中文 ZH
在 GitHub 上查看

ATR Mean Reversion Strategy

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 = 2.0m
    • 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.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>
/// ATR Mean Reversion strategy.
/// Trades when price deviates from its average by a multiple of ATR.
/// </summary>
public class AtrMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriodParam;
	private readonly StrategyParam<int> _atrPeriodParam;
	private readonly StrategyParam<decimal> _multiplierParam;
	private readonly StrategyParam<DataType> _candleTypeParam;

	private SimpleMovingAverage _sma;
	private AverageTrueRange _atr;

	/// <summary>
	/// Moving average period.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriodParam.Value;
		set => _maPeriodParam.Value = value;
	}

	/// <summary>
	/// ATR indicator period.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriodParam.Value;
		set => _atrPeriodParam.Value = value;
	}

	/// <summary>
	/// ATR multiplier for entry 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 AtrMeanReversionStrategy()
	{
		_maPeriodParam = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for Moving Average", "Parameters")
			
			.SetOptimize(10, 50, 10);

		_atrPeriodParam = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR indicator", "Parameters")
			
			.SetOptimize(7, 21, 7);

		_multiplierParam = Param(nameof(Multiplier), 2.0m)
			.SetRange(0.1m, decimal.MaxValue)
			.SetDisplay("ATR Multiplier", "ATR multiplier for entry 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;
	}

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

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

		// 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);
			DrawIndicator(area, _atr);
			DrawOwnTrades(area);
		}
		
		// Enable position protection
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute), // No take profit
			stopLoss: new Unit(2, 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;
		
		// Calculate entry thresholds
		var upperThreshold = smaValue + Multiplier * atrValue;
		var lowerThreshold = smaValue - Multiplier * atrValue;
		
		// Long setup - price below lower threshold
		if (candle.ClosePrice < lowerThreshold && Position <= 0)
		{
			// Buy signal - price has deviated too much below average
			BuyMarket(Volume + Math.Abs(Position));
		}
		// Short setup - price above upper threshold
		else if (candle.ClosePrice > upperThreshold && Position >= 0)
		{
			// Sell signal - price has deviated too much above average
			SellMarket(Volume + Math.Abs(Position));
		}
		// Exit long position when price returns to average
		else if (Position > 0 && candle.ClosePrice >= smaValue)
		{
			// Close long position
			SellMarket(Position);
		}
		// Exit short position when price returns to average
		else if (Position < 0 && candle.ClosePrice <= smaValue)
		{
			// Close short position
			BuyMarket(Math.Abs(Position));
		}
	}
}