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Betting Against Beta

Reglas de negociación

Alinear las fechas diarias con BenchmarkSecurity; exigir WindowDays + 1 fechas comunes. Rendimiento simple r[d] = P[d] / P[d−1] − 1. Beta es la covarianza con el índice dividida por su varianza. Varianza cero retrasa la asignación. Comprar el decil de menor beta y vender el mayor, floor(tamaño / Deciles) por lado. Sin umbrales intradía, stops ni ajuste de apalancamiento para neutralidad beta.

Se evalúan únicamente velas cerradas sincronizadas. Las estadísticas cuentan fechas UTC distintas; las velas intradía sustituyen el valor de la misma fecha. Se rebalancea una vez en la primera vela conjunta apta de cada mes; los datos incompletos retrasan la decisión. Los empates se ordenan por Security.Id.

Con CandleType intradía se usan solo fechas UTC anteriores a la fecha de señal. Se excluye el día actual incompleto. Una vela diaria cerrada puede aportar su propia fecha completa.

Datos de entrada

PriceHistoryFile es un CSV opcional de cierres diarios positivos: SecurityId,Date,Close; fecha yyyy-MM-dd. Las fechas actuales o futuras no precalientan decisiones. Los cierres en vivo sustituyen el valor de su fecha UTC. Se rechazan duplicados. Permite preparar ventanas largas con un archivo de ejecución corto.

Parámetros

Parámetro Valor predeterminado
Universe obligatorio
Capital 100000
Leverage 1
MinTradeUsd 100
CandleType TimeSpan.FromMinutes(5).TimeFrame()
Deciles 10
PriceHistoryFile opcional — sin configurar
BenchmarkSecurity obligatorio
WindowDays 252

Ejecución

Universe se configura explícitamente. Los precios y Capital se expresan en USD por unidad negociada. Capital es un presupuesto fijo; Leverage determina la exposición bruta. No se añaden stop loss ni take profit.

Cada cesta recibe la mitad de Capital × Leverage, repartida por igual. Se convierte a unidades al cierre de señal y se redondea hacia cero según VolumeStep. Se usan posiciones realmente ejecutadas, se esperan órdenes pendientes y se respetan MinVolume/MaxVolume dividiendo ajustes grandes entre velas posteriores. MinTradeUsd filtra ajustes pequeños, pero no liquidaciones completas.

Verificación

Las ejecuciones usan únicamente el archivo BTC/TON disponible. Los informes, observaciones de opciones e historial de preparación explícitos son datos de prueba de la mecánica, no fundamentales ni historia de opciones reales. Las ventanas reducidas, dos grupos y marzo como mes anual son perfiles de prueba identificados, no validación de los valores largos originales. No se afirma rentabilidad.

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));
	}

}