Español ES
Ver en GitHub

Estrategia de Asimetría de Retorno en Materias Primas

La estrategia Asimetría de Retorno en Materias Primas explota la diferencia entre retornos positivos y negativos. Para cada futuro de materias primas, la ventana deslizante suma por separado todos los movimientos alcistas y bajistas. Un ratio alto implica una tendencia positiva persistente, mientras que un ratio bajo señala presión vendedora sostenida.

Al inicio de cada mes, las materias primas se clasifican por esta medida de asimetría. El sistema compra los N contratos superiores y vende en corto los N más débiles, asignando capital de forma equitativa. El rebalanceo ocurre mensualmente.

Detalles

  • Criterios de entrada: Clasificación mensual de la asimetría de los retornos diarios en una ventana de retroceso.
  • Largo/Corto: Ambos.
  • Criterios de salida: Posiciones ajustadas en el rebalanceo mensual.
  • Stops: Sin stop explícito; tamaño de posición limitado por MinTradeUsd.
  • Valores predeterminados:
    • WindowDays = 120
    • TopN = 5
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filtros:
    • Categoría: Momentum
    • Dirección: Ambos
    • Indicadores: Basados en precio
    • Stops: No
    • Complejidad: Intermedio
    • Marco temporal: Medio plazo
    • Estacionalidad: Sí
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// Return asymmetry strategy that trades the primary commodity when its positive-versus-negative return balance diverges from a benchmark commodity.
/// </summary>
public class ReturnAsymmetryCommodityStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _windowLength;
	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 SimpleMovingAverage _spreadAverage = null!;
	private StandardDeviation _spreadDeviation = null!;
	private readonly Queue<decimal> _primaryReturns = [];
	private readonly Queue<decimal> _benchmarkReturns = [];
	private decimal? _previousPrimaryClose;
	private decimal? _previousBenchmarkClose;
	private decimal? _previousZScore;
	private decimal _latestPrimaryAsymmetry;
	private decimal _latestBenchmarkAsymmetry;
	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>
	/// Lookback period used to compute return asymmetry.
	/// </summary>
	public int WindowLength
	{
		get => _windowLength.Value;
		set => _windowLength.Value = value;
	}

	/// <summary>
	/// Lookback period used to normalize the asymmetry 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 ReturnAsymmetryCommodityStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark commodity", "General");

		_windowLength = Param(nameof(WindowLength), 20)
			.SetRange(5, 120)
			.SetDisplay("Window Length", "Lookback period used to compute return asymmetry", "Indicators");

		_normalizationPeriod = Param(nameof(NormalizationPeriod), 16)
			.SetRange(5, 120)
			.SetDisplay("Normalization Period", "Lookback period used to normalize the asymmetry spread", "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), 3m)
			.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!;
		_spreadAverage = null!;
		_spreadDeviation = null!;
		_primaryReturns.Clear();
		_benchmarkReturns.Clear();
		_previousPrimaryClose = null;
		_previousBenchmarkClose = null;
		_previousZScore = null;
		_latestPrimaryAsymmetry = 0m;
		_latestBenchmarkAsymmetry = 0m;
		_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 };
		_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 ret = UpdateReturns(_primaryReturns, candle.ClosePrice, ref _previousPrimaryClose);
		if (ret is null)
			return;

		_latestPrimaryAsymmetry = CalculateAsymmetry(_primaryReturns);
		_primaryUpdated = true;
		TryProcessSpread(candle.OpenTime);
	}

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

		var ret = UpdateReturns(_benchmarkReturns, candle.ClosePrice, ref _previousBenchmarkClose);
		if (ret is null)
			return;

		_latestBenchmarkAsymmetry = CalculateAsymmetry(_benchmarkReturns);
		_benchmarkUpdated = true;
		TryProcessSpread(candle.OpenTime);
	}

	private decimal? UpdateReturns(Queue<decimal> queue, decimal closePrice, ref decimal? previousClose)
	{
		if (previousClose is not decimal previous || previous <= 0m)
		{
			previousClose = closePrice;
			return null;
		}

		var ret = (closePrice - previous) / previous;
		previousClose = closePrice;

		if (queue.Count == WindowLength)
			queue.Dequeue();

		queue.Enqueue(ret);
		return ret;
	}

	private static decimal CalculateAsymmetry(IEnumerable<decimal> returns)
	{
		decimal positive = 0m;
		decimal negative = 0m;

		foreach (var ret in returns)
		{
			if (ret > 0m)
				positive += ret;
			else
				negative += Math.Abs(ret);
		}

		return positive / Math.Max(negative, 0.0001m);
	}

	private void TryProcessSpread(DateTime time)
	{
		if (!_primaryUpdated || !_benchmarkUpdated || _primaryReturns.Count < WindowLength || _benchmarkReturns.Count < WindowLength)
			return;

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		var spread = _latestPrimaryAsymmetry - _latestBenchmarkAsymmetry;
		var mean = _spreadAverage.Process(spread, time, true).ToDecimal();
		var deviation = _spreadDeviation.Process(spread, time, true).ToDecimal();

		if (!_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 && 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;
	}
}