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統計的アービトラージ戦略

この統計的アービトラージアプローチは、移動平均周辺の相対的なポジションに基づいて関連する2つの有価証券ペアを取引します。各資産をその独自の平均と比較することで、時間をかけて収束するはずの短期的な乖離を利用することを目指します。

テストによると、平均年間リターンは約94%です。株式市場で最も高いパフォーマンスを発揮します。

最初の資産がその移動平均を下回り、2番目の資産がその独自の平均を上回って取引されているときにロングポジションが開始されます。最初の資産が平均を上回り、2番目が下回っているときにショートポジションが発生します。最初の資産がその移動平均に戻ると、スプレッドが正常化したことを示しポジションが決済されます。

この方法は、2つの銘柄間のエクスポージャーバランスに慣れた市場中立トレーダーに最適です。内蔵のストップロスは、スプレッドが反転する代わりにさらに拡大した場合のドローダウンを制限します。

詳細

  • エントリー条件:
    • ロング: Asset1 < MA1 && Asset2 > MA2
    • ショート: Asset1 > MA1 && Asset2 < MA2
  • ロング/ショート: 両方。
  • エグジット条件:
    • ロング: Asset1がMA1を上回って終値をつけた時に決済
    • ショート: Asset1がMA1を下回って終値をつけた時に決済
  • ストップ: あり、スプレッドに対するパーセンテージストップロス。
  • デフォルト値:
    • LookbackPeriod = 20
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(15)
  • フィルター:
    • カテゴリ: アービトラージ
    • 方向: 両方
    • インジケーター: Moving Averages
    • 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: 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 Arbitrage strategy that trades pairs of securities based on their relative mean reversion.
/// Enters when one asset is below its mean while the other is above its mean.
/// </summary>
public class StatisticalArbitrageStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<Security> _secondSecurity;
	
	private SimpleMovingAverage _firstMA;
	private SimpleMovingAverage _secondMA;
	
	private decimal _lastFirstPrice;
	private decimal _lastSecondPrice;
	private decimal _entrySpread;
	private decimal _secondMAValue;
	
	/// <summary>
	/// Period for calculating moving averages.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.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 StatisticalArbitrageStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for calculating moving averages", "Parameters")
			
			.SetOptimize(10, 30, 5);
			
		_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(15).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();

		_firstMA = null;
		_secondMA = null;
		_lastFirstPrice = 0;
		_lastSecondPrice = 0;
		_entrySpread = 0;
		_secondMAValue = 0;
	}

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

		if (SecondSecurity == null)
			throw new InvalidOperationException("Second security is not specified.");

		// Initialize indicators
		_firstMA = new() { Length = LookbackPeriod };
		_secondMA = new() { Length = LookbackPeriod };

		// Create subscriptions for both securities
		var firstSecuritySubscription = SubscribeCandles(CandleType);
		var secondSecuritySubscription = SubscribeCandles(CandleType, security: SecondSecurity);

		// Bind to first security candles
		firstSecuritySubscription
			.Bind(_firstMA, 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);
			DrawIndicator(area, _firstMA);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessFirstSecurityCandle(ICandleMessage candle, decimal firstMAValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Store current price
		_lastFirstPrice = candle.ClosePrice;

		// Skip if we don't have both prices or if indicators aren't formed
		if (_lastSecondPrice == 0 || !_firstMA.IsFormed || !_secondMA.IsFormed)
			return;

		// Get last second MA value stored earlier
		decimal secondMAValue = _secondMAValue;
		
		// Trading logic
		bool isFirstBelowMA = _lastFirstPrice < firstMAValue;
		bool isSecondAboveMA = _lastSecondPrice > secondMAValue;
		bool isFirstAboveMA = _lastFirstPrice > firstMAValue;
		bool isSecondBelowMA = _lastSecondPrice < secondMAValue;
		
		decimal currentSpread = _lastFirstPrice - _lastSecondPrice;
		
		// Long signal: First asset below MA, Second asset above MA
		if (isFirstBelowMA && isSecondAboveMA)
		{
			// If we're not already in a long position
			if (Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				_entrySpread = currentSpread;
				LogInfo($"Long Signal: {Security.Code}({_lastFirstPrice:F4}) < MA({firstMAValue:F4}) && " + 
						$"{SecondSecurity.Code}({_lastSecondPrice:F4}) > MA({secondMAValue: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
			}
		}
		// Short signal: First asset above MA, Second asset below MA
		else if (isFirstAboveMA && isSecondBelowMA)
		{
			// If we're not already in a short position
			if (Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				_entrySpread = currentSpread;
				LogInfo($"Short Signal: {Security.Code}({_lastFirstPrice:F4}) > MA({firstMAValue:F4}) && " + 
						$"{SecondSecurity.Code}({_lastSecondPrice:F4}) < MA({secondMAValue: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
			}
		}
		// Exit signals
		else if ((Position > 0 && isFirstAboveMA) || (Position < 0 && isFirstBelowMA))
		{
			// Exit position when first asset crosses its moving average
			if (Position > 0)
			{
				SellMarket(Math.Abs(Position));
				LogInfo($"Exit Long: {Security.Code}({_lastFirstPrice:F4}) > MA({firstMAValue:F4})");
			}
			else if (Position < 0)
			{
				BuyMarket(Math.Abs(Position));
				LogInfo($"Exit Short: {Security.Code}({_lastFirstPrice:F4}) < MA({firstMAValue:F4})");
			}
		}
	}
	
	private void ProcessSecondSecurityCandle(ICandleMessage candle)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Store current price
		_lastSecondPrice = candle.ClosePrice;
	
		// Process through MA indicator and store last value
		var maValue = _secondMA.Process(new DecimalIndicatorValue(_secondMA, candle.ClosePrice, candle.ServerTime) { IsFinal = true });
		_secondMAValue = maValue.ToDecimal();
	}
}