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Kurzfristige Umkehr-Strategie für Futures

Die Strategie Kurzfristige Umkehr für Futures sucht nach Mean Reversion bei Futures-Kontrakten. Täglich werden die Kontrakte mit der schlechtesten Rendite der vergangenen Woche identifiziert und gekauft, während die am stärksten gestiegenen Kontrakte verkauft werden, in Erwartung einer Gegenbewegung.

Trades werden einige Tage gehalten, bevor sie beim nächsten Signal geschlossen werden.

Details

  • Einstiegskriterien: Tägliches Ranking nach der Eins-Wochen-Rendite.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Positionen nach einer kurzen Halteperiode oder bei Ranking-Update geschlossen.
  • Stops: Volatilitätsbasierter Stop kann angewendet werden.
  • Standardwerte:
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filter:
    • Kategorie: Mean Reversion
    • Richtung: Beide
    • Indikatoren: Preisbasiert
    • Stops: Ja
    • Komplexität: Grundlegend
    • Zeitrahmen: Kurzfristig
    • 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>
/// Short-term reversal strategy for futures that trades the primary contract when its recent return overshoots or undershoots a benchmark contract.
/// </summary>
public class ShortTermReversalFuturesStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<int> _normalizationPeriod;
	private readonly StrategyParam<decimal> _entryThreshold;
	private readonly StrategyParam<decimal> _exitThreshold;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private Security _benchmark = null!;
	private RateOfChange _primaryReturn = null!;
	private RateOfChange _benchmarkReturn = null!;
	private SimpleMovingAverage _spreadAverage = null!;
	private StandardDeviation _spreadDeviation = null!;
	private decimal _latestPrimaryReturn;
	private decimal _latestBenchmarkReturn;
	private decimal? _previousZScore;
	private bool _primaryUpdated;
	private bool _benchmarkUpdated;
	private int _cooldownRemaining;

	public string Security2Id
	{
		get => _security2Id.Value;
		set => _security2Id.Value = value;
	}

	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	public int NormalizationPeriod
	{
		get => _normalizationPeriod.Value;
		set => _normalizationPeriod.Value = value;
	}

	public decimal EntryThreshold
	{
		get => _entryThreshold.Value;
		set => _entryThreshold.Value = value;
	}

	public decimal ExitThreshold
	{
		get => _exitThreshold.Value;
		set => _exitThreshold.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public ShortTermReversalFuturesStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark futures contract", "General");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 5)
			.SetRange(2, 40)
			.SetDisplay("Lookback Period", "Recent return lookback period", "Indicators");

		_normalizationPeriod = Param(nameof(NormalizationPeriod), 16)
			.SetRange(5, 120)
			.SetDisplay("Normalization Period", "Lookback period used to normalize the reversal spread", "Indicators");

		_entryThreshold = Param(nameof(EntryThreshold), 1.1m)
			.SetRange(0.2m, 5m)
			.SetDisplay("Entry Threshold", "Z-score threshold required to open a position", "Signals");

		_exitThreshold = Param(nameof(ExitThreshold), 0.25m)
			.SetRange(0m, 2m)
			.SetDisplay("Exit Threshold", "Z-score threshold required to close a position", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 6)
			.SetRange(0, 120)
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "Risk");

		_stopLoss = Param(nameof(StopLoss), 3m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time frame for candles", "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!;
		_primaryReturn = null!;
		_benchmarkReturn = null!;
		_spreadAverage = null!;
		_spreadDeviation = null!;
		_latestPrimaryReturn = 0m;
		_latestBenchmarkReturn = 0m;
		_previousZScore = 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 };
		_primaryReturn = new RateOfChange { Length = LookbackPeriod };
		_benchmarkReturn = new RateOfChange { Length = LookbackPeriod };
		_spreadAverage = new SimpleMovingAverage { Length = NormalizationPeriod };
		_spreadDeviation = new StandardDeviation { Length = NormalizationPeriod };

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

		primarySubscription.Bind(ProcessPrimaryCandle).Start();
		benchmarkSubscription.Bind(ProcessBenchmarkCandle).Start();

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

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

		var value = _primaryReturn.Process(candle);
		if (value.IsEmpty || !_primaryReturn.IsFormed)
			return;

		_latestPrimaryReturn = value.ToDecimal();
		_primaryUpdated = true;
		TryProcessSpread(candle.OpenTime);
	}

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

		var value = _benchmarkReturn.Process(candle);
		if (value.IsEmpty || !_benchmarkReturn.IsFormed)
			return;

		_latestBenchmarkReturn = value.ToDecimal();
		_benchmarkUpdated = true;
		TryProcessSpread(candle.OpenTime);
	}

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

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		var spread = _latestPrimaryReturn - _latestBenchmarkReturn;
		var mean = _spreadAverage.Process(spread, time, true).ToDecimal();
		var deviation = _spreadDeviation.Process(spread, time, true).ToDecimal();

		if (!_spreadAverage.IsFormed || !_spreadDeviation.IsFormed || deviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (spread - mean) / deviation;
		var bullishEntry = _previousZScore is decimal previousBullish && previousBullish > -EntryThreshold && zScore <= -EntryThreshold;
		var bearishEntry = _previousZScore is decimal previousBearish && previousBearish < EntryThreshold && zScore >= EntryThreshold;

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

		_previousZScore = zScore;
	}
}