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Betting Against Beta

Trading rules

Align daily close dates across the universe and BenchmarkSecurity. Require WindowDays + 1 distinct common dates. Daily simple returns are r[d] = P[d] / P[d−1] − 1; beta = Σ((r − mean(r)) × (benchmark return − benchmark mean)) / Σ((benchmark return − benchmark mean)²). A zero benchmark variance delays allocation. Buy the lowest-beta Deciles bucket and short the highest, floor(universe count / Deciles) per side. There are no intraday beta thresholds, stop exits or beta-neutral leverage adjustments.

Evaluate only synchronized finished candles. Statistics count distinct UTC dates, replacing earlier intraday closes of the same date. Rebalance once on the first eligible synchronized candle of each month; an unformed input delays the decision. Equal scores are ordered by Security.Id.

For intraday CandleType, daily statistics use only UTC dates strictly before the current signal date. The incomplete current day is excluded. A finished one-day candle may contribute its own completed date.

Input data

PriceHistoryFile is an optional CSV of positive daily closes: SecurityId,Date,Close. Dates use yyyy-MM-dd. Current and future dates cannot prefill a decision; live finished closes replace each UTC date. Duplicate dates are rejected. It is needed to warm long lookbacks when the execution archive is short.

Parameters

Parameter Default
Universe required
Capital 100000
Leverage 1
MinTradeUsd 100
CandleType TimeSpan.FromMinutes(5).TimeFrame()
Deciles 10
PriceHistoryFile optional — not supplied
BenchmarkSecurity required
WindowDays 252

Execution

Set Universe explicitly. Prices and Capital use USD, with one price unit per traded unit. Capital is a fixed budget; Leverage controls gross exposure. No stop loss or take profit is added.

Long and short baskets each receive half of Capital × Leverage. Divide each side equally, convert USD to units at the signal close and round toward zero to VolumeStep. Reconcile against actual filled positions, wait for pending orders, respect MinVolume/MaxVolume and split large adjustments across later candles. MinTradeUsd filters small adjustments; full liquidation bypasses it.

Verification

Tests use only packaged BTC/TON execution history. Explicit financial reports, option observations and price warmup fixtures test mechanics; they are not actual company fundamentals or option-market history. Reduced lookbacks, two buckets and March annual scheduling are identified test profiles, not proof of trading at unchanged long-horizon defaults. No return or profitability claim is made.

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;

using Ecng.Common;

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

/// <summary>Betting Against Beta with explicit inputs and execution-based portfolio accounting.</summary>
public class BettingAgainstBetaStrategy : Strategy
{
	private readonly StrategyParam<IEnumerable<Security>> _universe;
	private readonly StrategyParam<decimal> _capital;
	private readonly StrategyParam<decimal> _leverage;
	private readonly StrategyParam<decimal> _minTradeUsd;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _deciles;
	private readonly StrategyParam<string> _priceHistoryFile;
	private readonly StrategyParam<Security> _benchmarkSecurity;
	private readonly StrategyParam<int> _windowDays;
	private Security[] _securities = [];
	private readonly Dictionary<Security, (DateTime time, decimal price)> _latest = [];
	private readonly Dictionary<Security, SortedDictionary<DateTime, decimal>> _history = [];
	private readonly Dictionary<Security, decimal> _targets = [];
	private readonly List<Order> _pending = [];
	private int _lastRebalance;
	private DateTime? _lastBar;

	/// <summary>Execution securities with USD prices and valid volume metadata.</summary>
	public IEnumerable<Security> Universe { get => _universe.Value; set => _universe.Value = value; }

	/// <summary>Fixed gross capital budget in USD.</summary>
	public decimal Capital { get => _capital.Value; set => _capital.Value = value; }

	/// <summary>Gross target exposure divided by the capital budget.</summary>
	public decimal Leverage { get => _leverage.Value; set => _leverage.Value = value; }

	/// <summary>Minimum notional adjustment; complete liquidation bypasses this filter.</summary>
	public decimal MinTradeUsd { get => _minTradeUsd.Value; set => _minTradeUsd.Value = value; }

	/// <summary>Closed candle type; daily statistics count distinct UTC dates.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>Number of cross-sectional buckets, requiring at least this many eligible securities.</summary>
	public int Deciles { get => _deciles.Value; set => _deciles.Value = value; }

	/// <summary>Optional daily close CSV for warmup; current and future dates cannot prefill a decision.</summary>
	public string PriceHistoryFile { get => _priceHistoryFile.Value; set => _priceHistoryFile.Value = value; }

