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BTCUSD Momentum After Abnormal Days

Handelsregeln

Die Rendite einer abgeschlossenen Tageskerze lautet r=(Close-Open)/Open. Mittelwert und Populationsabweichung verwenden die vorherigen LookbackPeriod abgeschlossenen Tagesrenditen ohne die aktuelle; das Vorfenster muss vollständig sein. Kauf bei r>mean+k*sd, Verkauf bei r<mean-k*sd, mit k=AbnormalThreshold. Gleichheit erzeugt keinen Einstieg.

Einstieg nur ohne Position. Menge: floor(CapitalPerTrade/Close/VolumeStep)*VolumeStep; Mengen unter dem Minimum entfallen, oberhalb des Maximums werden abgewiesen. Kapital bezieht sich auf den Signalschluss, Marktpreise können abweichen. Die gesamte ausgeführte Position wird zum nächsten Tagesschluss oder nach einer Datenlücke zum ersten verfügbaren späteren Tagesschluss geschlossen. Ausstieg hat auf dieser Kerze Vorrang. Offene Orders verhindern Duplikate; kein Preisstop.

Parameter

Parameter Standardwert
CandleType 1d
LookbackPeriod 5
AbnormalThreshold 1.6
CapitalPerTrade 1000 
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>Trades a completed daily return anomaly and exits at the next available daily close.</summary>
public class BtcusdMomentumAfterAbnormalDaysStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _abnormalThreshold;
	private readonly StrategyParam<decimal> _capitalPerTrade;
	private readonly Queue<decimal> _returns = [];
	private DateTime _lastDate;
	private DateTime? _entryDay;
	private Order _pending;

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

	/// <summary>Prior completed daily returns in the baseline.</summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>Population standard deviation multiplier.</summary>
	public decimal AbnormalThreshold
	{
		get => _abnormalThreshold.Value;
		set => _abnormalThreshold.Value = value;
	}

	/// <summary>Signal-close quote currency budget.</summary>
	public decimal CapitalPerTrade
	{
		get => _capitalPerTrade.Value;
		set => _capitalPerTrade.Value = value;
	}

	/// <summary>Initializes the daily anomaly and capital parameters.</summary>
	public BtcusdMomentumAfterAbnormalDaysStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("CandleType", "Finished daily signal candle interval", "Parameters");
		_lookbackPeriod = Param(nameof(LookbackPeriod), 5).SetGreaterThanZero()
			.SetDisplay("LookbackPeriod", "Prior completed daily returns in the baseline", "Parameters");
		_abnormalThreshold = Param(nameof(AbnormalThreshold), 1.6m).SetGreaterThanZero()
			.SetDisplay("AbnormalThreshold", "Population standard deviation multiplier", "Parameters");
		_capitalPerTrade = Param(nameof(CapitalPerTrade), 1000m).SetGreaterThanZero()
			.SetDisplay("CapitalPerTrade", "Signal-close quote currency budget", "Parameters");
		OrderRegistering += order => _pending = order;
	}

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

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (!CandleType.Equals(TimeSpan.FromDays(1).TimeFrame()))
			throw new InvalidOperationException("Daily candles are required for daily anomaly and exit deadlines.");
		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.OpenPrice <= 0m || candle.ClosePrice <= 0m || candle.OpenTime.Date <= _lastDate)
			return;
		_lastDate = candle.OpenTime.Date;
		var sample = _returns.ToArray();
		var value = (candle.ClosePrice - candle.OpenPrice) / candle.OpenPrice;
		_returns.Enqueue(value);
		while (_returns.Count > LookbackPeriod) _returns.Dequeue();
		if (!IsFormedAndOnlineAndAllowTrading() || _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (Position != 0m)
		{
			if (_entryDay is DateTime day && candle.OpenTime.Date > day)
			{
				if (Position > 0m) SellMarket(Position);
				else BuyMarket(-Position);
			}
			return;
		}
		if (sample.Length < LookbackPeriod) return;
		var mean = sample.Average();
		var deviation = (decimal)Math.Sqrt((double)sample.Average(r => (r - mean) * (r - mean)));
		var side = value > mean + AbnormalThreshold * deviation ? Sides.Buy
			: value < mean - AbnormalThreshold * deviation ? Sides.Sell : (Sides?)null;
		if (side is null) return;
		var step = Security.VolumeStep ?? 1m;
		var quantity = Math.Floor(CapitalPerTrade / candle.ClosePrice / step) * step;
		if (quantity < (Security.MinVolume ?? step)) return;
		if (Security.MaxVolume is decimal maximum && quantity > maximum)
			throw new InvalidOperationException("CapitalPerTrade exceeds the instrument's maximum order volume.");
		_entryDay = candle.OpenTime.Date;
		if (side == Sides.Buy) BuyMarket(quantity);
		else SellMarket(quantity);
	}
}