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VWAP 均值回归策略

该策略在价格偏离成交量加权平均价(VWAP)时进行反向操作。ATR 用于衡量价格离开 VWAP 的幅度，超过一定倍数才考虑进场。

测试表明年均收益约为 58%，该策略在股票市场表现最佳。

当价格低于 VWAP 且距离超过 K 倍 ATR 时开多；当价格高于 VWAP 同样幅度时做空。价格回到 VWAP 线附近即平仓。

该方法适合日内交易者，假设价格围绕 VWAP 波动。止损以 ATR 的倍数计算，以免走势继续而造成过大损失。

详细信息

  • 入场条件:
    • 做多: Close < VWAP - K * ATR
    • 做空: Close > VWAP + K * ATR
  • 多空方向: 双向
  • 退出条件:
    • 做多: Exit when close >= VWAP
    • 做空: Exit when close <= VWAP
  • 止损: 是
  • 默认值:
    • K = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
    • AtrPeriod = 14
  • 筛选条件:
    • 类别: 均值回归
    • 方向: 双向
    • 指标: VWAP, 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>
/// VWAP Mean Reversion Strategy.
/// Enter when price deviates from VWAP by a certain ATR multiple.
/// Exit when price returns to VWAP.
/// </summary>
public class VwapMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<decimal> _kParam;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _atrPeriod;

	private AverageTrueRange _atr;
	private VolumeWeightedMovingAverage _vwap;
	private decimal _currentAtr;
	private decimal _currentVwap;

	/// <summary>
	/// ATR multiplier for entry.
	/// </summary>
	public decimal K
	{
		get => _kParam.Value;
		set => _kParam.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="VwapMeanReversionStrategy"/>.
	/// </summary>
	public VwapMeanReversionStrategy()
	{
		_kParam = Param(nameof(K), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR multiplier for entry distance from VWAP", "Strategy Parameters")
			
			.SetOptimize(1.0m, 4.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "Strategy Parameters");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR indicator period", "Strategy Parameters")
			
			.SetOptimize(10, 20, 2);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_atr = null;
		_vwap = null;
		_currentAtr = default;
		_currentVwap = default;
	}

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


		// Create indicators
		_atr = new AverageTrueRange { Length = AtrPeriod };
		_vwap = new VolumeWeightedMovingAverage { Length = AtrPeriod };

		// Create subscription for candles
		var subscription = SubscribeCandles(CandleType);

		// Bind indicators to candles
		subscription
			.Bind(_atr, ProcessATR)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _atr);
			DrawOwnTrades(area);
		}

		// Enable position protection
		StartProtection(
			takeProfit: new Unit(5, UnitTypes.Percent),
			stopLoss: new Unit(2, UnitTypes.Percent)
		);
	}

	private void ProcessATR(ICandleMessage candle, decimal atr)
	{
		if (candle.State != CandleStates.Finished)
			return;

		try
		{
			_currentVwap = _vwap.Process(candle).ToDecimal();
		}
		catch
		{
			return;
		}

		_currentAtr = atr;
		ProcessStrategy(candle.ClosePrice);
	}

	private void ProcessStrategy(decimal currentPrice)
	{
		// Check if strategy is ready for trading
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Skip if we don't have valid VWAP or ATR yet
		if (_currentVwap <= 0 || _currentAtr <= 0)
			return;

		// Calculate distance to VWAP
		var upperBand = _currentVwap + K * _currentAtr;
		var lowerBand = _currentVwap - K * _currentAtr;

		LogInfo($"Current Price: {currentPrice}, VWAP: {_currentVwap}, Upper: {upperBand}, Lower: {lowerBand}");

		// Entry logic
		if (Position == 0)
		{
			// Long Entry: Price is below lower band
			if (currentPrice < lowerBand)
			{
				// Buy when price is too low compared to VWAP
				LogInfo($"Buy Signal - Price ({currentPrice}) < Lower Band ({lowerBand})");
				BuyMarket(Volume);
			}
			// Short Entry: Price is above upper band
			else if (currentPrice > upperBand)
			{
				// Sell when price is too high compared to VWAP
				LogInfo($"Sell Signal - Price ({currentPrice}) > Upper Band ({upperBand})");
				SellMarket(Volume);
			}
		}
		// Exit logic
		else if (Position > 0 && currentPrice > _currentVwap)
		{
			// Exit Long: Price returned to VWAP
			LogInfo($"Exit Long - Price ({currentPrice}) > VWAP ({_currentVwap})");
			SellMarket(Math.Abs(Position));
		}
		else if (Position < 0 && currentPrice < _currentVwap)
		{
			// Exit Short: Price returned to VWAP
			LogInfo($"Exit Short - Price ({currentPrice}) < VWAP ({_currentVwap})");
			BuyMarket(Math.Abs(Position));
		}
	}
}