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Monatliche Kaufstrategie mit dynamischer Kontraktgröße

Kauft an einem gewählten Tag jedes Monats eine dynamische Anzahl von Kontrakten unter Verwendung eines festen Prozentsatzes des Kontokapitals. Der Drawdown wird zu Informationszwecken verfolgt.

Details

  • Einstiegskriterien: Zeit >= StartDate UND Monatstag = BuyDay
  • Long/Short: Nur Long
  • Ausstiegskriterien: keine
  • Stops: keine
  • Standardwerte:
    • CandleType = 1 Tag
    • StartDate = 2010-01-01
    • PercentOfEquity = 0.03
    • BuyDay = 1
  • Filter:
    • Kategorie: Cost-Averaging
    • Richtung: Long
    • Indikatoren: Nein
    • Stops: Nein
    • Komplexität: Anfänger
    • Zeitrahmen: Langfristig
    • Saisonalität: Monatlich
    • 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>
/// Monthly purchase strategy with dynamic contract size.
/// From StartDate on, buys on the candle whose day of month equals BuyDay. The size is PercentOfEquity of the
/// current portfolio value divided by the close price. Positions are never closed; the equity drawdown is only tracked.
/// </summary>
public class MonthlyPurchaseWithDynamicContractSizeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DateTimeOffset> _startDate;
	private readonly StrategyParam<decimal> _percentOfEquity;
	private readonly StrategyParam<int> _buyDay;

	private DateTime? _lastBuyDate;
	private decimal _peakEquity;
	private decimal _maxDrawdown;

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

	/// <summary>
	/// Purchases are allowed from this date on.
	/// </summary>
	public DateTimeOffset StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	/// <summary>
	/// Fraction of equity spent on each purchase.
	/// </summary>
	public decimal PercentOfEquity
	{
		get => _percentOfEquity.Value;
		set => _percentOfEquity.Value = value;
	}

	/// <summary>
	/// Day of the month to buy.
	/// </summary>
	public int BuyDay
	{
		get => _buyDay.Value;
		set => _buyDay.Value = value;
	}

	/// <summary>
	/// Largest equity drawdown seen so far, for information only.
	/// </summary>
	public decimal MaxDrawdown => _maxDrawdown;

	/// <summary>
	/// Constructor.
	/// </summary>
	public MonthlyPurchaseWithDynamicContractSizeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_startDate = Param(nameof(StartDate), new DateTimeOffset(2010, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("Start Date", "Purchases are allowed from this date on", "General");

		_percentOfEquity = Param(nameof(PercentOfEquity), 0.03m)
			.SetGreaterThanZero()
			.SetDisplay("Percent of Equity", "Fraction of equity spent on each purchase", "Trading");

		_buyDay = Param(nameof(BuyDay), 1)
			.SetRange(1, 31)
			.SetDisplay("Buy Day", "Day of the month to buy", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_lastBuyDate = null;
		_peakEquity = 0m;
		_maxDrawdown = 0m;
	}

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

		_lastBuyDate = null;
		_peakEquity = 0m;
		_maxDrawdown = 0m;

		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;

		var equity = Portfolio?.CurrentValue ?? 0m;
		if (equity > _peakEquity)
			_peakEquity = equity;
		if (_peakEquity > 0m)
			_maxDrawdown = Math.Max(_maxDrawdown, (_peakEquity - equity) / _peakEquity);

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var openTime = candle.OpenTime;
		if (openTime < StartDate.UtcDateTime || openTime.Day != BuyDay || _lastBuyDate == openTime.Date)
			return;

		var close = candle.ClosePrice;
		if (close <= 0m || equity <= 0m)
			return;

		var step = Security?.VolumeStep ?? 1m;
		if (step <= 0m)
			step = 1m;

		var volume = Math.Floor(equity * PercentOfEquity / close / step) * step;
		if (volume <= 0m)
			return;

		BuyMarket(volume);
		_lastBuyDate = openTime.Date;
	}
}