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Wetten gegen Beta bei Aktien

Die Betting Against Beta Stocks-Strategie geht long beim untersten Beta-Dezil eines Aktienuniversums und short beim höchsten Beta-Dezil. Die Neugewichtung erfolgt am ersten Handelstag jedes Monats.

Der Ansatz zielt darauf ab, die Anomalie auszunutzen, dass Aktien mit niedrigem Beta risikobereinigt tendenziell besser abschneiden. Es wird angenommen, dass ein Referenzwert für Beta-Berechnungen verfügbar ist.

Details

  • Einstiegskriterien: Monatliche Auswahl von Aktien mit niedrigem/hohem Beta.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Positionen werden bei der nächsten Neugewichtung angepasst.
  • Stops: Keine explizite Stop-Logik.
  • Standardwerte:
    • WindowDays = 252
    • Deciles = 10
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
    • MinTradeUsd = 100
  • Filter:
    • Kategorie: Statistisch
    • Richtung: Beide
    • Indikatoren: Beta
    • Stops: Nein
    • Komplexität: Mittel
    • Zeitrahmen: Täglich
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Betting-against-beta strategy that goes long the primary instrument when its rolling beta versus the benchmark is low and short when beta becomes elevated.
/// </summary>
public class BettingAgainstBetaStocksStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _betaLength;
	private readonly StrategyParam<decimal> _lowBetaThreshold;
	private readonly StrategyParam<decimal> _highBetaThreshold;
	private readonly StrategyParam<decimal> _exitBetaThreshold;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private Security _benchmark = null!;
	private Correlation _correlation = null!;
	private StandardDeviation _primaryDeviation = null!;
	private StandardDeviation _benchmarkDeviation = null!;
	private decimal _latestPrimaryPrice;
	private decimal _latestBenchmarkPrice;
	private decimal _previousPrimaryPrice;
	private decimal _previousBenchmarkPrice;
	private decimal? _previousBeta;
	private bool _primaryUpdated;
	private bool _benchmarkUpdated;
	private int _cooldownRemaining;

	/// <summary>
	/// Secondary benchmark security identifier.
	/// </summary>
	public string Security2Id
	{
		get => _security2Id.Value;
		set => _security2Id.Value = value;
	}

	/// <summary>
	/// Rolling beta lookback length.
	/// </summary>
	public int BetaLength
	{
		get => _betaLength.Value;
		set => _betaLength.Value = value;
	}

	/// <summary>
	/// Maximum beta required to open a long position.
	/// </summary>
	public decimal LowBetaThreshold
	{
		get => _lowBetaThreshold.Value;
		set => _lowBetaThreshold.Value = value;
	}

	/// <summary>
	/// Minimum beta required to open a short position.
	/// </summary>
	public decimal HighBetaThreshold
	{
		get => _highBetaThreshold.Value;
		set => _highBetaThreshold.Value = value;
	}

	/// <summary>
	/// Neutral beta threshold used to close positions.
	/// </summary>
	public decimal ExitBetaThreshold
	{
		get => _exitBetaThreshold.Value;
		set => _exitBetaThreshold.Value = value;
	}

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

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

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public BettingAgainstBetaStocksStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark security", "General");

		_betaLength = Param(nameof(BetaLength), 16)
			.SetRange(10, 150)
			.SetDisplay("Beta Length", "Rolling beta lookback length", "Indicators");

		_lowBetaThreshold = Param(nameof(LowBetaThreshold), 0.95m)
			.SetRange(0.2m, 1.2m)
			.SetDisplay("Low Beta Threshold", "Maximum beta required to open a long position", "Signals");

		_highBetaThreshold = Param(nameof(HighBetaThreshold), 1.05m)
			.SetRange(0.8m, 2.5m)
			.SetDisplay("High Beta Threshold", "Minimum beta required to open a short position", "Signals");

		_exitBetaThreshold = Param(nameof(ExitBetaThreshold), 1m)
			.SetRange(0.5m, 1.5m)
			.SetDisplay("Exit Beta Threshold", "Neutral beta threshold used to close positions", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 8)
			.SetRange(0, 100)
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "Risk");

