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BTCUSD Momentum After Abnormal Days

Trading rules

For a finished daily candle, return is r=(Close-Open)/Open. Compute the mean and population deviation from the prior LookbackPeriod completed daily returns, excluding the current return. A full prior window is required. Buy if r>mean+k*sd, sell if r<mean-k*sd, with k=AbnormalThreshold. Equal thresholds do not enter.

Enter only while flat. Quantity is floor(CapitalPerTrade/Close/VolumeStep)*VolumeStep; skip quantities below the instrument minimum and reject those above its maximum. Capital is measured at the signal close, so actual market execution may differ. Close the entire filled position at the following daily candle's close, or the first available later daily close after a gap. Exit has priority over another entry on that candle. Pending orders block duplicates; no price stop is configured.

Parameters

Parameter Default
CandleType 1d
LookbackPeriod 5
AbnormalThreshold 1.6
CapitalPerTrade 1000 
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>Trades a completed daily return anomaly and exits at the next available daily close.</summary>
public class BtcusdMomentumAfterAbnormalDaysStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _abnormalThreshold;
	private readonly StrategyParam<decimal> _capitalPerTrade;
	private readonly Queue<decimal> _returns = [];
	private DateTime _lastDate;
	private DateTime? _entryDay;
	private Order _pending;

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

	/// <summary>Prior completed daily returns in the baseline.</summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>Population standard deviation multiplier.</summary>
	public decimal AbnormalThreshold
	{
		get => _abnormalThreshold.Value;
		set => _abnormalThreshold.Value = value;
	}

	/// <summary>Signal-close quote currency budget.</summary>
	public decimal CapitalPerTrade
	{
		get => _capitalPerTrade.Value;
		set => _capitalPerTrade.Value = value;
	}

	/// <summary>Initializes the daily anomaly and capital parameters.</summary>
	public BtcusdMomentumAfterAbnormalDaysStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("CandleType", "Finished daily signal candle interval", "Parameters");
		_lookbackPeriod = Param(nameof(LookbackPeriod), 5).SetGreaterThanZero()
			.SetDisplay("LookbackPeriod", "Prior completed daily returns in the baseline", "Parameters");
		_abnormalThreshold = Param(nameof(AbnormalThreshold), 1.6m).SetGreaterThanZero()
			.SetDisplay("AbnormalThreshold", "Population standard deviation multiplier", "Parameters");
		_capitalPerTrade = Param(nameof(CapitalPerTrade), 1000m).SetGreaterThanZero()
			.SetDisplay("CapitalPerTrade", "Signal-close quote currency budget", "Parameters");
		OrderRegistering += order => _pending = order;
	}

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

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (!CandleType.Equals(TimeSpan.FromDays(1).TimeFrame()))
			throw new InvalidOperationException("Daily candles are required for daily anomaly and exit deadlines.");
		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.OpenPrice <= 0m || candle.ClosePrice <= 0m || candle.OpenTime.Date <= _lastDate)
			return;
		_lastDate = candle.OpenTime.Date;
		var sample = _returns.ToArray();
		var value = (candle.ClosePrice - candle.OpenPrice) / candle.OpenPrice;
		_returns.Enqueue(value);
		while (_returns.Count > LookbackPeriod) _returns.Dequeue();
		if (!IsFormedAndOnlineAndAllowTrading() || _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (Position != 0m)
		{
			if (_entryDay is DateTime day && candle.OpenTime.Date > day)
			{
				if (Position > 0m) SellMarket(Position);
				else BuyMarket(-Position);
			}
			return;
		}
		if (sample.Length < LookbackPeriod) return;
		var mean = sample.Average();
		var deviation = (decimal)Math.Sqrt((double)sample.Average(r => (r - mean) * (r - mean)));
		var side = value > mean + AbnormalThreshold * deviation ? Sides.Buy
			: value < mean - AbnormalThreshold * deviation ? Sides.Sell : (Sides?)null;
		if (side is null) return;
		var step = Security.VolumeStep ?? 1m;
		var quantity = Math.Floor(CapitalPerTrade / candle.ClosePrice / step) * step;
		if (quantity < (Security.MinVolume ?? step)) return;
		if (Security.MaxVolume is decimal maximum && quantity > maximum)
			throw new InvalidOperationException("CapitalPerTrade exceeds the instrument's maximum order volume.");
		_entryDay = candle.OpenTime.Date;
		if (side == Sides.Buy) BuyMarket(quantity);
		else SellMarket(quantity);
	}
}