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Williams R Momentum

Williams R Momentum 策略基于 Williams %R with Momentum filter。

当 Williams confirms momentum shifts 在日内（5m）数据上得到确认时触发信号，适合积极交易者。

止损依赖于 ATR 倍数以及 WilliamsRPeriod, MomentumPeriod 等参数，可根据需要调整以平衡风险与收益。

详情

  • 入场条件：参见指标条件实现.
  • 多空方向：双向.
  • 退出条件：反向信号或止损逻辑.
  • 止损：是，基于指标计算.
  • 默认值:
    • WilliamsRPeriod = 14
    • MomentumPeriod = 14
    • WilliamsROversold = -80m
    • WilliamsROverbought = -20m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 过滤器:
    • 分类: 趋势跟随
    • 方向: 双向
    • 指标: Williams, R
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内 (5m)
    • 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>
/// Strategy based on Williams %R with Momentum filter.
/// </summary>
public class WilliamsPercentRWithMomentumStrategy : Strategy
{
	private readonly StrategyParam<int> _williamsRPeriod;
	private readonly StrategyParam<int> _momentumPeriod;
	private readonly StrategyParam<decimal> _williamsROversold;
	private readonly StrategyParam<decimal> _williamsROverbought;
	private readonly StrategyParam<DataType> _candleType;

	private WilliamsR _williamsR;
	private Momentum _momentum;
	private SimpleMovingAverage _momentumSma;

	/// <summary>
	/// Williams %R period parameter.
	/// </summary>
	public int WilliamsRPeriod
	{
		get => _williamsRPeriod.Value;
		set => _williamsRPeriod.Value = value;
	}

	/// <summary>
	/// Momentum period parameter.
	/// </summary>
	public int MomentumPeriod
	{
		get => _momentumPeriod.Value;
		set => _momentumPeriod.Value = value;
	}

	/// <summary>
	/// Williams %R oversold level parameter.
	/// </summary>
	public decimal WilliamsROversold
	{
		get => _williamsROversold.Value;
		set => _williamsROversold.Value = value;
	}

	/// <summary>
	/// Williams %R overbought level parameter.
	/// </summary>
	public decimal WilliamsROverbought
	{
		get => _williamsROverbought.Value;
		set => _williamsROverbought.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public WilliamsPercentRWithMomentumStrategy()
	{
		_williamsRPeriod = Param(nameof(WilliamsRPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Williams %R Period", "Period for Williams %R calculation", "Indicators")
			
			.SetOptimize(5, 30, 5);

		_momentumPeriod = Param(nameof(MomentumPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Momentum Period", "Period for Momentum calculation", "Indicators")
			
			.SetOptimize(5, 30, 5);

		_williamsROversold = Param(nameof(WilliamsROversold), -80m)
			.SetDisplay("Williams %R Oversold", "Williams %R oversold level", "Indicators")
			
			.SetOptimize(-90, -70, 5);

		_williamsROverbought = Param(nameof(WilliamsROverbought), -20m)
			.SetDisplay("Williams %R Overbought", "Williams %R overbought level", "Indicators")
			
			.SetOptimize(-30, -10, 5);

		_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();

		_williamsR?.Reset();
		_momentum?.Reset();
		_momentumSma?.Reset();
	}

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

		// Create indicators
		_williamsR = new WilliamsR { Length = WilliamsRPeriod };
		_momentum = new Momentum { Length = MomentumPeriod };
		_momentumSma = new SMA { Length = MomentumPeriod };

		// Subscribe to candles and bind indicators
		var subscription = SubscribeCandles(CandleType);
		
		subscription
			 .Bind(_williamsR, _momentum, (candle, williamsRValue, momentumValue) =>
			{
				// Calculate momentum average
				var momentumAvg = _momentumSma.Process(new DecimalIndicatorValue(_momentumSma, momentumValue, candle.ServerTime)).ToDecimal();
				
				// Process the strategy logic
				ProcessStrategy(candle, williamsRValue, momentumValue, momentumAvg);
			})
			.Start();

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

		// Setup position protection
		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);
	}

	private void ProcessStrategy(ICandleMessage candle, decimal williamsRValue, decimal momentumValue, decimal momentumAvg)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready for trading
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Check momentum - rising or falling
		var isMomentumRising = momentumValue > momentumAvg;
		
		// Trading logic
		if (williamsRValue < WilliamsROversold && isMomentumRising && Position <= 0)
		{
			// Williams %R oversold with rising momentum - Go long
			CancelActiveOrders();
			
			// Calculate position size
			var volume = Volume + Math.Abs(Position);
			
			// Enter long position
			BuyMarket(volume);
		}
		else if (williamsRValue > WilliamsROverbought && !isMomentumRising && Position >= 0)
		{
			// Williams %R overbought with falling momentum - Go short
			CancelActiveOrders();
			
			// Calculate position size
			var volume = Volume + Math.Abs(Position);
			
			// Enter short position
			SellMarket(volume);
		}
		
		// Exit logic - when Williams %R crosses the middle (-50) level
		if ((Position > 0 && williamsRValue > -50) || (Position < 0 && williamsRValue < -50))
		{
			// Close position
			ClosePosition();
		}
	}
}