	/// <summary>Market benchmark for synchronized daily simple returns.</summary>
	public Security BenchmarkSecurity { get => _benchmarkSecurity.Value; set => _benchmarkSecurity.Value = value; }

	/// <summary>Daily return pairs required by each covariance estimate.</summary>
	public int WindowDays { get => _windowDays.Value; set => _windowDays.Value = value; }

	/// <summary>Initialize the published strategy parameters.</summary>
	public BettingAgainstBetaStrategy()
	{
		_universe = Param<IEnumerable<Security>>(nameof(Universe)).SetRequired()
			.SetDisplay("Universe", "Execution securities with USD prices and valid volume metadata", "Parameters");
		_capital = Param(nameof(Capital), 100000m).SetGreaterThanZero()
			.SetDisplay("Capital", "Fixed gross capital budget in USD", "Parameters");
		_leverage = Param(nameof(Leverage), 1m).SetGreaterThanZero()
			.SetDisplay("Leverage", "Gross target exposure divided by the capital budget", "Parameters");
		_minTradeUsd = Param(nameof(MinTradeUsd), 100m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("MinTradeUsd", "Minimum notional adjustment; complete liquidation bypasses this filter", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("CandleType", "Closed candle type; daily statistics count distinct UTC dates", "Parameters");
		_deciles = Param(nameof(Deciles), 10).SetRange(2, 10000)
			.SetDisplay("Deciles", "Number of cross-sectional buckets, requiring at least this many eligible securities", "Parameters");
		_priceHistoryFile = Param<string>(nameof(PriceHistoryFile))
			.SetDisplay("PriceHistoryFile", "Optional daily close CSV for warmup; current and future dates cannot prefill a decision", "Parameters");
		_benchmarkSecurity = Param<Security>(nameof(BenchmarkSecurity)).SetRequired()
			.SetDisplay("BenchmarkSecurity", "Market benchmark for synchronized daily simple returns", "Parameters");
		_windowDays = Param(nameof(WindowDays), 252).SetGreaterThanZero()
			.SetDisplay("WindowDays", "Daily return pairs required by each covariance estimate", "Parameters");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		foreach (var security in (Universe ?? []).Concat(BenchmarkSecurity is null ? [] : new[] { BenchmarkSecurity }).DistinctBy(s => s.Id, StringComparer.OrdinalIgnoreCase))
			yield return (security, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_securities = [];
		_latest.Clear();
		_history.Clear();
		_targets.Clear();
		_pending.Clear();
		_lastRebalance = 0;
		_lastBar = null;

	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_securities = (Universe ?? []).ToArray();
		if (_securities.Length == 0 || _securities.Any(s => s is null || string.IsNullOrWhiteSpace(s.Id))
			|| _securities.Select(s => s.Id).Distinct(StringComparer.OrdinalIgnoreCase).Count() != _securities.Length)
			throw new InvalidOperationException("Universe must contain distinct execution securities.");
		foreach (var security in GetWorkingSecurities().Select(x => x.sec))
		{
			if (security.VolumeStep is not > 0m || security.MinVolume is not > 0m || security.MaxVolume is not > 0m)
				throw new InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.");
			_history[security] = [];
		}

		if (BenchmarkSecurity is null) throw new InvalidOperationException("BenchmarkSecurity is required.");
		LoadPriceHistory();
		base.OnStarted2(time);
		foreach (var security in GetWorkingSecurities().Select(x => x.sec))
			SubscribeCandles(CandleType, security: security).Bind(candle => ProcessCandle(security, candle)).Start();
	}

	private void ProcessCandle(Security security, ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m) return;
		_latest[security] = (candle.OpenTime, candle.ClosePrice);
		_history[security][candle.OpenTime.Date] = candle.ClosePrice;
		if (_latest.Count != _history.Count || _latest.Values.Any(v => v.time != candle.OpenTime)
			|| _lastBar == candle.OpenTime || !IsFormedAndOnlineAndAllowTrading()) return;
		_lastBar = candle.OpenTime;
		var month = candle.OpenTime.Year * 100 + candle.OpenTime.Month;

		if (_lastRebalance != month && SelectTargets(candle.OpenTime))
			_lastRebalance = month;

