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Estrategia del Modelo Fed

Este sistema de timing macroeconómico compara el rendimiento de ganancias del mercado de renta variable con el rendimiento de los bonos del Tesoro a 10 años. Cuando las acciones ofrecen mayor rendimiento, la estrategia mantiene un ETF de renta variable; cuando los bonos rinden más, pasa a efectivo. Una regresión mensual sobre la diferencia de rendimientos pronostica el valor del próximo mes para reducir los cambios ruidosos.

Al final de cada mes, el algoritmo pronostica el diferencial de rendimiento del mes siguiente usando el último año de datos. Si la previsión es positiva, compra renta variable; de lo contrario, mantiene el proxy de efectivo. Las posiciones cambian solo cuando el pronóstico cruza cero, minimizando la rotación.

Detalles

  • Criterios de entrada:
    • Al final del mes, realizar una regresión sobre las últimas RegressionMonths observaciones de (EarningsYield - BondYield) y pronosticar el siguiente valor.
    • Comprar el ETF de renta variable cuando el pronóstico esté por encima de cero y la orden cumpla con MinTradeUsd.
  • Largo/Corto: Solo largos en renta variable o efectivo.
  • Criterios de salida: Salir de la posición en renta variable cuando el diferencial de rendimiento pronosticado se vuelva negativo.
  • Stops: Ninguno.
  • Valores predeterminados:
    • Universe – [ETF de renta variable, ETF de efectivo opcional].
    • BondYieldSym – serie de rendimientos del Tesoro a 10 años.
    • EarningsYieldSym – rendimiento de ganancias del mercado de renta variable.
    • RegressionMonths = 12.
    • CandleType = 1 día.
    • MinTradeUsd – valor mínimo de operación.
  • Filtros:
    • Categoría: Macro.
    • Dirección: Solo largos.
    • Marco temporal: Mensual.
    • Rebalanceo: Mensual.
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Fed model strategy that trades the primary instrument when its synthetic earnings yield exceeds a synthetic bond yield benchmark.
/// </summary>
public class FedModelStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _yieldLength;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _entryThreshold;
	private readonly StrategyParam<decimal> _exitThreshold;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private Security _benchmark = null!;
	private ExponentialMovingAverage _earningsYield = null!;
	private ExponentialMovingAverage _bondYield = null!;
	private SimpleMovingAverage _gapAverage = null!;
	private StandardDeviation _gapDeviation = null!;
	private decimal _latestPrimaryGap;
	private decimal _latestBenchmarkGap;
	private decimal? _previousZScore;
	private bool _primaryUpdated;
	private bool _benchmarkUpdated;
	private int _cooldownRemaining;

	/// <summary>
	/// Benchmark security identifier.
	/// </summary>
	public string Security2Id
	{
		get => _security2Id.Value;
		set => _security2Id.Value = value;
	}

	/// <summary>
	/// Smoothing length for synthetic yields.
	/// </summary>
	public int YieldLength
	{
		get => _yieldLength.Value;
		set => _yieldLength.Value = value;
	}

	/// <summary>
	/// Lookback period used to normalize the yield gap.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Z-score threshold required to open a position.
	/// </summary>
	public decimal EntryThreshold
	{
		get => _entryThreshold.Value;
		set => _entryThreshold.Value = value;
	}

	/// <summary>
	/// Z-score threshold required to close a position.
	/// </summary>
	public decimal ExitThreshold
	{
		get => _exitThreshold.Value;
		set => _exitThreshold.Value = value;
	}

	/// <summary>
	/// Closed candles to wait before another position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Type of candles used for processing.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public FedModelStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark security", "General");

		_yieldLength = Param(nameof(YieldLength), 12)
			.SetRange(2, 80)
			.SetDisplay("Yield Length", "Smoothing length for synthetic yields", "Indicators");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 24)
			.SetRange(5, 120)
			.SetDisplay("Lookback Period", "Lookback period used to normalize the yield gap", "Indicators");

		_entryThreshold = Param(nameof(EntryThreshold), 1.1m)
			.SetRange(0.2m, 5m)
			.SetDisplay("Entry Threshold", "Z-score threshold required to open a position", "Signals");

