StockSharp.Strategies.0239_Williams_R_Mean_Reversion.py

Williams R Mean Reversion Strategy (Python Version)

Williams %R oscillates between 0 and -100 to show when price closes near the extremes of its recent range. This strategy fades those extremes once the indicator stretches far from its own average.

A long trade triggers when Williams %R falls below the average minus DeviationMultiplier times the standard deviation. A short trade is taken when it rises above the average plus that multiplier. Exits occur when Williams %R moves back toward its average level.

The approach suits traders who rely on momentum exhaustion to time entries. A protective stop-loss limits risk if price keeps moving to new extremes.

Details

• Entry Criteria:
  • Long: %R < Avg - DeviationMultiplier * StdDev
  • Short: %R > Avg + DeviationMultiplier * StdDev
• Long/Short: Both sides.
• Exit Criteria:
  • Long: Exit when %R > Avg
  • Short: Exit when %R < Avg
• Stops: Yes, percent stop-loss.
• Default Values:
  • WilliamsRPeriod = 14
  • AveragePeriod = 20
  • DeviationMultiplier = 2m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Mean Reversion
  • Direction: Both
  • Indicators: Williams %R
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk Level: Medium