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資産クラス別トレンドフォロー戦略

この戦略は複数の資産クラスにわたってトレンドを追います。ユニバース内の各銘柄に単純移動平均フィルターを適用し、毎月の最初の取引日にポートフォリオをリバランスします。移動平均を上回っているときのみポジションを取ります。

テストでは年平均リターン約15%を示しています。分散されたフューチャーズポートフォリオで最も優れたパフォーマンスを発揮します。

毎月の初めに、SMAを上回って取引されている銘柄に均等なキャピタル配分が行われます。価格がSMAを下回るか、次回のリバランス時に資本が再配分される際にポジションが閉じられます。

詳細

  • エントリー条件: Close > SMA
  • ロング/ショート: ロングのみ
  • エグジット条件: Close <= SMA またはリバランス時に除外
  • ストップ: なし; 資本は毎月再配分される
  • デフォルト値:
    • SmaLength = 210
    • MinTradeUsd = 50
    • CandleType = daily
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 方向: ロングのみ
    • インジケーター: SMA
    • ストップ: いいえ
    • 複雑さ: 中級
    • 時間軸: 長期
    • 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.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Relative asset class trend-following strategy that allocates to the primary instrument when its trend is stronger than the secondary benchmark.
/// </summary>
public class AssetClassTrendFollowingStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<decimal> _minTrendStrength;
	private readonly StrategyParam<decimal> _relativeStrengthThreshold;
	private readonly StrategyParam<int> _rebalanceIntervalBars;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private Security _security2 = null!;
	private SimpleMovingAverage _primarySma = null!;
	private SimpleMovingAverage _secondarySma = null!;
	private decimal _latestPrimaryPrice;
	private decimal _latestSecondaryPrice;
	private decimal _latestPrimarySma;
	private decimal _latestSecondarySma;
	private bool _primaryUpdated;
	private bool _secondaryUpdated;
	private int _barsSinceRebalance;

	/// <summary>
	/// Secondary security identifier.
	/// </summary>
	public string Security2Id
	{
		get => _security2Id.Value;
		set => _security2Id.Value = value;
	}

	/// <summary>
	/// Trend moving average length.
	/// </summary>
	public int SmaLength
	{
		get => _smaLength.Value;
		set => _smaLength.Value = value;
	}

	/// <summary>
	/// Minimum absolute trend strength required to hold the primary instrument.
	/// </summary>
	public decimal MinTrendStrength
	{
		get => _minTrendStrength.Value;
		set => _minTrendStrength.Value = value;
	}

	/// <summary>
	/// Minimum relative outperformance of the primary instrument versus the benchmark.
	/// </summary>
	public decimal RelativeStrengthThreshold
	{
		get => _relativeStrengthThreshold.Value;
		set => _relativeStrengthThreshold.Value = value;
	}

	/// <summary>
	/// Number of paired candles between rebalancing decisions.
	/// </summary>
	public int RebalanceIntervalBars
	{
		get => _rebalanceIntervalBars.Value;
		set => _rebalanceIntervalBars.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public AssetClassTrendFollowingStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Second Security Id", "Identifier of the secondary benchmark security", "General");

		_smaLength = Param(nameof(SmaLength), 36)
			.SetRange(10, 200)
			.SetDisplay("SMA Length", "Trend moving average length", "Indicators");

		_minTrendStrength = Param(nameof(MinTrendStrength), 0.004m)
			.SetRange(0.001m, 0.05m)
			.SetDisplay("Min Trend Strength", "Minimum absolute trend strength required to hold the primary instrument", "Signals");

		_relativeStrengthThreshold = Param(nameof(RelativeStrengthThreshold), 0.002m)
			.SetRange(0m, 0.05m)
			.SetDisplay("Relative Strength Threshold", "Minimum relative outperformance of the primary instrument", "Signals");

		_rebalanceIntervalBars = Param(nameof(RebalanceIntervalBars), 18)
			.SetRange(1, 200)
			.SetDisplay("Rebalance Bars", "Number of paired candles between rebalancing decisions", "General");

		_stopLoss = Param(nameof(StopLoss), 2m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle series for both instruments", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);

		if (!Security2Id.IsEmpty())
			yield return (new Security { Id = Security2Id }, CandleType);
	}

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

		_security2 = null!;
		_primarySma = null!;
		_secondarySma = null!;
		_latestPrimaryPrice = 0m;
		_latestSecondaryPrice = 0m;
		_latestPrimarySma = 0m;
		_latestSecondarySma = 0m;
		_primaryUpdated = false;
		_secondaryUpdated = false;
		_barsSinceRebalance = 0;
	}

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

		if (Security == null)
			throw new InvalidOperationException("Primary security is not specified.");

		if (Security2Id.IsEmpty())
			throw new InvalidOperationException("Secondary security identifier is not specified.");

		_security2 = this.LookupById(Security2Id) ?? new Security { Id = Security2Id };
		_primarySma = new SimpleMovingAverage { Length = SmaLength };
		_secondarySma = new SimpleMovingAverage { Length = SmaLength };
		_barsSinceRebalance = RebalanceIntervalBars;

		var primarySubscription = SubscribeCandles(CandleType, security: Security);
		var secondarySubscription = SubscribeCandles(CandleType, security: _security2);

		primarySubscription
			.Bind(ProcessPrimaryCandle)
			.Start();

		secondarySubscription
			.Bind(ProcessSecondaryCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, primarySubscription);
			DrawCandles(area, secondarySubscription);
			DrawOwnTrades(area);
		}

		StartProtection(
			new Unit(2, UnitTypes.Percent),
			new Unit(StopLoss, UnitTypes.Percent));
	}

	private void ProcessPrimaryCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_latestPrimaryPrice = candle.ClosePrice;
		_latestPrimarySma = _primarySma.Process(candle).ToDecimal();
		_primaryUpdated = true;
		TryRebalance();
	}

	private void ProcessSecondaryCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_latestSecondaryPrice = candle.ClosePrice;
		_latestSecondarySma = _secondarySma.Process(candle).ToDecimal();
		_secondaryUpdated = true;
		TryRebalance();
	}

	private void TryRebalance()
	{
		if (!_primaryUpdated || !_secondaryUpdated)
			return;

		_primaryUpdated = false;
		_secondaryUpdated = false;

		if (!_primarySma.IsFormed || !_secondarySma.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_barsSinceRebalance < RebalanceIntervalBars)
		{
			_barsSinceRebalance++;
			return;
		}

		_barsSinceRebalance = 0;

		var primaryTrend = (_latestPrimaryPrice - _latestPrimarySma) / Math.Max(_latestPrimarySma, 1m);
		var secondaryTrend = (_latestSecondaryPrice - _latestSecondarySma) / Math.Max(_latestSecondarySma, 1m);
		var relativeStrength = primaryTrend - secondaryTrend;
		var shouldHoldLong = primaryTrend >= MinTrendStrength && relativeStrength >= RelativeStrengthThreshold;

		if (shouldHoldLong && Position <= 0)
		{
			BuyMarket(Volume + (Position < 0 ? Math.Abs(Position) : 0m));
		}
		else if (!shouldHoldLong && Position > 0)
		{
			SellMarket(Position);
		}
	}
}