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BTC DCA AHR999

Handelsregeln

Verwendet abgeschlossene UTC-Tageskerzen. Die letzten Length positiven Schlusskurse einschließlich des aktuellen ergeben G=exp(mean(ln(C))). Das BTC-Alter sind ganze Tage seit 2009-01-03: F=10^(5.84*log10(age)-17.01), AHR999=(C/G)*(C/F). Das vollständige Fenster ist erforderlich.

An einem zulässigen Montag wird bei einem Index strikt unter 0.45 das Budget UsdInvest2 gekauft, sonst bei strikt unter 1.2 das Budget UsdInvest1. Andere Werte, Wochentage und Daten erzeugen keinen Kauf. Die UTC-Datumsgrenzen sind einschließlich; je Tageskerze gibt es höchstens eine Entscheidung. Menge: floor(budget/C/VolumeStep)*VolumeStep; Mengen unter dem Minimum entfallen. Das Budget verwendet den Signalschluss, der Marktpreis kann abweichen. Offene Orders blockieren weitere Aufträge. Bestände werden ohne automatischen Ausstieg angesammelt.

Parameter

Parameter Standardwert
CandleType 1d
Length 200
UsdInvest1 100
UsdInvest2 1000
StartDate 2024-02-01T00:00:00Z
EndDate 2025-12-31T00:00:00Z

Quellen

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

/// <summary>Daily geometric AHR999 accumulation with one budgeted purchase per eligible UTC Monday.</summary>
public class BtcDcaAhr999Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _usdInvest1;
	private readonly StrategyParam<decimal> _usdInvest2;
	private readonly StrategyParam<DateTime> _startDate;
	private readonly StrategyParam<DateTime> _endDate;
	private readonly Queue<decimal> _prices = [];
	private DateTime _lastDate;
	private Order _pending;

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

	/// <summary>Daily geometric mean window.</summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>Budget below AHR999 1.2.</summary>
	public decimal UsdInvest1
	{
		get => _usdInvest1.Value;
		set => _usdInvest1.Value = value;
	}

	/// <summary>Budget below AHR999 0.45.</summary>
	public decimal UsdInvest2
	{
		get => _usdInvest2.Value;
		set => _usdInvest2.Value = value;
	}

	/// <summary>First eligible UTC date.</summary>
	public DateTime StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	/// <summary>Last eligible UTC date.</summary>
	public DateTime EndDate
	{
		get => _endDate.Value;
		set => _endDate.Value = value;
	}

	/// <summary>Latest fully formed AHR999 observation.</summary>
	public decimal? LastAhr999 { get; private set; }

	/// <summary>Initializes the published accumulation parameters.</summary>
	public BtcDcaAhr999Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("CandleType", "Finished daily candle interval", "Parameters");
		_length = Param(nameof(Length), 200).SetGreaterThanZero()
			.SetDisplay("Length", "Daily geometric mean window", "Parameters");
		_usdInvest1 = Param(nameof(UsdInvest1), 100m).SetGreaterThanZero()
			.SetDisplay("UsdInvest1", "Budget below AHR999 1.2", "Parameters");
		_usdInvest2 = Param(nameof(UsdInvest2), 1000m).SetGreaterThanZero()
			.SetDisplay("UsdInvest2", "Budget below AHR999 0.45", "Parameters");
		_startDate = Param(nameof(StartDate), new DateTime(2024, 2, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("StartDate", "First eligible UTC date", "Parameters");
		_endDate = Param(nameof(EndDate), new DateTime(2025, 12, 31, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("EndDate", "Last eligible UTC date", "Parameters");
		OrderRegistering += order => _pending = order;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prices.Clear();
		_lastDate = default;
		_pending = null;
		LastAhr999 = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (!CandleType.Equals(TimeSpan.FromDays(1).TimeFrame()) || StartDate.Kind != DateTimeKind.Utc
			|| EndDate.Kind != DateTimeKind.Utc || StartDate > EndDate)
			throw new InvalidOperationException("Daily candles and an ordered UTC date range are required.");
		base.OnStarted2(time);
		var candles = SubscribeCandles(CandleType);
		candles.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area is not null)
		{
			DrawCandles(area, candles);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m || candle.OpenTime.Date <= _lastDate)
			return;
		var date = candle.OpenTime.Date;
		_lastDate = date;
		_prices.Enqueue(candle.ClosePrice);
		while (_prices.Count > Length) _prices.Dequeue();
		if (_prices.Count < Length) return;
		var age = (date - new DateTime(2009, 1, 3, 0, 0, 0, DateTimeKind.Utc)).TotalDays;
		if (age <= 0) return;
		var geometric = Math.Exp(_prices.Average(p => Math.Log((double)p)));
		var fitted = Math.Pow(10, 5.84 * Math.Log10(age) - 17.01);
		LastAhr999 = (decimal)((double)candle.ClosePrice / geometric * (double)candle.ClosePrice / fitted);
		if (!IsFormedAndOnlineAndAllowTrading() || date < StartDate.Date || date > EndDate.Date || date.DayOfWeek != DayOfWeek.Monday
			|| _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		var budget = LastAhr999 < 0.45m ? UsdInvest2 : LastAhr999 < 1.2m ? UsdInvest1 : 0m;
		if (budget == 0m) return;
		var step = Security.VolumeStep ?? 1m;
		var quantity = Math.Floor(budget / candle.ClosePrice / step) * step;
		if (quantity < (Security.MinVolume ?? step)) return;
		if (Security.MaxVolume is decimal maximum && quantity > maximum)
			throw new InvalidOperationException("The investment exceeds the instrument's maximum order volume.");
		BuyMarket(quantity);
	}
}