		ReconcileTargets();
	}

	private decimal[] Daily(Security security, DateTime time)
		=> _history[security].Where(x => x.Key <= LastClosedDate(time)).Select(x => x.Value).ToArray();

	private DateTime LastClosedDate(DateTime time)
		=> CandleType.Arg is TimeSpan frame && frame == TimeSpan.FromDays(1) ? time.Date : time.Date.AddDays(-1);

	private decimal Units(Security security, decimal notional)
		=> Math.Floor(notional / _latest[security].price / security.VolumeStep.Value) * security.VolumeStep.Value;

	private void ReconcileTargets()
	{
		if (_pending.Any(o => o.State is not (OrderStates.Done or OrderStates.Failed))) return;
		_pending.Clear();
		foreach (var security in _securities)
		{
			if (!_targets.TryGetValue(security, out var target)) continue;
			var delta = target - GetPositionValue(security, Portfolio).GetValueOrDefault();
			if (delta == 0m || (target != 0m && Math.Abs(delta) * _latest[security].price < MinTradeUsd)) continue;
			var step = security.VolumeStep.Value;
			var quantity = Math.Floor(Math.Min(Math.Abs(delta), security.MaxVolume.Value) / step) * step;
			if (quantity < security.MinVolume.Value) continue;
			var order = new Order
			{
				Security = security, Portfolio = Portfolio, Type = OrderTypes.Market,
				Side = delta > 0m ? Sides.Buy : Sides.Sell, Volume = quantity, Comment = "0355Rebalance",
			};
			_pending.Add(order);
			RegisterOrder(order);
		}
	}

	private void LoadPriceHistory()
	{
		if (string.IsNullOrWhiteSpace(PriceHistoryFile)) return;
		var lines = File.ReadLines(PriceHistoryFile).GetEnumerator();
		using (lines)
		{
			if (!lines.MoveNext() || lines.Current.Trim() != "SecurityId,Date,Close")
				throw new InvalidOperationException("Price history must begin with SecurityId,Date,Close.");
			while (lines.MoveNext())
			{
				if (string.IsNullOrWhiteSpace(lines.Current)) continue;
				var row = lines.Current.Split(',');
				if (row.Length != 3) throw new InvalidOperationException("A daily price row must have three fields.");
				var security = _history.Keys.SingleOrDefault(s => string.Equals(s.Id, row[0].Trim(), StringComparison.OrdinalIgnoreCase));
				if (security is null) continue;
				var date = DateTime.ParseExact(row[1].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture);
				var price = decimal.Parse(row[2], CultureInfo.InvariantCulture);
				if (price <= 0m || !_history[security].TryAdd(date, price))
					throw new InvalidOperationException("Daily prices must be positive and unique per security and UTC date.");
			}
		}
	}

	private bool SelectTargets(DateTime time)
	{
		var dates = _securities.Append(BenchmarkSecurity).Distinct()
			.Select(s => _history[s].Keys.Where(d => d <= LastClosedDate(time)).ToHashSet())
			.Aggregate((a, b) => { a.IntersectWith(b); return a; }).OrderBy(d => d).TakeLast(WindowDays + 1).ToArray();
		if (dates.Length < WindowDays + 1) return false;
		decimal[] Returns(Security security) => dates.Skip(1).Select((d, i) => _history[security][d] / _history[security][dates[i]] - 1m).ToArray();
		var benchmark = Returns(BenchmarkSecurity);
		var mean = benchmark.Average();
		var variance = benchmark.Sum(r => (r - mean) * (r - mean));
		if (variance <= 0m) return false;
		var ranked = _securities.Select(s =>
		{
			var returns = Returns(s);
			var average = returns.Average();
			var beta = returns.Select((r, i) => (r - average) * (benchmark[i] - mean)).Sum() / variance;
			return (security: s, beta);
		}).OrderBy(x => x.beta).ThenBy(x => x.security.Id, StringComparer.Ordinal).Select(x => x.security).ToArray();
		if (ranked.Length < Deciles) return false;
		var count = ranked.Length / Deciles;
		SetBasketTargets(ranked.Take(count), ranked.TakeLast(count), Capital * Leverage);
		return true;
	}

	private void SetBasketTargets(IEnumerable<Security> longBasket, IEnumerable<Security> shortBasket, decimal grossCapital)
	{
		var longs = longBasket.ToArray();
		var shorts = shortBasket.ToArray();
		foreach (var s in _securities) _targets[s] = 0m;
		foreach (var s in longs) _targets[s] = Units(s, grossCapital / (2m * longs.Length));
		foreach (var s in shorts) _targets[s] = -Units(s, grossCapital / (2m * shorts.Length));
	}

}