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Fedモデル戦略

このマクロ・タイミング・システムは、株式市場の益回りと10年物米国債利回りを比較します。株式の方が高い利回りを提供している場合は株式ETFを保有し、債券の利回りが高い場合は現金に移行します。毎月の利回り格差に対する回帰分析が翌月の値を予測し、ノイズによる売買切替を減らします。

毎月末に、アルゴリズムは直近1年のデータを使って翌月の利回りスプレッドを予測します。予測が正であれば株式を買い、そうでなければ現金プロキシを保有します。予測がゼロをまたいだ時のみポジションが変わり、売買回転を最小化します。

詳細

  • エントリー条件:
    • 月末に、(EarningsYield - BondYield) の直近RegressionMonths個の観測値で回帰を行い、次の値を予測する。
    • 予測がゼロを上回り、かつ注文がMinTradeUsdを満たす場合に株式ETFを買う。
  • ロング/ショート: 株式または現金のロングのみ。
  • エグジット条件: 予測された利回りスプレッドがマイナスに転じたら株式ポジションを決済する。
  • ストップ: なし。
  • デフォルト値:
    • Universe – [株式ETF、オプションで現金ETF]。
    • BondYieldSym – 10年物国債利回り系列。
    • EarningsYieldSym – 株式市場の益回り。
    • RegressionMonths = 12。
    • CandleType = 1日。
    • MinTradeUsd – 最低取引金額。
  • フィルター:
    • カテゴリ: マクロ。
    • 方向: ロングのみ。
    • 時間軸: 月次。
    • リバランス: 毎月。
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>
/// Fed model strategy that trades the primary instrument when its synthetic earnings yield exceeds a synthetic bond yield benchmark.
/// </summary>
public class FedModelStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _yieldLength;
	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 _benchmark = null!;
	private ExponentialMovingAverage _earningsYield = null!;
	private ExponentialMovingAverage _bondYield = null!;
	private SimpleMovingAverage _gapAverage = null!;
	private StandardDeviation _gapDeviation = null!;
	private decimal _latestPrimaryGap;
	private decimal _latestBenchmarkGap;
	private decimal? _previousZScore;
	private bool _primaryUpdated;
	private bool _benchmarkUpdated;
	private int _cooldownRemaining;

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

	/// <summary>
	/// Smoothing length for synthetic yields.
	/// </summary>
	public int YieldLength
	{
		get => _yieldLength.Value;
		set => _yieldLength.Value = value;
	}

	/// <summary>
	/// Lookback period used to normalize the yield gap.
	/// </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>
	/// Type of candles used for processing.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public FedModelStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark security", "General");

		_yieldLength = Param(nameof(YieldLength), 12)
			.SetRange(2, 80)
			.SetDisplay("Yield Length", "Smoothing length for synthetic yields", "Indicators");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 24)
			.SetRange(5, 120)
			.SetDisplay("Lookback Period", "Lookback period used to normalize the yield gap", "Indicators");

		_entryThreshold = Param(nameof(EntryThreshold), 1.1m)
			.SetRange(0.2m, 5m)
			.SetDisplay("Entry Threshold", "Z-score threshold required to open a position", "Signals");

		_exitThreshold = Param(nameof(ExitThreshold), 0.25m)
			.SetRange(0m, 2m)
			.SetDisplay("Exit Threshold", "Z-score threshold required to close a position", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 8)
			.SetRange(0, 120)
			.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", "Type of candles", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security, DataType)> 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();

		_benchmark = null!;
		_earningsYield = null!;
		_bondYield = null!;
		_gapAverage = null!;
		_gapDeviation = null!;
		_latestPrimaryGap = 0m;
		_latestBenchmarkGap = 0m;
		_previousZScore = null;
		_primaryUpdated = false;
		_benchmarkUpdated = false;
		_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("Benchmark security identifier is not specified.");

		_benchmark = this.LookupById(Security2Id) ?? new Security { Id = Security2Id };
		_earningsYield = new ExponentialMovingAverage { Length = YieldLength };
		_bondYield = new ExponentialMovingAverage { Length = YieldLength };
		_gapAverage = new SimpleMovingAverage { Length = LookbackPeriod };
		_gapDeviation = new StandardDeviation { Length = LookbackPeriod };

		var primarySubscription = SubscribeCandles(CandleType, security: Security);
		var benchmarkSubscription = SubscribeCandles(CandleType, security: _benchmark);

		primarySubscription
			.Bind(ProcessPrimaryCandle)
			.Start();

		benchmarkSubscription
			.Bind(ProcessBenchmarkCandle)
			.Start();

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

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

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

		_latestPrimaryGap = UpdateYieldGap(_earningsYield, candle);
		_primaryUpdated = true;
		TryProcessGap(candle.OpenTime);
	}

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

		_latestBenchmarkGap = UpdateYieldGap(_bondYield, candle);
		_benchmarkUpdated = true;
		TryProcessGap(candle.OpenTime);
	}

	private decimal UpdateYieldGap(ExponentialMovingAverage average, ICandleMessage candle)
	{
		var yieldProxy = CalculateYieldProxy(candle);
		return average.Process(yieldProxy, candle.OpenTime, true).ToDecimal();
	}

	private decimal CalculateYieldProxy(ICandleMessage candle)
	{
		var priceBase = Math.Max(candle.ClosePrice, 1m);
		var range = Math.Max(candle.HighPrice - candle.LowPrice, Security?.PriceStep ?? 1m);
		var normalizedRange = range / priceBase;
		var closeLocation = (candle.ClosePrice - candle.LowPrice) / range;

		return (1m / priceBase * 100m) + closeLocation - normalizedRange;
	}

	private void TryProcessGap(DateTime time)
	{
		if (!_primaryUpdated || !_benchmarkUpdated)
			return;

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		var gap = _latestPrimaryGap - _latestBenchmarkGap;
		var mean = _gapAverage.Process(gap, time, true).ToDecimal();
		var deviation = _gapDeviation.Process(gap, time, true).ToDecimal();

		if (!_gapAverage.IsFormed || !_gapDeviation.IsFormed || deviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (gap - 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;
	}
}