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Z-Score リバーサル戦略

Z-Score リバーサル戦略は、価格が移動平均からどれだけ標準偏差分乖離しているかを測定します。算出されたZ-Scoreは、平均に戻る可能性のある統計的に過度に伸びた状態を浮き彫りにします。

テストによると、平均年間リターンは約91%です。株式市場で最も高いパフォーマンスを発揮します。

Z-Scoreが負の閾値を下回ると、市場が売られすぎであることを示すロングポジションが開かれます。Z-Scoreが正の閾値を上回ると、ショートトレードが取られます。Z-Scoreがゼロに戻ると、価格が正常化したことを示し、ポジションが決済されます。

この手法は、客観的なエントリーレベルを好む平均回帰トレーダーにとって魅力的です。ストップロスのパーセンテージにより、回帰を待つ間の不利な動きを管理可能な状態に保ちます。

詳細

  • エントリー条件:
    • ロング: Z-Score < -閾値
    • ショート: Z-Score > 閾値
  • ロング/ショート: 両方。
  • エグジット条件:
    • ロング: Z-Scoreが0を上抜けた時に決済
    • ショート: Z-Scoreが0を下抜けた時に決済
  • ストップ: あり、パーセンテージストップロス。
  • デフォルト値:
    • LookbackPeriod = 20
    • ZScoreThreshold = 2.0m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(10)
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: Z-Score
    • ストップ: あり
    • 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: いいえ
    • 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>
/// Strategy that trades based on Z-Score (normalized price deviation from the mean).
/// Enters long when Z-Score is below a negative threshold (price significantly below mean).
/// Enters short when Z-Score is above a positive threshold (price significantly above mean).
/// Exits when Z-Score returns to zero (price returns to mean).
/// </summary>
public class ZScoreReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _zScoreThreshold;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	
	private SimpleMovingAverage _ma;
	private StandardDeviation _stdDev;
	
	private decimal _lastZScore;
	
	/// <summary>
	/// Period for calculating mean and standard deviation.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}
	
	/// <summary>
	/// Z-Score threshold for entry signals.
	/// </summary>
	public decimal ZScoreThreshold
	{
		get => _zScoreThreshold.Value;
		set => _zScoreThreshold.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>
	/// Constructor.
	/// </summary>
	public ZScoreReversalStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for calculating mean and standard deviation", "Parameters")
			
			.SetOptimize(10, 40, 5);
			
		_zScoreThreshold = Param(nameof(ZScoreThreshold), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Z-Score Threshold", "Z-Score threshold 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 entry price", "Risk Management")
			
			.SetOptimize(1m, 3m, 0.5m);
			
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(10).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();

		_ma = null;
		_stdDev = null;
		_lastZScore = default;
	}

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

// Initialize indicators
		_ma = new() { Length = LookbackPeriod };
		_stdDev = new() { Length = LookbackPeriod };
		
		// Create candles subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind indicators to subscription
		subscription
			.Bind(_ma, _stdDev, ProcessCandle)
			.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, subscription);
			DrawIndicator(area, _ma);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessCandle(ICandleMessage candle, decimal maValue, decimal stdDevValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Skip if strategy is not ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;
		
		// Skip if standard deviation is zero (avoid division by zero)
		if (stdDevValue == 0)
			return;

		// Calculate Z-Score: (Price - Mean) / StdDev
		decimal zScore = (candle.ClosePrice - maValue) / stdDevValue;
		
		LogInfo($"Current Z-Score: {zScore:F4}, Mean: {maValue:F4}, StdDev: {stdDevValue:F4}");
		
		// Trading logic
		if (zScore < -ZScoreThreshold)
		{
			// Long signal: Z-Score is below negative threshold
			if (Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				LogInfo($"Long Entry: Z-Score({zScore:F4}) < -{ZScoreThreshold:F4}");
			}
		}
		else if (zScore > ZScoreThreshold)
		{
			// Short signal: Z-Score is above positive threshold
			if (Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				LogInfo($"Short Entry: Z-Score({zScore:F4}) > {ZScoreThreshold:F4}");
			}
		}
		else if ((zScore > 0 && Position > 0) || (zScore < 0 && Position < 0))
		{
			// Exit signals: Z-Score crossed zero line
			if (Position > 0 && _lastZScore < 0 && zScore > 0)
			{
				SellMarket(Math.Abs(Position));
				LogInfo($"Exit Long: Z-Score crossed zero from negative to positive");
			}
			else if (Position < 0 && _lastZScore > 0 && zScore < 0)
			{
				BuyMarket(Math.Abs(Position));
				LogInfo($"Exit Short: Z-Score crossed zero from positive to negative");
			}
		}
		
		// Store current Z-Score for next calculation
		_lastZScore = zScore;
	}
}