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Momentum Rev Vol

Handelsregeln

Je Titel werden verschiedene abgeschlossene Tagesschlusskurse P verwendet: M = P[t]/P[t−Lookback12]−1, R = P[t]/P[t−Lookback1]−1. V ist die Stichproben-Standardabweichung der letzten VolWindow einfachen Tagesrenditen (Divisor N−1). Bewertung = WM×M − WR×R − WV×V, ohne Querschnittsnormalisierung. Absteigend sortieren: floor(n/Decile) Gewinner kaufen und ebenso viele Verlierer leerverkaufen. Mindestens Decile geeignete Titel sind nötig. Mengen bleiben zwischen Monatsprüfungen fixiert.

Universe muss explizit angegeben werden. Preise und Capital sind in USD je gehandelter Einheit angegeben. Capital ist ein festes Budget; Leverage bestimmt das Bruttoengagement. Es werden keine Stop-Loss- oder Take-Profit-Orders hinzugefügt.

Nur abgeschlossene Kerzen mit gleichem Zeitstempel werden gemeinsam ausgewertet. Statistiken zählen verschiedene UTC-Daten; weitere Intraday-Kerzen ersetzen den Tageswert. Die erste geeignete gemeinsame Kerze jedes Monats löst genau eine Umschichtung aus. Unvollständige Daten verschieben sie. Gleiche Werte werden nach Security.Id sortiert.

Jede Seite erhält die Hälfte von Capital × Leverage, gleichmäßig auf ihre Titel verteilt. Stückzahlen basieren auf dem Signalschlusskurs und werden zu null auf VolumeStep gerundet. Tatsächliche Ausführungen bestimmen den Bestand. Offene Orders werden abgewartet, MinVolume/MaxVolume eingehalten und große Anpassungen auf spätere Kerzen verteilt. MinTradeUsd gilt nicht für vollständige Glattstellungen.

Parameter

Parameter Standard
Universe erforderlich
Capital 100000
Leverage 1
MinTradeUsd 200
CandleType TimeSpan.FromMinutes(1440).TimeFrame()
PriceHistoryFile nicht gesetzt
Lookback12 252
Lookback1 21
VolWindow 60
WM 1
WR 1
WV 1
Decile 10

Eingabedaten

Optionale PriceHistoryFile-CSV: SecurityId,Date,Close, positive Kurse, eindeutige Titel/Datum-Paare, Datum yyyy-MM-dd. Intraday nur frühere UTC-Tage verwenden; eine abgeschlossene Tageskerze trägt ihren Schlusskurs bei. Zukünftige Zeilen greifen früheren Prüfungen nicht vor. Ausführungskerzen ersetzen ihren Tageswert.

Prüfung

Beide Sprachen werden mit gebündelten BTC/TON-Daten, unabhängigen Formeln, Orderseiten/-mengen, Ausführungen, Positionen und Ausstiegen geprüft. Datierte Preis-/Faktor- und Kalenderfixtures prüfen Mechanik; verschobene OHLC/Volumina sind keine mehrjährige Marktgeschichte. Zwei Ranggruppen, TopN=1 und SMA=2 sind ausdrücklich kleine Testprofile. Lange Originalfenster und Standardwerte werden separat geprüft. Keine Renditezusage.

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;

using Ecng.Common;

