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Pairs 戦略

このペアトレーディング戦略は、2つの相関した銘柄間の価格スプレッドを監視します。スプレッドをその履歴平均と標準偏差と比較することで、システムは最終的に回帰する一時的な乖離を活用しようとします。

テストでは年間平均リターン約88%を示しています。株式市場で最もパフォーマンスが高いです。

スプレッドが指定された乖離乗数以上に平均を下回ったときにロングスプレッドに入ります。これは最初の資産を買い、2番目を売ることを意味します。スプレッドが同じ量だけ平均を上回ったときにショートスプレッドは逆のことをします。スプレッドが平均レベルに戻るとポジションは閉じられます。

ペアトレーディングは、純粋な方向性よりも相対的価値の機会を好むマーケットニュートラルなトレーダーに魅力的です。両レグがヘッジされているため、ボラティリティは低くなる傾向がありますが、戦略はリスクを管理するためにスプレッドのストップロスを引き続き使用します。

詳細

  • エントリー条件:
    • ロング: Spread < Mean - Multiplier * StdDev
    • ショート: Spread > Mean + Multiplier * StdDev
  • ロング/ショート: 両方。
  • エグジット条件:
    • ロング: スプレッドが平均に回帰したときに終了
    • ショート: スプレッドが平均に回帰したときに終了
  • ストップ: はい、スプレッド価値に基づくパーセンテージストップ。
  • デフォルト値:
    • LookbackPeriod = 20
    • DeviationMultiplier = 2.0m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: 裁定取引
    • 方向: 両方
    • インジケーター: Spread statistics
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: イントラデイ
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: はい
    • リスクレベル: 中
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>
/// Statistical Pairs Trading strategy.
/// Trades the spread between two correlated assets, entering positions when
/// the spread deviates significantly from its mean.
/// </summary>
public class PairsTradingStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<Security> _secondSecurity;

	private SimpleMovingAverage _spreadMA;
	private StandardDeviation _spreadStdDev;
	
	private decimal _spread;
	private decimal _lastSecondPrice;

	/// <summary>
	/// Period for calculating mean and standard deviation of the spread.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}
	
	/// <summary>
	/// Number of standard deviations for entry signals.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}
	
	/// <summary>
	/// Stop-loss percentage parameter.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}
	
	/// <summary>
	/// Candle type parameter.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Second security in the pair.
	/// </summary>
	public Security SecondSecurity
	{
		get => _secondSecurity.Value;
		set => _secondSecurity.Value = value;
	}
	
	/// <summary>
	/// Constructor.
	/// </summary>
	public PairsTradingStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for calculating spread mean and standard deviation", "Parameters")
			
			.SetOptimize(10, 40, 5);
			
		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Number of standard deviations for entry signals", "Parameters")
			
			.SetOptimize(1.5m, 3.0m, 0.5m);
			
		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop-loss %", "Stop-loss as percentage of spread at entry", "Risk Management")
			
			.SetOptimize(1m, 3m, 0.5m);
			
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
			
		_secondSecurity = Param<Security>(nameof(SecondSecurity))
			.SetDisplay("Second Security", "Second security in the pair", "General")
			.SetRequired();
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return
		[
			(Security, CandleType),
			(SecondSecurity, CandleType)
		];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_spreadMA = null;
		_spreadStdDev = null;
		_spread = 0;
		_lastSecondPrice = 0;
	}

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

		if (SecondSecurity == null)
			throw new InvalidOperationException("Second security is not specified.");
		
		// Initialize indicators
		_spreadMA = new() { Length = LookbackPeriod };
		_spreadStdDev = new StandardDeviation { Length = LookbackPeriod };
		
		// Create subscriptions for both securities
		var firstSecuritySubscription = SubscribeCandles(CandleType);
		var secondSecuritySubscription = SubscribeCandles(CandleType, security: SecondSecurity);
		
		// Bind to first security candles
		firstSecuritySubscription
			.Bind(ProcessFirstSecurityCandle)
			.Start();
		
		// Bind to second security candles
		secondSecuritySubscription
			.Bind(ProcessSecondSecurityCandle)
			.Start();
		
		// Enable position protection with stop-loss
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute), // No take-profit
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent) // Stop-loss as percentage
		);
		
		// Setup chart if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, firstSecuritySubscription);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessFirstSecurityCandle(ICandleMessage candle)
	{
		// Skip if we don't have price for the second security yet
		if (_lastSecondPrice == 0)
			return;

		// Calculate the spread: Asset1 - Asset2
		_spread = candle.ClosePrice - _lastSecondPrice;
		
		// Process the spread through indicators
		var maValue = _spreadMA.Process(new DecimalIndicatorValue(_spreadMA, _spread, candle.ServerTime) { IsFinal = true });
		var stdDevValue = _spreadStdDev.Process(new DecimalIndicatorValue(_spreadStdDev, _spread, candle.ServerTime) { IsFinal = true });
		
		// Skip until indicators are formed
		if (!_spreadMA.IsFormed || !_spreadStdDev.IsFormed)
			return;
		
		decimal spreadMean = maValue.ToDecimal();
		decimal spreadStdDev = stdDevValue.ToDecimal();
		
		// Calculate entry thresholds
		decimal upperThreshold = spreadMean + (spreadStdDev * DeviationMultiplier);
		decimal lowerThreshold = spreadMean - (spreadStdDev * DeviationMultiplier);
		
		// Trading logic
		if (_spread < lowerThreshold)
		{
			// Spread is below lower threshold: 
			// Buy Asset1 (Security), Sell Asset2 (SecondSecurity)
			if (Position <= 0)
			{
				// Close any existing position and enter new position
				BuyMarket(Volume + Math.Abs(Position));
				LogInfo($"Long Signal: Spread({_spread:F4}) < Lower Threshold({lowerThreshold:F4})");
				
				// Note: In a real implementation, you would also place a sell order
				// for the second security here, using a different strategy instance or connector
			}
		}
		else if (_spread > upperThreshold)
		{
			// Spread is above upper threshold:
			// Sell Asset1 (Security), Buy Asset2 (SecondSecurity)
			if (Position >= 0)
			{
				// Close any existing position and enter new position
				SellMarket(Volume + Math.Abs(Position));
				LogInfo($"Short Signal: Spread({_spread:F4}) > Upper Threshold({upperThreshold:F4})");
				
				// Note: In a real implementation, you would also place a buy order
				// for the second security here, using a different strategy instance or connector
			}
		}
		else if ((_spread > spreadMean && Position > 0) || 
				(_spread < spreadMean && Position < 0))
		{
			// Exit signals: Spread returned to the mean
			if (Position > 0)
			{
				SellMarket(Math.Abs(Position));
				LogInfo($"Exit Long: Spread({_spread:F4}) > Mean({spreadMean:F4})");
			}
			else if (Position < 0)
			{
				BuyMarket(Math.Abs(Position));
				LogInfo($"Exit Short: Spread({_spread:F4}) < Mean({spreadMean:F4})");
			}
		}
	}
	
	private void ProcessSecondSecurityCandle(ICandleMessage candle)
	{
		// Store the close price of the second security for spread calculation
		_lastSecondPrice = candle.ClosePrice;
	}
}