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BTC Future Gamma-Weighted Momentum Model

The strategy computes a gamma-weighted average price (GWAP) to capture momentum in BTC futures. Long trades are opened when price stays above the GWAP and the last three closes rise consecutively. Short positions are taken when price is below the GWAP and the last three closes fall consecutively.

Details

  • Entry Criteria:
    • Long: Close above GWAP and last three closes rising.
    • Short: Close below GWAP and last three closes falling.
  • Long/Short: Both sides.
  • Exit Criteria: Opposite signal.
  • Stops: None.
  • Default Values:
    • Length = 60
    • GammaFactor = 0.75
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: GWAP
    • Stops: None
    • Complexity: Low
    • Timeframe: 1m
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// BTC Future Gamma-Weighted Momentum Model strategy.
/// The gamma-weighted average price (GWAP) averages the last Length closes with weight GammaFactor^i for the close i bars ago.
/// A close above GWAP after three consecutively rising closes goes long, a close below GWAP after three consecutively falling closes
/// goes short, and the opposite signal reverses the position.
/// </summary>
public class BtcFutureGammaWeightedMomentumModelStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _gammaFactor;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _closes = new();

	/// <summary>
	/// Closes in the GWAP window.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Decay of the weight per bar back.
	/// </summary>
	public decimal GammaFactor
	{
		get => _gammaFactor.Value;
		set => _gammaFactor.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BtcFutureGammaWeightedMomentumModelStrategy()
	{
		_length = Param(nameof(Length), 60)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Closes in the GWAP window", "GWAP");

		_gammaFactor = Param(nameof(GammaFactor), 0.75m)
			.SetRange(0.01m, 1m)
			.SetDisplay("Gamma Factor", "Decay of the weight per bar back", "GWAP");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

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

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

		_closes.Clear();

		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;

		_closes.Add(candle.ClosePrice);
		var keep = Math.Max(Length, 3);
		while (_closes.Count > keep)
			_closes.RemoveAt(0);

		if (_closes.Count < keep)
			return;

		var last = _closes.Count - 1;

		decimal weighted = 0, weights = 0, weight = 1;
		for (var i = 0; i < Length; i++)
		{
			weighted += _closes[last - i] * weight;
			weights += weight;
			weight *= GammaFactor;
		}

		var gwap = weighted / weights;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = _closes[last];
		var rising = close > _closes[last - 1] && _closes[last - 1] > _closes[last - 2];
		var falling = close < _closes[last - 1] && _closes[last - 1] < _closes[last - 2];

		if (close > gwap && rising && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < gwap && falling && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}