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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.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Buys a percentage of equity on a specific day each month.
/// </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 decimal? _highestEquity;
	private DateTimeOffset? _lastBuyTime;

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

	/// <summary>
	/// Start date after which purchases are allowed.
	/// </summary>
	public DateTimeOffset StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	/// <summary>
	/// Percentage of equity used for 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>
	/// Initializes a new instance of the <see cref="MonthlyPurchaseWithDynamicContractSizeStrategy"/>.
	/// </summary>
	public MonthlyPurchaseWithDynamicContractSizeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for strategy", "General");

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

		_percentOfEquity = Param(nameof(PercentOfEquity), 0.03m)
			.SetRange(0.01m, 10m)
			.SetDisplay("Percent of Equity", "Percentage of equity per purchase", "Strategy");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_highestEquity = null;
		_lastBuyTime = null;
	}

	/// <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 equity = Portfolio.CurrentValue ?? 0m;
		if (_highestEquity == null || equity > _highestEquity)
			_highestEquity = equity;

		var isAfterStart = candle.OpenTime >= StartDate;
		if (!isAfterStart)
			return;

		var currentDay = candle.OpenTime.Day;
		var lastMonth = _lastBuyTime?.Month;
		var lastYear = _lastBuyTime?.Year;

		if (currentDay >= BuyDay && (lastMonth != candle.OpenTime.Month || lastYear != candle.OpenTime.Year))
		{
			var effectiveEquity = equity > candle.ClosePrice ? equity : candle.ClosePrice;
			var contracts = (int)(effectiveEquity * PercentOfEquity / candle.ClosePrice);
			if (contracts <= 0)
				contracts = 1;
			if (contracts > 0)
			{
				BuyMarket(contracts);
				_lastBuyTime = candle.OpenTime;
			}
		}
	}
}