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BTC-Saisonalitäts-Strategie

Diese Strategie eröffnet eine Position auf Basis vordefinierter Wochentag- und Stundenregeln in der Eastern Standard Time (EST). Der Benutzer wählt den Einstiegstag und die Einstiegsstunde, den Ausstiegstag und die Ausstiegsstunde sowie ob Long oder Short gehandelt werden soll. Die Position wird zum angegebenen Einstiegszeitpunkt eröffnet und zum angegebenen Ausstiegszeitpunkt geschlossen.

Details

  • Einstiegskriterien:
    • Der aktuelle EST-Tag entspricht EntryDay und die aktuelle Stunde entspricht EntryHour.
  • Long/Short: Konfigurierbar.
  • Ausstiegskriterien:
    • Der aktuelle EST-Tag entspricht ExitDay und die aktuelle Stunde entspricht ExitHour.
  • Stops: Keine.
  • Standardwerte:
    • EntryDay = Saturday
    • ExitDay = Monday
    • EntryHour = 10
    • ExitHour = 10
    • IsLong = true
  • Filter:
    • Kategorie: Saisonalität
    • Richtung: Konfigurierbar
    • Indikatoren: Keine
    • Stops: Nein
    • Komplexität: Niedrig
    • Zeitrahmen: Beliebig
    • Saisonalität: Ja
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Niedrig
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// BTC Seasonality strategy.
/// Opens a long (IsLong) or short position at the first candle of EntryHour on EntryDay and closes it at the first candle of
/// ExitHour on ExitDay. Days and hours are in Eastern Standard Time (UTC-5).
/// </summary>
public class BtcSeasonalityStrategy : Strategy
{
	private static readonly TimeSpan _estOffset = TimeSpan.FromHours(-5);

	private readonly StrategyParam<DayOfWeek> _entryDay;
	private readonly StrategyParam<DayOfWeek> _exitDay;
	private readonly StrategyParam<int> _entryHour;
	private readonly StrategyParam<int> _exitHour;
	private readonly StrategyParam<bool> _isLong;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// EST day of the entry.
	/// </summary>
	public DayOfWeek EntryDay
	{
		get => _entryDay.Value;
		set => _entryDay.Value = value;
	}

	/// <summary>
	/// EST day of the exit.
	/// </summary>
	public DayOfWeek ExitDay
	{
		get => _exitDay.Value;
		set => _exitDay.Value = value;
	}

	/// <summary>
	/// EST hour of the entry.
	/// </summary>
	public int EntryHour
	{
		get => _entryHour.Value;
		set => _entryHour.Value = value;
	}

	/// <summary>
	/// EST hour of the exit.
	/// </summary>
	public int ExitHour
	{
		get => _exitHour.Value;
		set => _exitHour.Value = value;
	}

	/// <summary>
	/// Trade long when true, short otherwise.
	/// </summary>
	public bool IsLong
	{
		get => _isLong.Value;
		set => _isLong.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BtcSeasonalityStrategy()
	{
		_entryDay = Param(nameof(EntryDay), DayOfWeek.Saturday)
			.SetDisplay("Entry Day", "EST day of the entry", "Schedule");

		_exitDay = Param(nameof(ExitDay), DayOfWeek.Monday)
			.SetDisplay("Exit Day", "EST day of the exit", "Schedule");

		_entryHour = Param(nameof(EntryHour), 10)
			.SetRange(0, 23)
			.SetDisplay("Entry Hour", "EST hour of the entry", "Schedule");

		_exitHour = Param(nameof(ExitHour), 10)
			.SetRange(0, 23)
			.SetDisplay("Exit Hour", "EST hour of the exit", "Schedule");

		_isLong = Param(nameof(IsLong), true)
			.SetDisplay("Is Long", "Trade long when true, short otherwise", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

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

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var est = candle.OpenTime.Add(_estOffset);

		if (Position != 0)
		{
			if (est.DayOfWeek == ExitDay && est.Hour == ExitHour)
			{
				if (Position > 0)
					SellMarket(Position);
				else
					BuyMarket(-Position);
			}

			return;
		}

		if (est.DayOfWeek != EntryDay || est.Hour != EntryHour)
			return;

		// Avoid reopening right after the exit when entry and exit share the same moment.
		if (est.DayOfWeek == ExitDay && est.Hour == ExitHour)
			return;

		if (IsLong)
			BuyMarket(Volume);
		else
			SellMarket(Volume);
	}
}