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Estrategia de Compra Mensual con Tamaño de Contrato Dinámico

Compra un número dinámico de contratos en un día elegido de cada mes utilizando un porcentaje fijo del capital de la cuenta. El drawdown se registra con fines informativos.

Detalles

  • Criterios de entrada: tiempo >= StartDate Y día del mes = BuyDay
  • Largo/Corto: Solo largos
  • Criterios de salida: ninguno
  • Stops: ninguno
  • Valores predeterminados:
    • CandleType = 1 día
    • StartDate = 2010-01-01
    • PercentOfEquity = 0.03
    • BuyDay = 1
  • Filtros:
    • Categoría: Promedio de coste en dólares
    • Dirección: Largo
    • Indicadores: No
    • Stops: No
    • Complejidad: Principiante
    • Marco temporal: Largo plazo
    • Estacionalidad: Mensual
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Bajo
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Buys a percentage of equity on a specific day each month.
/// </summary>
public class MonthlyPurchaseWithDynamicContractSizeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DateTimeOffset> _startDate;
	private readonly StrategyParam<decimal> _percentOfEquity;
	private readonly StrategyParam<int> _buyDay;

	private decimal? _highestEquity;
	private DateTimeOffset? _lastBuyTime;

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

	/// <summary>
	/// Start date after which purchases are allowed.
	/// </summary>
	public DateTimeOffset StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	/// <summary>
	/// Percentage of equity used for each purchase.
	/// </summary>
	public decimal PercentOfEquity
	{
		get => _percentOfEquity.Value;
		set => _percentOfEquity.Value = value;
	}

	/// <summary>
	/// Day of the month to buy.
	/// </summary>
	public int BuyDay
	{
		get => _buyDay.Value;
		set => _buyDay.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="MonthlyPurchaseWithDynamicContractSizeStrategy"/>.
	/// </summary>
	public MonthlyPurchaseWithDynamicContractSizeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for strategy", "General");

		_startDate = Param(nameof(StartDate), new DateTimeOffset(2010, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("Start Date", "Purchases start from this date", "Strategy");

		_percentOfEquity = Param(nameof(PercentOfEquity), 0.03m)
			.SetRange(0.01m, 10m)
			.SetDisplay("Percent of Equity", "Percentage of equity per purchase", "Strategy");

		_buyDay = Param(nameof(BuyDay), 1)
			.SetRange(1, 31)
			.SetDisplay("Buy Day", "Day of month to buy", "Strategy");
	}

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

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

		_highestEquity = null;
		_lastBuyTime = null;
	}

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

		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;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var equity = Portfolio.CurrentValue ?? 0m;
		if (_highestEquity == null || equity > _highestEquity)
			_highestEquity = equity;

		var isAfterStart = candle.OpenTime >= StartDate;
		if (!isAfterStart)
			return;

		var currentDay = candle.OpenTime.Day;
		var lastMonth = _lastBuyTime?.Month;
		var lastYear = _lastBuyTime?.Year;

		if (currentDay >= BuyDay && (lastMonth != candle.OpenTime.Month || lastYear != candle.OpenTime.Year))
		{
			var effectiveEquity = equity > candle.ClosePrice ? equity : candle.ClosePrice;
			var contracts = (int)(effectiveEquity * PercentOfEquity / candle.ClosePrice);
			if (contracts <= 0)
				contracts = 1;
			if (contracts > 0)
			{
				BuyMarket(contracts);
				_lastBuyTime = candle.OpenTime;
			}
		}
	}
}