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Estrategia de Rotación de Estilos por Momentum

Esta estrategia en Python rota entre un conjunto de ETFs de factores y un ETF de mercado amplio. Al final de cada mes, los ETFs se clasifican por su rendimiento total de los últimos tres meses. La cartera invierte completamente en el fondo de mayor rango durante el mes siguiente para capturar el momentum a mediano plazo.

El enfoque siempre mantiene un único ETF y lo reevalúa mensualmente. Se utilizan velas diarias para los cálculos y todas las operaciones de rebalanceo se ejecutan al precio de mercado.

Detalles

  • Universo: lista de ETFs de factores y un ETF de referencia de mercado.
  • Señal: calcular el rendimiento total de 63 días (tres meses) y seleccionar el instrumento más fuerte.
  • Rebalanceo: primer día de negociación de cada mes.
  • Posicionamiento: totalmente largo en el ETF seleccionado, todos los demás sin posición.
  • Control de riesgo: las órdenes se omiten cuando el valor de la operación requerida cae por debajo de MinTradeUsd.
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>
/// Momentum style rotation strategy that trades the primary instrument when its relative strength versus a benchmark style ETF rotates into or out of favor.
/// </summary>
public class MomentumStyleRotationStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<int> _normalizationPeriod;
	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 RateOfChange _primaryMomentum = null!;
	private RateOfChange _benchmarkMomentum = null!;
	private ExponentialMovingAverage _relativeStrengthAverage = null!;
	private SimpleMovingAverage _spreadAverage = null!;
	private StandardDeviation _spreadDeviation = null!;
	private decimal _latestPrimaryMomentum;
	private decimal _latestBenchmarkMomentum;
	private decimal? _previousZScore;
	private bool _primaryUpdated;
	private bool _benchmarkUpdated;
	private int _cooldownRemaining;

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

	/// <summary>
	/// Momentum lookback period.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Lookback period used to normalize the rotation spread.
	/// </summary>
	public int NormalizationPeriod
	{
		get => _normalizationPeriod.Value;
		set => _normalizationPeriod.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>
	/// Candle type used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public MomentumStyleRotationStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark style ETF", "General");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 24)
			.SetRange(5, 120)
			.SetDisplay("Lookback Period", "Momentum lookback period", "Indicators");

		_normalizationPeriod = Param(nameof(NormalizationPeriod), 20)
			.SetRange(5, 120)
			.SetDisplay("Normalization Period", "Lookback period used to normalize the rotation spread", "Indicators");

		_entryThreshold = Param(nameof(EntryThreshold), 1m)
			.SetRange(0.2m, 5m)
			.SetDisplay("Entry Threshold", "Z-score threshold required to open a position", "Signals");

		_exitThreshold = Param(nameof(ExitThreshold), 0.2m)
			.SetRange(0m, 2m)
			.SetDisplay("Exit Threshold", "Z-score threshold required to close a position", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 6)
			.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", "Time frame for candles", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> 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!;
		_primaryMomentum = null!;
		_benchmarkMomentum = null!;
		_relativeStrengthAverage = null!;
		_spreadAverage = null!;
		_spreadDeviation = null!;
		_latestPrimaryMomentum = 0m;
		_latestBenchmarkMomentum = 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 };
		_primaryMomentum = new RateOfChange { Length = LookbackPeriod };
		_benchmarkMomentum = new RateOfChange { Length = LookbackPeriod };
		_relativeStrengthAverage = new ExponentialMovingAverage { Length = Math.Max(2, NormalizationPeriod / 2) };
		_spreadAverage = new SimpleMovingAverage { Length = NormalizationPeriod };
		_spreadDeviation = new StandardDeviation { Length = NormalizationPeriod };

		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;

		var momentumValue = _primaryMomentum.Process(candle);
		if (momentumValue.IsEmpty || !_primaryMomentum.IsFormed)
			return;

		_latestPrimaryMomentum = momentumValue.ToDecimal();
		_primaryUpdated = true;
		TryProcessRotation(candle.OpenTime);
	}

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

		var momentumValue = _benchmarkMomentum.Process(candle);
		if (momentumValue.IsEmpty || !_benchmarkMomentum.IsFormed)
			return;

		_latestBenchmarkMomentum = momentumValue.ToDecimal();
		_benchmarkUpdated = true;
		TryProcessRotation(candle.OpenTime);
	}

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

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		var relativeStrength = _latestPrimaryMomentum - _latestBenchmarkMomentum;
		var smoothedStrength = _relativeStrengthAverage.Process(relativeStrength, time, true).ToDecimal();
		var spread = relativeStrength - smoothedStrength;
		var mean = _spreadAverage.Process(spread, time, true).ToDecimal();
		var deviation = _spreadDeviation.Process(spread, time, true).ToDecimal();

		if (!_relativeStrengthAverage.IsFormed || !_spreadAverage.IsFormed || !_spreadDeviation.IsFormed || deviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (spread - mean) / deviation;
		var bullishEntry = _previousZScore is decimal previousBullish &&
			previousBullish < EntryThreshold &&
			_latestPrimaryMomentum > 0m &&
			zScore >= EntryThreshold;

		var bearishEntry = _previousZScore is decimal previousBearish &&
			previousBearish > -EntryThreshold &&
			_latestPrimaryMomentum < 0m &&
			_latestBenchmarkMomentum > _latestPrimaryMomentum &&
			zScore <= -EntryThreshold;

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

		_previousZScore = zScore;
	}
}