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Volatility Adjusted Mean Reversion Strategy

此均值回归变体根据ATR与标准差之比调整入场阈值。若相对噪声的波动增大，触发交易所需的距离也随之增加，避免在剧烈波动时过早进场。

测试表明年均收益约为 115%，该策略在股票市场表现最佳。

当价格低于均线超过调整后的阈值时做多；价格高于均线同样距离时做空。价格重新靠近均线时离场。止损等于2倍ATR，在等待回归期间控制风险。

该自适应阈值适用于波动性变化较大的市场。

细节

  • 入场条件:
    • 多头: Price < MA - Multiplier * ATR/StdDev
    • 空头: Price > MA + Multiplier * ATR/StdDev
  • 多/空: 双向
  • 离场条件:
    • 多头: 收盘价>= MA
    • 空头: 收盘价<= MA
  • 止损: 基于ATR动态设置
  • 默认值:
    • Period = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Mean Reversion
    • 方向: 双向
    • 指标: ATR, StdDev
    • 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 Adjusted Mean Reversion strategy.
/// Uses ATR and Standard Deviation to create adaptive entry thresholds.
/// </summary>
public class VolatilityAdjustedMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _periodParam;
	private readonly StrategyParam<decimal> _multiplierParam;
	private readonly StrategyParam<DataType> _candleTypeParam;

	private SimpleMovingAverage _sma;
	private AverageTrueRange _atr;
	private StandardDeviation _stdDev;
	
	/// <summary>
	/// Period for indicators.
	/// </summary>
	public int Period
	{
		get => _periodParam.Value;
		set => _periodParam.Value = value;
	}

	/// <summary>
	/// 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 VolatilityAdjustedMeanReversionStrategy()
	{
		_periodParam = Param(nameof(Period), 20)
			.SetGreaterThanZero()
			.SetDisplay("Period", "Period for indicators", "Parameters")
			
			.SetOptimize(10, 50, 10);

		_multiplierParam = Param(nameof(Multiplier), 2.0m)
			.SetRange(0.1m, decimal.MaxValue)
			.SetDisplay("Multiplier", "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;
		_stdDev = null;
	}

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

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

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		
		// First, bind SMA and ATR
		subscription
			.Bind(_sma, _atr, _stdDev, 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, decimal stdDevValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;
		
		// Skip if standard deviation is too small to avoid division by zero
		if (stdDevValue < 0.0001m)
			return;
			
		// Calculate volatility ratio
		var volatilityRatio = atrValue / stdDevValue;
		
		// Calculate volatility-adjusted thresholds
		var threshold = Multiplier * atrValue / volatilityRatio;
		var upperThreshold = smaValue + threshold;
		var lowerThreshold = smaValue - threshold;
		
		// 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));
		}
	}
}