriod周期简单移动平均，ATR为AtrPeriod周期平均真实波幅。止损距入场收盘价Multiplier倍ATR，默认2倍ATR，按K线收盘检查。与持仓方向相反的入场信号会反转持仓。
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Mean Reversion
    • 方向: 双向
    • 指标: MA, 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.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ATR Mean Reversion strategy.
/// A close more than Multiplier times the AtrPeriod ATR below the MaPeriod simple moving average goes long and one that far above it goes
/// short, reversing an opposite position. A long closes once the close is back at or above the average and a short once it is back at or
/// below it. The stop lies Multiplier ATR from the entry close and is checked on candle closes.
/// </summary>
public class AtrMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _stopPrice;

	/// <summary>
	/// Period of the simple moving average.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Period of the ATR.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for the entry distance and the stop.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AtrMeanReversionStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period of the simple moving average", "Parameters");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period of the ATR", "Parameters");

		_multiplier = Param(nameof(Multiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "ATR multiplier for the entry distance and the stop", "Parameters");

		_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();
		_stopPrice = default;
	}

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

		_stopPrice = default;

		var sma = new SimpleMovingAverage { Length = MaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, atr);
			}
		}
	}

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

		if (!smaValue.IsFormed || !atrValue.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var sma = smaValue.GetValue<decimal>();
		var distance = Multiplier * atrValue.GetValue<decimal>();
		var close = candle.ClosePrice;

		if (close < sma - distance && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = close - distance;
		}
		else if (close > sma + distance && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = close + distance;
		}
		else if (Position > 0 && (close >= sma || close <= _stopPrice))
		{
			SellMarket(Position);
		}
		else if (Position < 0 && (close <= sma || close >= _stopPrice))
		{
			BuyMarket(-Position);
		}
	}
}