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資産成長効果戦略

この戦略は総資産の成長率が最も低い企業をロングし、資産成長率が最も高い企業をショートします。毎年7月に最新のファンダメンタルデータを使用してポートフォリオをリバランスします。

テストでは年平均リターン約15%を示しています。株式市場で最も優れたパフォーマンスを発揮します。

資産成長は企業の財務報告書に記載された総資産から計算されます。株式は分位数にランク付けされ、最低分位を買い、最高分位を売り建てます。ポジションは目標レバレッジを達成するようにサイズが決められ、毎年調整されます。

詳細

  • エントリー条件:
    • ロング: 資産成長率が最低分位の銘柄。
    • ショート: 資産成長率が最高分位の銘柄。
  • ロング/ショート: 両方。
  • エグジット条件: 年次リバランス時にポジションを調整。
  • ストップ: いいえ。
  • デフォルト値:
    • Quantiles = 10
    • Leverage = 1m
    • MinTradeUsd = 50m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • フィルター:
    • カテゴリ: ファンダメンタル
    • 方向: 両方
    • インジケーター: Fundamentals
    • ストップ: いいえ
    • 複雑さ: 中程度
    • 時間軸: 長期
    • 季節性: はい
    • 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-growth strategy that fades excessive synthetic balance-sheet expansion in the primary instrument versus the secondary benchmark.
/// </summary>
public class AssetGrowthEffectStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _assetLength;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _entryThreshold;
	private readonly StrategyParam<decimal> _exitThreshold;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private Security _security2 = null!;
	private ExponentialMovingAverage _primaryAssetBase = null!;
	private ExponentialMovingAverage _secondaryAssetBase = null!;
	private SimpleMovingAverage _growthSpreadAverage = null!;
	private StandardDeviation _growthSpreadDeviation = null!;
	private decimal _previousPrimaryAssetBase;
	private decimal _previousSecondaryAssetBase;
	private decimal _latestPrimaryGrowth;
	private decimal _latestSecondaryGrowth;
	private bool _primaryUpdated;
	private bool _secondaryUpdated;
	private decimal? _previousZScore;
	private int _cooldownRemaining;

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

	/// <summary>
	/// Smoothing length for the synthetic asset base.
	/// </summary>
	public int AssetLength
	{
		get => _assetLength.Value;
		set => _assetLength.Value = value;
	}

	/// <summary>
	/// Lookback period used to normalize growth spread.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Z-score threshold required to open a position.
	/// </summary>
	public decimal EntryThreshold
	{
		get => _entryThreshold.Value;
		set => _entryThreshold.Value = value;
	}

	/// <summary>
	/// Z-score threshold required to close a position.
	/// </summary>
	public decimal ExitThreshold
	{
		get => _exitThreshold.Value;
		set => _exitThreshold.Value = value;
	}

	/// <summary>
	/// Closed candles to wait before another position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.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 AssetGrowthEffectStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Second Security Id", "Identifier of the secondary benchmark security", "General");

		_assetLength = Param(nameof(AssetLength), 8)
			.SetRange(2, 40)
			.SetDisplay("Asset Length", "Smoothing length for the synthetic asset base", "Indicators");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 24)
			.SetRange(10, 150)
			.SetDisplay("Lookback Period", "Lookback period used to normalize growth spread", "Indicators");

		_entryThreshold = Param(nameof(EntryThreshold), 1.35m)
			.SetRange(0.5m, 4m)
			.SetDisplay("Entry Threshold", "Z-score threshold required to open a position", "Signals");

		_exitThreshold = Param(nameof(ExitThreshold), 0.3m)
			.SetRange(0m, 2m)
			.SetDisplay("Exit Threshold", "Z-score threshold required to close a position", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 12)
			.SetRange(0, 100)
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "Risk");

		_stopLoss = Param(nameof(StopLoss), 2.5m)
			.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!;
		_primaryAssetBase = null!;
		_secondaryAssetBase = null!;
		_growthSpreadAverage = null!;
		_growthSpreadDeviation = null!;
		_previousPrimaryAssetBase = 0m;
		_previousSecondaryAssetBase = 0m;
		_latestPrimaryGrowth = 0m;
		_latestSecondaryGrowth = 0m;
		_primaryUpdated = false;
		_secondaryUpdated = false;
		_previousZScore = null;
		_cooldownRemaining = 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 };
		_primaryAssetBase = new ExponentialMovingAverage { Length = AssetLength };
		_secondaryAssetBase = new ExponentialMovingAverage { Length = AssetLength };
		_growthSpreadAverage = new SimpleMovingAverage { Length = LookbackPeriod };
		_growthSpreadDeviation = new StandardDeviation { Length = LookbackPeriod };
		_cooldownRemaining = 0;

		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;

		_latestPrimaryGrowth = UpdateGrowth(_primaryAssetBase, candle, ref _previousPrimaryAssetBase);
		_primaryUpdated = true;
		TryProcessGrowthSpread(candle.OpenTime);
	}

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

		_latestSecondaryGrowth = UpdateGrowth(_secondaryAssetBase, candle, ref _previousSecondaryAssetBase);
		_secondaryUpdated = true;
		TryProcessGrowthSpread(candle.OpenTime);
	}

	private decimal UpdateGrowth(ExponentialMovingAverage average, ICandleMessage candle, ref decimal previousValue)
	{
		var syntheticAssets = CalculateSyntheticAssets(candle);
		var assetBase = average.Process(syntheticAssets, candle.OpenTime, true).ToDecimal();

		if (previousValue == 0m)
		{
			previousValue = assetBase;
			return 0m;
		}

		var growth = (assetBase - previousValue) / Math.Max(Math.Abs(previousValue), 1m);
		previousValue = assetBase;

		return growth;
	}

	private decimal CalculateSyntheticAssets(ICandleMessage candle)
	{
		var priceBase = Math.Max(candle.OpenPrice, 1m);
		var range = Math.Max(candle.HighPrice - candle.LowPrice, Security?.PriceStep ?? 1m);
		var turnoverProxy = candle.ClosePrice * (1m + ((range / priceBase) * 5m));
		var balanceSheetProxy = (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3m;

		return turnoverProxy + balanceSheetProxy;
	}

	private void TryProcessGrowthSpread(DateTime time)
	{
		if (!_primaryUpdated || !_secondaryUpdated)
			return;

		_primaryUpdated = false;
		_secondaryUpdated = false;

		if (!_primaryAssetBase.IsFormed || !_secondaryAssetBase.IsFormed)
			return;

		var growthSpread = _latestPrimaryGrowth - _latestSecondaryGrowth;
		var mean = _growthSpreadAverage.Process(growthSpread, time, true).ToDecimal();
		var deviation = _growthSpreadDeviation.Process(growthSpread, time, true).ToDecimal();

		if (!_growthSpreadAverage.IsFormed || !_growthSpreadDeviation.IsFormed || deviation <= 0)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (growthSpread - mean) / deviation;
		var bullishEntry = _previousZScore is decimal previousBullish && previousBullish > -EntryThreshold && zScore <= -EntryThreshold;
		var bearishEntry = _previousZScore is decimal previousBearish && previousBearish < EntryThreshold && zScore >= EntryThreshold;

		if (_cooldownRemaining == 0 && Position == 0)
		{
			if (bullishEntry)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (bearishEntry)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}
		else if (Position > 0 && zScore >= -ExitThreshold)
		{
			SellMarket(Position);
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && zScore <= ExitThreshold)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_previousZScore = zScore;
	}
}