中文 ZH
在 GitHub 上查看

Stochastic Implied Volatility Skew

Stochastic Implied Volatility Skew 策略基于 Stochastic Implied Volatility Skew。

当 Stochastic confirms trend changes 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 StochLength, StochK 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:
    • StochLength = 14
    • StochK = 3
    • StochD = 3
    • IvPeriod = 20
    • StopLoss = 2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 过滤器:
    • 分类: 趋势跟随
    • 方向: 双向
    • 指标: Stochastic, Skew
    • 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.Collections.Generic;

using Ecng.Common;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Stochastic strategy filtered by deterministic implied-volatility skew regime changes.
/// </summary>
public class StochasticImpliedVolatilitySkewStrategy : Strategy
{
	private readonly StrategyParam<int> _stochLength;
	private readonly StrategyParam<int> _stochK;
	private readonly StrategyParam<int> _stochD;
	private readonly StrategyParam<int> _ivPeriod;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private StochasticOscillator _stochastic;
	private SimpleMovingAverage _ivSkewSma;
	private decimal _currentIvSkew;
	private decimal _avgIvSkew;
	private decimal? _prevK;
	private bool _prevHighSkew;
	private bool _prevLowSkew;
	private int _cooldownRemaining;

	/// <summary>
	/// Stochastic length parameter.
	/// </summary>
	public int StochLength
	{
		get => _stochLength.Value;
		set => _stochLength.Value = value;
	}

	/// <summary>
	/// Stochastic %K smoothing parameter.
	/// </summary>
	public int StochK
	{
		get => _stochK.Value;
		set => _stochK.Value = value;
	}

	/// <summary>
	/// Stochastic %D smoothing parameter.
	/// </summary>
	public int StochD
	{
		get => _stochD.Value;
		set => _stochD.Value = value;
	}

	/// <summary>
	/// IV skew averaging period.
	/// </summary>
	public int IvPeriod
	{
		get => _ivPeriod.Value;
		set => _ivPeriod.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Closed candles to wait before another position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initialize strategy.
	/// </summary>
	public StochasticImpliedVolatilitySkewStrategy()
	{
		_stochLength = Param(nameof(StochLength), 14)
			.SetRange(5, 30)
			.SetDisplay("Stoch Length", "Period for stochastic oscillator", "Indicators");

		_stochK = Param(nameof(StochK), 3)
			.SetRange(1, 10)
			.SetDisplay("Stoch %K", "Smoothing for stochastic %K line", "Indicators");

		_stochD = Param(nameof(StochD), 3)
			.SetRange(1, 10)
			.SetDisplay("Stoch %D", "Smoothing for stochastic %D line", "Indicators");

		_ivPeriod = Param(nameof(IvPeriod), 20)
			.SetRange(10, 50)
			.SetDisplay("IV Period", "Period for IV skew averaging", "Options");

		_stopLoss = Param(nameof(StopLoss), 2m)
			.SetRange(1m, 5m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 18)
			.SetNotNegative()
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "General");

		_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();

		_stochastic = null;
		_ivSkewSma = null;
		_currentIvSkew = 0m;
		_avgIvSkew = 0m;
		_prevK = null;
		_prevHighSkew = false;
		_prevLowSkew = false;
		_cooldownRemaining = 0;
	}

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

		_stochastic = new StochasticOscillator
		{
			K = { Length = StochLength },
			D = { Length = StochD },
		};

		_ivSkewSma = new SimpleMovingAverage
		{
			Length = IvPeriod
		};

		Indicators.Add(_stochastic);
		Indicators.Add(_ivSkewSma);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

		StartProtection(
			new Unit(2, UnitTypes.Percent),
			new Unit(StopLoss, UnitTypes.Percent)
		);
	}

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

		SimulateIvSkew(candle);

		var ivSkewSmaValue = _ivSkewSma.Process(new DecimalIndicatorValue(_ivSkewSma, _currentIvSkew, candle.OpenTime) { IsFinal = true });
		if (!_ivSkewSma.IsFormed || ivSkewSmaValue.IsEmpty)
			return;

		_avgIvSkew = ivSkewSmaValue.ToDecimal();

		var stochResult = _stochastic.Process(candle);
		if (!_stochastic.IsFormed)
			return;

		if (stochResult is not StochasticOscillatorValue stochTyped || stochTyped.K is not decimal stochK)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var highSkew = _currentIvSkew > _avgIvSkew;
		var lowSkew = _currentIvSkew < _avgIvSkew;
		var oversold = stochK < 25m;
		var overbought = stochK > 75m;

		if (_cooldownRemaining == 0 && Position == 0 && oversold && highSkew)
		{
			BuyMarket();
			_cooldownRemaining = CooldownBars;
		}
		else if (_cooldownRemaining == 0 && Position == 0 && overbought && lowSkew)
		{
			SellMarket();
			_cooldownRemaining = CooldownBars;
		}

		_prevK = stochK;
		_prevHighSkew = highSkew;
		_prevLowSkew = lowSkew;
	}

	private void SimulateIvSkew(ICandleMessage candle)
	{
		var range = Math.Max(candle.HighPrice - candle.LowPrice, 1m);
		var body = candle.ClosePrice - candle.OpenPrice;
		var rangeRatio = range / Math.Max(candle.OpenPrice, 1m);
		var bodyRatio = body / range;

		// Rising candles tend to keep skew more negative, falling candles less negative or positive.
		_currentIvSkew = (bodyRatio * 0.2m) - Math.Min(0.15m, rangeRatio * 10m);
	}
}