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Volatilitäts-Arbitrage-Spread-Oszillator-Modell (VASOM)

Geht beim VIX-Front-Month-Future long, wenn der RSI des Spreads zwischen den Kontrakten des ersten und zweiten Monats unter einen Schwellenwert fällt. Die Position wird geschlossen, wenn der RSI über ein Ausstiegsniveau steigt.

Details

  • Einstiegskriterien: Spread-RSI < LongThreshold.
  • Long/Short: Nur Long.
  • Ausstiegskriterien: Spread-RSI > ExitThreshold.
  • Stops: Nein.
  • Standardwerte:
    • RsiPeriod = 2
    • LongThreshold = 46
    • ExitThreshold = 76
    • CandleType = TimeSpan.FromMinutes(5)
    • SecondSecurity = "CBOE:VX2!"
  • Filter:
    • Kategorie: Volatilität
    • Richtung: Nur Long
    • Indikatoren: RSI
    • Stops: Nein
    • Komplexität: Anfänger
    • Zeitrahmen: Intraday
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Volatility Arbitrage Spread Oscillator Model (VASOM).
/// Uses RSI on the spread between two securities to detect mean reversion opportunities.
/// </summary>
public class VolatilityArbitrageSpreadOscillatorModelStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _longThreshold;
	private readonly StrategyParam<int> _exitThreshold;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<Security> _secondSecurity;

	private decimal _frontClose;
	private decimal _secondClose;
	private decimal _rsiVal;
	private decimal _prevRsi;
	private int _cooldown;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int LongThreshold { get => _longThreshold.Value; set => _longThreshold.Value = value; }
	public int ExitThreshold { get => _exitThreshold.Value; set => _exitThreshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public Security SecondSecurity { get => _secondSecurity.Value; set => _secondSecurity.Value = value; }

	public VolatilityArbitrageSpreadOscillatorModelStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Length of RSI", "Parameters");

		_longThreshold = Param(nameof(LongThreshold), 35)
			.SetRange(0, 100)
			.SetDisplay("Long Threshold", "RSI level to enter long", "Parameters");

		_exitThreshold = Param(nameof(ExitThreshold), 65)
			.SetRange(0, 100)
			.SetDisplay("Exit Threshold", "RSI level to exit", "Parameters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "Parameters");

		_secondSecurity = Param<Security>(nameof(SecondSecurity))
			.SetDisplay("Second Security", "Second security for spread", "Parameters");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		var list = new List<(Security sec, DataType dt)> { (Security, CandleType) };
		if (SecondSecurity != null)
			list.Add((SecondSecurity, CandleType));
		return list;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_frontClose = 0;
		_secondClose = 0;
		_rsiVal = 0;
		_prevRsi = 0;
		_cooldown = 0;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		_frontClose = 0;
		_secondClose = 0;
		_rsiVal = 0;
		_prevRsi = 0;
		_cooldown = 0;

		var frontSub = SubscribeCandles(CandleType);

		frontSub
			.Bind(rsi, ProcessFront)
			.Start();

		if (SecondSecurity != null)
		{
			var secondSub = SubscribeCandles(CandleType, security: SecondSecurity);
			secondSub.Bind(ProcessSecond).Start();
		}

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, frontSub);
			DrawIndicator(area, rsi);
			DrawOwnTrades(area);
		}
	}

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

		_secondClose = candle.ClosePrice;
	}

	private void ProcessFront(ICandleMessage candle, decimal rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_frontClose = candle.ClosePrice;
		_prevRsi = _rsiVal;
		_rsiVal = rsiValue;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		if (_prevRsi == 0)
			return;

		// Long entry when RSI crosses below threshold
		if (_rsiVal < LongThreshold && Position <= 0)
		{
			BuyMarket();
			_cooldown = 45;
		}
		// Exit long / short entry when RSI crosses above threshold
		else if (_rsiVal > ExitThreshold && Position >= 0)
		{
			SellMarket();
			_cooldown = 45;
		}
	}
}