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

/// <summary>Momentum Rev Vol with point-in-time inputs and execution-based portfolio accounting.</summary>
public class MomentumRevVolStrategy : Strategy
{
	private readonly StrategyParam<IEnumerable<Security>> _universe;
	private readonly StrategyParam<decimal> _capital;
	private readonly StrategyParam<decimal> _leverage;
	private readonly StrategyParam<decimal> _minTradeUsd;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<string> _priceHistoryFile;
	private readonly StrategyParam<int> _lookback12;
	private readonly StrategyParam<int> _lookback1;
	private readonly StrategyParam<int> _volWindow;
	private readonly StrategyParam<decimal> _wM;
	private readonly StrategyParam<decimal> _wR;
	private readonly StrategyParam<decimal> _wV;
	private readonly StrategyParam<int> _decile;
	private Security[] _securities = [];
	private readonly Dictionary<Security, (DateTime time, decimal price)> _latest = [];
	private readonly Dictionary<Security, SortedDictionary<DateTime, decimal>> _history = [];
	private readonly Dictionary<Security, decimal> _targets = [];
	private readonly List<Order> _pending = [];
	private int _lastRebalance;
	private DateTime? _lastBar;

	/// <summary>Explicit execution universe with native volume metadata.</summary>
	public IEnumerable<Security> Universe { get => _universe.Value; set => _universe.Value = value; }

	/// <summary>Fixed USD capital budget.</summary>
	public decimal Capital { get => _capital.Value; set => _capital.Value = value; }

	/// <summary>Gross exposure divided by capital.</summary>
	public decimal Leverage { get => _leverage.Value; set => _leverage.Value = value; }

	/// <summary>Minimum USD adjustment; complete liquidation is exempt.</summary>
	public decimal MinTradeUsd { get => _minTradeUsd.Value; set => _minTradeUsd.Value = value; }

	/// <summary>Finished execution candle type.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>Optional CSV of causal daily close prices.</summary>
	public string PriceHistoryFile { get => _priceHistoryFile.Value; set => _priceHistoryFile.Value = value; }

	/// <summary>Daily return intervals for long-term momentum.</summary>
	public int Lookback12 { get => _lookback12.Value; set => _lookback12.Value = value; }

	/// <summary>Daily return intervals for reversal.</summary>
	public int Lookback1 { get => _lookback1.Value; set => _lookback1.Value = value; }

	/// <summary>Daily returns in the sample volatility window.</summary>
	public int VolWindow { get => _volWindow.Value; set => _volWindow.Value = value; }

	/// <summary>Weight of long-term momentum.</summary>
	public decimal WM { get => _wM.Value; set => _wM.Value = value; }

	/// <summary>Weight of negative short-term returns.</summary>
	public decimal WR { get => _wR.Value; set => _wR.Value = value; }

	/// <summary>Weight of negative sample return volatility.</summary>
	public decimal WV { get => _wV.Value; set => _wV.Value = value; }

	/// <summary>Number of equal rank buckets.</summary>
	public int Decile { get => _decile.Value; set => _decile.Value = value; }

	/// <summary>Initialize the strategy parameters.</summary>
	public MomentumRevVolStrategy()
	{
		_universe = Param<IEnumerable<Security>>(nameof(Universe)).SetRequired()
			.SetDisplay("Universe", "Explicit execution universe with native volume metadata.", "Parameters");
		_capital = Param(nameof(Capital), 100000m).SetRange(0.000001m, decimal.MaxValue)
			.SetDisplay("Capital", "Fixed USD capital budget.", "Parameters");
		_leverage = Param(nameof(Leverage), 1m).SetRange(0.000001m, decimal.MaxValue)
			.SetDisplay("Leverage", "Gross exposure divided by capital.", "Parameters");
		_minTradeUsd = Param(nameof(MinTradeUsd), 200m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("MinTradeUsd", "Minimum USD adjustment; complete liquidation is exempt.", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1440).TimeFrame())
			.SetDisplay("CandleType", "Finished execution candle type.", "Parameters");
		_priceHistoryFile = Param<string>(nameof(PriceHistoryFile))
			.SetDisplay("PriceHistoryFile", "Optional CSV of causal daily close prices.", "Parameters");
		_lookback12 = Param(nameof(Lookback12), 252).SetRange(1, int.MaxValue)
			.SetDisplay("Lookback12", "Daily return intervals for long-term momentum.", "Parameters");
		_lookback1 = Param(nameof(Lookback1), 21).SetRange(1, int.MaxValue)
			.SetDisplay("Lookback1", "Daily return intervals for reversal.", "Parameters");
		_volWindow = Param(nameof(VolWindow), 60).SetRange(2, int.MaxValue)
			.SetDisplay("VolWindow", "Daily returns in the sample volatility window.", "Parameters");
		_wM = Param(nameof(WM), 1m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("WM", "Weight of long-term momentum.", "Parameters");
		_wR = Param(nameof(WR), 1m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("WR", "Weight of negative short-term returns.", "Parameters");
		_wV = Param(nameof(WV), 1m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("WV", "Weight of negative sample return volatility.", "Parameters");
		_decile = Param(nameof(Decile), 10).SetRange(2, int.MaxValue)
			.SetDisplay("Decile", "Number of equal rank buckets.", "Parameters");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> (Universe ?? []).Where(s => s is not null).DistinctBy(s => s.Id, StringComparer.OrdinalIgnoreCase).Select(s => (s, CandleType));

