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BTC Outperform

Reglas de negociación

Agrupa velas diarias UTC terminadas en periodos fijos. Los semanales parten del lunes 1970-01-05 y los de 90 días de 1970-01-01. Solo publica un cierre cuando dispone de todas las velas diarias del periodo. Los periodos iniciales incompletos o con huecos no publican cierre.

Compara los últimos cierres completos observados: semanal superior compra, inferior vende e igualdad mantiene la posición. Desde cero ordena Volume; para revertir usa Volume+abs(Position) y deja una posición opuesta completa. Los periodos en formación no alteran la comparación. Las órdenes pendientes impiden duplicados. No hay stop de precio ni objetivo automático.

Parámetros

Parámetro Predeterminado
CandleType 1d
WeeklyDays 7
QuarterlyDays 90 
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

/// <summary>Compares completed fixed-duration weekly and quarterly closes.</summary>
public class BtcOutperformStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _weeklyDays;
	private readonly StrategyParam<int> _quarterlyDays;
	private DateTime _week, _quarter, _lastTime;
	private int _weekCount, _quarterCount;
	private decimal? _weeklyClose, _quarterlyClose;
	private Order _pending;

	/// <summary>Finished source candle interval.</summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>UTC Monday-anchored weekly period in days.</summary>
	public int WeeklyDays
	{
		get => _weeklyDays.Value;
		set => _weeklyDays.Value = value;
	}

	/// <summary>UTC epoch-anchored long period in days.</summary>
	public int QuarterlyDays
	{
		get => _quarterlyDays.Value;
		set => _quarterlyDays.Value = value;
	}

	/// <summary>Initializes the seven-day and ninety-day periods.</summary>
	public BtcOutperformStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("CandleType", "Finished source candle interval", "Parameters");
		_weeklyDays = Param(nameof(WeeklyDays), 7).SetGreaterThanZero()
			.SetDisplay("WeeklyDays", "UTC Monday-anchored weekly period in days", "Parameters");
		_quarterlyDays = Param(nameof(QuarterlyDays), 90).SetGreaterThanZero()
			.SetDisplay("QuarterlyDays", "UTC epoch-anchored long period in days", "Parameters");
		OrderRegistering += order => _pending = order;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_week = _quarter = _lastTime = default;
		_weekCount = _quarterCount = 0;
		_weeklyClose = _quarterlyClose = null;
		_pending = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (!CandleType.Equals(TimeSpan.FromDays(1).TimeFrame()) || WeeklyDays >= QuarterlyDays)
			throw new InvalidOperationException("Daily source candles and a weekly period shorter than the quarterly period are required.");
		base.OnStarted2(time);
		var candles = SubscribeCandles(CandleType);
		candles.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area is not null)
		{
			DrawCandles(area, candles);
			DrawOwnTrades(area);
		}
	}

	private static DateTime Bucket(DateTime date, DateTime epoch, int days)
		=> epoch.AddDays(Math.Floor((date - epoch).TotalDays / days) * days);

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.OpenTime <= _lastTime)
			return;
		var date = candle.OpenTime.Date;
		var contiguous = _lastTime == default || date == _lastTime.AddDays(1);
		var week = Bucket(date, new DateTime(1970, 1, 5, 0, 0, 0, DateTimeKind.Utc), WeeklyDays);
		var quarter = Bucket(date, DateTime.UnixEpoch, QuarterlyDays);
		_weekCount = week != _week ? date == week ? 1 : 0 : contiguous && _weekCount > 0 ? _weekCount + 1 : 0;
		_quarterCount = quarter != _quarter ? date == quarter ? 1 : 0 : contiguous && _quarterCount > 0 ? _quarterCount + 1 : 0;
		_week = week;
		_quarter = quarter;
		_lastTime = date;
		if (_weekCount == WeeklyDays && date.AddDays(1) == week.AddDays(WeeklyDays))
			_weeklyClose = candle.ClosePrice;
		if (_quarterCount == QuarterlyDays && date.AddDays(1) == quarter.AddDays(QuarterlyDays))
			_quarterlyClose = candle.ClosePrice;
		if (_weeklyClose is null || _quarterlyClose is null || !IsFormedAndOnlineAndAllowTrading()
			|| _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (_weeklyClose > _quarterlyClose && Position <= 0m)
			BuyMarket(Volume + Math.Abs(Position));
		else if (_weeklyClose < _quarterlyClose && Position >= 0m)
			SellMarket(Volume + Math.Abs(Position));
	}
}