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Commodity Momentum

Trading rules

Let M be the decision month and P[K] the last observed daily close in a completed calendar month K. Momentum = P[M − SkipMonths − 1] / P[M − LookbackMonths − 1] − 1. All months between the endpoints must be present. Defaults compare January of the current year with February of the previous year at a March rebalance, excluding February and unfinished March. Buy up to TopN highest-ranked instruments, long only, using equal shares of Capital × Leverage. Negative momentum remains eligible; there is no absolute-return filter. Close removed names at the next monthly rebalance.

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.

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 200
CandleType TimeSpan.FromMinutes(5).TimeFrame()
PriceHistoryFile optional — not supplied
TopN 5
LookbackMonths 12
SkipMonths 1

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.

See the strategy-specific allocation above. 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>Commodity Momentum with explicit inputs and execution-based portfolio accounting.</summary>
public class CommodityMomentumStrategy : 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<string> _priceHistoryFile;
	private readonly StrategyParam<int> _topN;
	private readonly StrategyParam<int> _lookbackMonths;
	private readonly StrategyParam<int> _skipMonths;
	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>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>Maximum number of long commodity positions.</summary>
	public int TopN { get => _topN.Value; set => _topN.Value = value; }

	/// <summary>Calendar month lookback before the decision month.</summary>
	public int LookbackMonths { get => _lookbackMonths.Value; set => _lookbackMonths.Value = value; }

	/// <summary>Most recent completed calendar months excluded from momentum.</summary>
	public int SkipMonths { get => _skipMonths.Value; set => _skipMonths.Value = value; }

	/// <summary>Initialize the published strategy parameters.</summary>
	public CommodityMomentumStrategy()
	{
		_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), 200m).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");
		_priceHistoryFile = Param<string>(nameof(PriceHistoryFile))
			.SetDisplay("PriceHistoryFile", "Optional daily close CSV for warmup; current and future dates cannot prefill a decision", "Parameters");
		_topN = Param(nameof(TopN), 5).SetGreaterThanZero()
			.SetDisplay("TopN", "Maximum number of long commodity positions", "Parameters");
		_lookbackMonths = Param(nameof(LookbackMonths), 12).SetGreaterThanZero()
			.SetDisplay("LookbackMonths", "Calendar month lookback before the decision month", "Parameters");
		_skipMonths = Param(nameof(SkipMonths), 1).SetRange(0, 120)
			.SetDisplay("SkipMonths", "Most recent completed calendar months excluded from momentum", "Parameters");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		foreach (var security in (Universe ?? []).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 (SkipMonths >= LookbackMonths) throw new InvalidOperationException("SkipMonths must be less than LookbackMonths.");
		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 <= time.Date).Select(x => x.Value).ToArray();

	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 = "0358Rebalance",
			};
			_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 month = new DateTime(time.Year, time.Month, 1);
		var end = month.AddMonths(-SkipMonths - 1);
		var start = month.AddMonths(-LookbackMonths - 1);
		var scores = new List<(Security security, decimal score)>();
		foreach (var s in _securities)
		{
			var monthly = _history[s].Where(p => p.Key < month)
				.GroupBy(p => new DateTime(p.Key.Year, p.Key.Month, 1))
				.ToDictionary(g => g.Key, g => g.Last().Value);
			if (Enumerable.Range(0, LookbackMonths - SkipMonths + 1).Any(i => !monthly.ContainsKey(start.AddMonths(i)))) continue;
			scores.Add((s, monthly[end] / monthly[start] - 1m));
		}
		if (scores.Count == 0) return false;
		var selected = scores.OrderByDescending(x => x.score).ThenBy(x => x.security.Id, StringComparer.Ordinal)
			.Take(TopN).Select(x => x.security).ToArray();
		foreach (var s in _securities) _targets[s] = selected.Contains(s) ? Units(s, Capital * Leverage / selected.Length) : 0m;
		return true;
	}

}