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_securities = [];
		_latest.Clear();
		_history.Clear();
		_targets.Clear();
		_pending.Clear();
		_lastRebalance = 0;
		_lastBar = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_securities = (Universe ?? []).ToArray();
		if (_securities.Length == 0 || _securities.Any(s => s is null || string.IsNullOrWhiteSpace(s.Id))
			|| _securities.Select(s => s.Id).Distinct(StringComparer.OrdinalIgnoreCase).Count() != _securities.Length)
			throw new InvalidOperationException("Universe must contain distinct execution securities.");
		foreach (var security in _securities)
		{
			if (security.VolumeStep is not > 0m || security.MinVolume is not > 0m || security.MaxVolume is not > 0m)
				throw new InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.");
			_history[security] = [];
		}
		LoadPriceHistory();
		base.OnStarted2(time);
		foreach (var security in _securities)
			SubscribeCandles(CandleType, security: security).Bind(candle => ProcessCandle(security, candle)).Start();
	}

	private void ProcessCandle(Security security, ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m) return;
		_latest[security] = (candle.OpenTime, candle.ClosePrice);
		_history[security][candle.OpenTime.Date] = candle.ClosePrice;
		if (_latest.Count != _securities.Length || _latest.Values.Any(v => v.time != candle.OpenTime)
			|| _lastBar == candle.OpenTime || !IsFormedAndOnlineAndAllowTrading()) return;
		_lastBar = candle.OpenTime;
		var month = candle.OpenTime.Year * 100 + candle.OpenTime.Month;
		if (_lastRebalance != month && SelectTargets(candle.OpenTime))
			_lastRebalance = month;
		ReconcileTargets();
	}

	private decimal Budget => Capital * Leverage;

	private decimal UnitPrice(Security security) => _latest[security].price;

	private decimal Units(Security security, decimal notional)
		=> Math.Floor(notional / UnitPrice(security) / security.VolumeStep.Value) * security.VolumeStep.Value;

	private void ReconcileTargets()
	{
		if (_pending.Any(o => o.State is not (OrderStates.Done or OrderStates.Failed))) return;
		_pending.Clear();
		foreach (var security in _securities)
		{
			if (!_targets.TryGetValue(security, out var target)) continue;
			var delta = target - GetPositionValue(security, Portfolio).GetValueOrDefault();
			if (delta == 0m || (target != 0m && Math.Abs(delta) * UnitPrice(security) < MinTradeUsd)) continue;
			var step = security.VolumeStep.Value;
			var quantity = Math.Floor(Math.Min(Math.Abs(delta), security.MaxVolume.Value) / step) * step;
			if (quantity < security.MinVolume.Value) continue;
			var order = new Order
			{
				Security = security, Portfolio = Portfolio, Type = OrderTypes.Market,
				Side = delta > 0m ? Sides.Buy : Sides.Sell, Volume = quantity, Comment = "0380Rebalance",
			};
			_pending.Add(order);
			RegisterOrder(order);
		}
	}