		_stopLoss = Param(nameof(StopLoss), 2m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle series for both instruments", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);

		if (!Security2Id.IsEmpty())
			yield return (new Security { Id = Security2Id }, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_benchmark = null!;
		_correlation = null!;
		_primaryDeviation = null!;
		_benchmarkDeviation = null!;
		_latestPrimaryPrice = 0m;
		_latestBenchmarkPrice = 0m;
		_previousPrimaryPrice = 0m;
		_previousBenchmarkPrice = 0m;
		_previousBeta = null;
		_primaryUpdated = false;
		_benchmarkUpdated = false;
		_cooldownRemaining = 0;
	}

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

		if (Security == null)
			throw new InvalidOperationException("Primary security is not specified.");

		if (Security2Id.IsEmpty())
			throw new InvalidOperationException("Benchmark security identifier is not specified.");

		_benchmark = this.LookupById(Security2Id) ?? new Security { Id = Security2Id };
		_correlation = new Correlation { Length = BetaLength };
		_primaryDeviation = new StandardDeviation { Length = BetaLength };
		_benchmarkDeviation = new StandardDeviation { Length = BetaLength };
		_cooldownRemaining = 0;

		var primarySubscription = SubscribeCandles(CandleType, security: Security);
		var benchmarkSubscription = SubscribeCandles(CandleType, security: _benchmark);

		primarySubscription
			.Bind(ProcessPrimaryCandle)
			.Start();

		benchmarkSubscription
			.Bind(ProcessBenchmarkCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, primarySubscription);
			DrawCandles(area, benchmarkSubscription);
			DrawOwnTrades(area);
		}

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

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

		_latestPrimaryPrice = candle.ClosePrice;
		_primaryUpdated = true;
		TryProcessBeta(candle.OpenTime);
	}

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

		_latestBenchmarkPrice = candle.ClosePrice;
		_benchmarkUpdated = true;
		TryProcessBeta(candle.OpenTime);
	}

	private void TryProcessBeta(DateTime time)
	{
		if (!_primaryUpdated || !_benchmarkUpdated)
			return;

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		if (_previousPrimaryPrice <= 0m || _previousBenchmarkPrice <= 0m)
		{
			_previousPrimaryPrice = _latestPrimaryPrice;
			_previousBenchmarkPrice = _latestBenchmarkPrice;
			return;
		}

		var primaryReturn = (_latestPrimaryPrice - _previousPrimaryPrice) / Math.Max(_previousPrimaryPrice, 1m);
		var benchmarkReturn = (_latestBenchmarkPrice - _previousBenchmarkPrice) / Math.Max(_previousBenchmarkPrice, 1m);

		_previousPrimaryPrice = _latestPrimaryPrice;
		_previousBenchmarkPrice = _latestBenchmarkPrice;

		var correlationInput = new PairIndicatorValue<decimal>(_correlation, (primaryReturn, benchmarkReturn), time)
		{
			IsFinal = true
		};

		var correlation = _correlation.Process(correlationInput).ToDecimal();
		var primaryDeviation = _primaryDeviation.Process(primaryReturn, time, true).ToDecimal();
		var benchmarkDeviation = _benchmarkDeviation.Process(benchmarkReturn, time, true).ToDecimal();

		if (!_correlation.IsFormed || !_primaryDeviation.IsFormed || !_benchmarkDeviation.IsFormed || benchmarkDeviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var beta = correlation * (primaryDeviation / benchmarkDeviation);
		var bullishEntry = beta <= LowBetaThreshold;
		var bearishEntry = beta >= HighBetaThreshold;

		if (_cooldownRemaining == 0 && Position == 0)
		{
			if (bullishEntry)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (bearishEntry)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}
		else if (Position > 0 && beta >= ExitBetaThreshold)
		{
			SellMarket(Position);
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && beta <= ExitBetaThreshold)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_previousBeta = beta;
	}
}