		_exitThreshold = Param(nameof(ExitThreshold), 0.25m)
			.SetRange(0m, 2m)
			.SetDisplay("Exit Threshold", "Z-score threshold required to close a position", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 8)
			.SetRange(0, 120)
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "Risk");

		_stopLoss = Param(nameof(StopLoss), 2.5m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security, DataType)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);

		if (!Security2Id.IsEmpty())
			yield return (new Security { Id = Security2Id }, CandleType);
	}

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

		_benchmark = null!;
		_earningsYield = null!;
		_bondYield = null!;
		_gapAverage = null!;
		_gapDeviation = null!;
		_latestPrimaryGap = 0m;
		_latestBenchmarkGap = 0m;
		_previousZScore = null;
		_primaryUpdated = false;
		_benchmarkUpdated = false;
		_cooldownRemaining = 0;
	}

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

		if (Security == null)
			throw new InvalidOperationException("Primary security is not specified.");

		if (Security2Id.IsEmpty())
			throw new InvalidOperationException("Benchmark security identifier is not specified.");

		_benchmark = this.LookupById(Security2Id) ?? new Security { Id = Security2Id };
		_earningsYield = new ExponentialMovingAverage { Length = YieldLength };
		_bondYield = new ExponentialMovingAverage { Length = YieldLength };
		_gapAverage = new SimpleMovingAverage { Length = LookbackPeriod };
		_gapDeviation = new StandardDeviation { Length = LookbackPeriod };

		var primarySubscription = SubscribeCandles(CandleType, security: Security);
		var benchmarkSubscription = SubscribeCandles(CandleType, security: _benchmark);

		primarySubscription
			.Bind(ProcessPrimaryCandle)
			.Start();

		benchmarkSubscription
			.Bind(ProcessBenchmarkCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, primarySubscription);
			DrawCandles(area, benchmarkSubscription);
			DrawOwnTrades(area);
		}

		StartProtection(
			new Unit(2, UnitTypes.Percent),
			new Unit(StopLoss, UnitTypes.Percent));
	}

	private void ProcessPrimaryCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_latestPrimaryGap = UpdateYieldGap(_earningsYield, candle);
		_primaryUpdated = true;
		TryProcessGap(candle.OpenTime);
	}

	private void ProcessBenchmarkCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_latestBenchmarkGap = UpdateYieldGap(_bondYield, candle);
		_benchmarkUpdated = true;
		TryProcessGap(candle.OpenTime);
	}

	private decimal UpdateYieldGap(ExponentialMovingAverage average, ICandleMessage candle)
	{
		var yieldProxy = CalculateYieldProxy(candle);
		return average.Process(yieldProxy, candle.OpenTime, true).ToDecimal();
	}

	private decimal CalculateYieldProxy(ICandleMessage candle)
	{
		var priceBase = Math.Max(candle.ClosePrice, 1m);
		var range = Math.Max(candle.HighPrice - candle.LowPrice, Security?.PriceStep ?? 1m);
		var normalizedRange = range / priceBase;
		var closeLocation = (candle.ClosePrice - candle.LowPrice) / range;

		return (1m / priceBase * 100m) + closeLocation - normalizedRange;
	}

	private void TryProcessGap(DateTime time)
	{
		if (!_primaryUpdated || !_benchmarkUpdated)
			return;

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		var gap = _latestPrimaryGap - _latestBenchmarkGap;
		var mean = _gapAverage.Process(gap, time, true).ToDecimal();
		var deviation = _gapDeviation.Process(gap, time, true).ToDecimal();

		if (!_gapAverage.IsFormed || !_gapDeviation.IsFormed || deviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (gap - mean) / deviation;
		var bullishEntry = _previousZScore is decimal previousBullish && previousBullish < EntryThreshold && zScore >= EntryThreshold;
		var bearishEntry = _previousZScore is decimal previousBearish && previousBearish > -EntryThreshold && zScore <= -EntryThreshold;

		if (_cooldownRemaining == 0 && Position == 0)
		{
			if (bullishEntry)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (bearishEntry)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}
		else if (Position > 0 && zScore <= ExitThreshold)
		{
			SellMarket(Position);
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && zScore >= -ExitThreshold)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_previousZScore = zScore;
	}
}