	private static DateTime ParseUtc(string value)
		=> DateTime.ParseExact(value.Trim(), "yyyy-MM-dd'T'HH:mm:ss'Z'", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal);

	private static IEnumerable<string[]> ReadRows(string path, string header, int fields)
	{
		using var lines = File.ReadLines(path).GetEnumerator();
		if (!lines.MoveNext() || lines.Current.Trim() != header)
			throw new InvalidOperationException("Invalid CSV header: expected " + header + ".");
		while (lines.MoveNext())
		{
			if (string.IsNullOrWhiteSpace(lines.Current)) continue;
			var row = lines.Current.Split(',');
			if (row.Length != fields) throw new InvalidOperationException("Invalid CSV field count.");
			yield return row;
		}
	}

	private DateTime LastClosedDate(DateTime time)
		=> CandleType.Arg is TimeSpan frame && frame == TimeSpan.FromDays(1) ? time.Date : time.Date.AddDays(-1);

	private decimal[] Daily(Security security, DateTime time, int count, DateTime cutoff)
		=> _history[security].Where(x => x.Key <= LastClosedDate(time) && x.Key < cutoff).Select(x => x.Value).TakeLast(count).ToArray();

	private void LoadPriceHistory()
	{
		if (string.IsNullOrWhiteSpace(PriceHistoryFile)) return;
		foreach (var row in ReadRows(PriceHistoryFile, "SecurityId,Date,Close", 3))
		{
			var security = _securities.SingleOrDefault(s => string.Equals(s.Id, row[0].Trim(), StringComparison.OrdinalIgnoreCase));
			if (security is null) continue;
			var date = DateTime.ParseExact(row[1].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture);
			var price = decimal.Parse(row[2], CultureInfo.InvariantCulture);
			if (price <= 0m || !_history[security].TryAdd(date, price))
				throw new InvalidOperationException("Daily prices must be positive and unique per security and UTC date.");
		}
	}

	private bool SelectTargets(DateTime time)
	{
		var scores = new List<(Security security, decimal score)>();
		var lookback = Math.Max(Lookback12, Math.Max(Lookback1, VolWindow));
		foreach (var security in _securities)
		{
			var prices = Daily(security, time, lookback + 1, DateTime.MaxValue);
			if (prices.Length != lookback + 1) continue;
			var returns = prices.TakeLast(VolWindow + 1).Zip(prices.TakeLast(VolWindow), (a, b) => b / a - 1m).ToArray();
			var mean = returns.Average();
			var variance = returns.Sum(r => (r - mean) * (r - mean)) / (returns.Length - 1);
			var volatility = (decimal)Math.Sqrt((double)variance);
			var score = WM * (prices[^1] / prices[^(Lookback12 + 1)] - 1m)
				- WR * (prices[^1] / prices[^(Lookback1 + 1)] - 1m) - WV * volatility;
			scores.Add((security, score));
		}
		if (scores.Count < Decile) return false;
		var ranked = scores.OrderByDescending(x => x.score).ThenBy(x => x.security.Id, StringComparer.Ordinal).Select(x => x.security).ToArray();
		var count = ranked.Length / Decile;
		SetBasketTargets(ranked.Take(count), ranked.TakeLast(count), Budget);
		return true;
	}

	private void SetBasketTargets(IEnumerable<Security> longBasket, IEnumerable<Security> shortBasket, decimal grossCapital)
	{
		var longs = longBasket.ToArray();
		var shorts = shortBasket.ToArray();
		foreach (var security in _securities) _targets[security] = 0m;
		foreach (var security in longs) _targets[security] = Units(security, grossCapital / (2m * longs.Length));
		foreach (var security in shorts) _targets[security] = -Units(security, grossCapital / (2m * shorts.Length));
	}
}