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Modelo de Momentum Ponderado por Gamma para Futuros BTC

La estrategia calcula un precio promedio ponderado por Gamma (GWAP) para capturar el momentum en futuros de BTC. Se abren posiciones largas cuando el precio permanece por encima del GWAP y los tres últimos cierres suben consecutivamente. Se toman posiciones cortas cuando el precio está por debajo del GWAP y los tres últimos cierres caen consecutivamente.

Detalles

  • Criterios de entrada:
    • Largo: Cierre por encima del GWAP y los tres últimos cierres en ascenso.
    • Corto: Cierre por debajo del GWAP y los tres últimos cierres en descenso.
  • Largo/Corto: Ambos lados.
  • Criterios de salida: Señal inversa.
  • Stops: Ninguno.
  • Valores predeterminados:
    • Length = 60
    • GammaFactor = 0.75
  • Filtros:
    • Categoría: Momentum
    • Dirección: Ambos
    • Indicadores: GWAP
    • Stops: Ninguno
    • Complejidad: Bajo
    • Marco temporal: 1m
    • Estacionalidad: No
    • 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.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// BTC Future Gamma-Weighted Momentum Model strategy.
/// The gamma-weighted average price (GWAP) averages the last Length closes with weight GammaFactor^i for the close i bars ago.
/// A close above GWAP after three consecutively rising closes goes long, a close below GWAP after three consecutively falling closes
/// goes short, and the opposite signal reverses the position.
/// </summary>
public class BtcFutureGammaWeightedMomentumModelStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _gammaFactor;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _closes = new();

	/// <summary>
	/// Closes in the GWAP window.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Decay of the weight per bar back.
	/// </summary>
	public decimal GammaFactor
	{
		get => _gammaFactor.Value;
		set => _gammaFactor.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public BtcFutureGammaWeightedMomentumModelStrategy()
	{
		_length = Param(nameof(Length), 60)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Closes in the GWAP window", "GWAP");

		_gammaFactor = Param(nameof(GammaFactor), 0.75m)
			.SetRange(0.01m, 1m)
			.SetDisplay("Gamma Factor", "Decay of the weight per bar back", "GWAP");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

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

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

		_closes.Clear();

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

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

		_closes.Add(candle.ClosePrice);
		var keep = Math.Max(Length, 3);
		while (_closes.Count > keep)
			_closes.RemoveAt(0);

		if (_closes.Count < keep)
			return;

		var last = _closes.Count - 1;

		decimal weighted = 0, weights = 0, weight = 1;
		for (var i = 0; i < Length; i++)
		{
			weighted += _closes[last - i] * weight;
			weights += weight;
			weight *= GammaFactor;
		}

		var gwap = weighted / weights;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = _closes[last];
		var rising = close > _closes[last - 1] && _closes[last - 1] > _closes[last - 2];
		var falling = close < _closes[last - 1] && _closes[last - 1] < _closes[last - 2];

		if (close > gwap && rising && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < gwap && falling && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}