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BTC DCA AHR999

Trading rules

Uses finished UTC daily candles. With the last Length positive closes, including the current one, G=exp(mean(ln(C))). Bitcoin age is the whole number of days since 2009-01-03; F=10^(5.84*log10(age)-17.01) and AHR999=(C/G)*(C/F). The complete window is required.

On an eligible Monday, buy the UsdInvest2 budget if the index is strictly below 0.45, otherwise UsdInvest1 if strictly below 1.2. Other values, weekdays and dates do not buy. The UTC date range is inclusive; at most one decision occurs per daily candle. Quantity is floor(budget/C/VolumeStep)*VolumeStep; a sub-minimum order is skipped. Budget uses the signal close, while market fills can differ. Pending orders block new submissions. Holdings accumulate without automatic exits.

Parameters

Parameter Default
CandleType 1d
Length 200
UsdInvest1 100
UsdInvest2 1000
StartDate 2024-02-01T00:00:00Z
EndDate 2025-12-31T00:00:00Z

References

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

/// <summary>Daily geometric AHR999 accumulation with one budgeted purchase per eligible UTC Monday.</summary>
public class BtcDcaAhr999Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _usdInvest1;
	private readonly StrategyParam<decimal> _usdInvest2;
	private readonly StrategyParam<DateTime> _startDate;
	private readonly StrategyParam<DateTime> _endDate;
	private readonly Queue<decimal> _prices = [];
	private DateTime _lastDate;
	private Order _pending;

	/// <summary>Finished daily candle interval.</summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>Daily geometric mean window.</summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>Budget below AHR999 1.2.</summary>
	public decimal UsdInvest1
	{
		get => _usdInvest1.Value;
		set => _usdInvest1.Value = value;
	}

	/// <summary>Budget below AHR999 0.45.</summary>
	public decimal UsdInvest2
	{
		get => _usdInvest2.Value;
		set => _usdInvest2.Value = value;
	}

	/// <summary>First eligible UTC date.</summary>
	public DateTime StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	/// <summary>Last eligible UTC date.</summary>
	public DateTime EndDate
	{
		get => _endDate.Value;
		set => _endDate.Value = value;
	}

	/// <summary>Latest fully formed AHR999 observation.</summary>
	public decimal? LastAhr999 { get; private set; }

	/// <summary>Initializes the published accumulation parameters.</summary>
	public BtcDcaAhr999Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("CandleType", "Finished daily candle interval", "Parameters");
		_length = Param(nameof(Length), 200).SetGreaterThanZero()
			.SetDisplay("Length", "Daily geometric mean window", "Parameters");
		_usdInvest1 = Param(nameof(UsdInvest1), 100m).SetGreaterThanZero()
			.SetDisplay("UsdInvest1", "Budget below AHR999 1.2", "Parameters");
		_usdInvest2 = Param(nameof(UsdInvest2), 1000m).SetGreaterThanZero()
			.SetDisplay("UsdInvest2", "Budget below AHR999 0.45", "Parameters");
		_startDate = Param(nameof(StartDate), new DateTime(2024, 2, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("StartDate", "First eligible UTC date", "Parameters");
		_endDate = Param(nameof(EndDate), new DateTime(2025, 12, 31, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("EndDate", "Last eligible UTC date", "Parameters");
		OrderRegistering += order => _pending = order;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prices.Clear();
		_lastDate = default;
		_pending = null;
		LastAhr999 = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (!CandleType.Equals(TimeSpan.FromDays(1).TimeFrame()) || StartDate.Kind != DateTimeKind.Utc
			|| EndDate.Kind != DateTimeKind.Utc || StartDate > EndDate)
			throw new InvalidOperationException("Daily candles and an ordered UTC date range are required.");
		base.OnStarted2(time);
		var candles = SubscribeCandles(CandleType);
		candles.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area is not null)
		{
			DrawCandles(area, candles);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m || candle.OpenTime.Date <= _lastDate)
			return;
		var date = candle.OpenTime.Date;
		_lastDate = date;
		_prices.Enqueue(candle.ClosePrice);
		while (_prices.Count > Length) _prices.Dequeue();
		if (_prices.Count < Length) return;
		var age = (date - new DateTime(2009, 1, 3, 0, 0, 0, DateTimeKind.Utc)).TotalDays;
		if (age <= 0) return;
		var geometric = Math.Exp(_prices.Average(p => Math.Log((double)p)));
		var fitted = Math.Pow(10, 5.84 * Math.Log10(age) - 17.01);
		LastAhr999 = (decimal)((double)candle.ClosePrice / geometric * (double)candle.ClosePrice / fitted);
		if (!IsFormedAndOnlineAndAllowTrading() || date < StartDate.Date || date > EndDate.Date || date.DayOfWeek != DayOfWeek.Monday
			|| _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		var budget = LastAhr999 < 0.45m ? UsdInvest2 : LastAhr999 < 1.2m ? UsdInvest1 : 0m;
		if (budget == 0m) return;
		var step = Security.VolumeStep ?? 1m;
		var quantity = Math.Floor(budget / candle.ClosePrice / step) * step;
		if (quantity < (Security.MinVolume ?? step)) return;
		if (Security.MaxVolume is decimal maximum && quantity > maximum)
			throw new InvalidOperationException("The investment exceeds the instrument's maximum order volume.");
		BuyMarket(quantity);
	}
}