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FXキャリートレード戦略

この通貨戦略は、基軸通貨と決済通貨間の金利差によって通貨インストゥルメントのユニバースをランク付けします。毎月初に、最もキャリーが高いTopK銘柄をロング、最も低いTopK銘柄をショートします。ロングのポジティブ・キャリーを獲得しながら、ショートのネガティブ・キャリーを支払うことで利益を狙います。

金利差は各証券の利回りデータから取得されます。ポジションは等ウェイトで組成され、毎月リバランスされます。上位グループまたは下位グループを外れたインストゥルメントは決済され代替されます。

詳細

  • エントリー条件:
    • 月の最初の取引日に、各通貨の金利差を計算する。
    • 注文金額がMinTradeUsdを超える場合、最もキャリーが高いTopK通貨をロング、最も低いTopK通貨をショートする。
  • ロング/ショート: 高キャリーをロング、低キャリーをショート。
  • エグジット条件: 次のリバランス時に通貨が選定グループから外れた場合にポジションを決済する。
  • ストップ: なし。
  • デフォルト値:
    • Universe – 通貨インストゥルメントのリスト。
    • TopK = 3。
    • CandleType = 1日。
    • MinTradeUsd – 最低取引金額。
  • フィルター:
    • カテゴリ: キャリー。
    • 方向: ロングとショート。
    • 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>
/// FX carry trade strategy that trades the primary instrument when its synthetic carry exceeds or lags a benchmark currency.
/// </summary>
public class FXCarryTradeStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _carryLength;
	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 _primaryCarry = null!;
	private ExponentialMovingAverage _benchmarkCarry = null!;
	private SimpleMovingAverage _spreadAverage = null!;
	private StandardDeviation _spreadDeviation = null!;
	private decimal _latestPrimaryCarry;
	private decimal _latestBenchmarkCarry;
	private decimal? _previousZScore;
	private bool _primaryUpdated;
	private bool _benchmarkUpdated;
	private int _cooldownRemaining;

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

	/// <summary>
	/// Smoothing length for the synthetic carry signal.
	/// </summary>
	public int CarryLength
	{
		get => _carryLength.Value;
		set => _carryLength.Value = value;
	}

	/// <summary>
	/// Lookback period used to normalize the carry 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 for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public FXCarryTradeStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark currency security", "General");

		_carryLength = Param(nameof(CarryLength), 10)
			.SetRange(2, 80)
			.SetDisplay("Carry Length", "Smoothing length for the synthetic carry signal", "Indicators");

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

		_entryThreshold = Param(nameof(EntryThreshold), 1.2m)
			.SetRange(0.2m, 5m)
			.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), 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", "Time frame for 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!;
		_primaryCarry = null!;
		_benchmarkCarry = null!;
		_spreadAverage = null!;
		_spreadDeviation = null!;
		_latestPrimaryCarry = 0m;
		_latestBenchmarkCarry = 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 };
		_primaryCarry = new ExponentialMovingAverage { Length = CarryLength };
		_benchmarkCarry = new ExponentialMovingAverage { Length = CarryLength };
		_spreadAverage = new SimpleMovingAverage { Length = LookbackPeriod };
		_spreadDeviation = 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;

		_latestPrimaryCarry = UpdateCarry(_primaryCarry, candle);
		_primaryUpdated = true;
		TryProcessSpread(candle.OpenTime);
	}

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

		_latestBenchmarkCarry = UpdateCarry(_benchmarkCarry, candle);
		_benchmarkUpdated = true;
		TryProcessSpread(candle.OpenTime);
	}

	private decimal UpdateCarry(ExponentialMovingAverage average, ICandleMessage candle)
	{
		var carrySignal = CalculateCarrySignal(candle);
		return average.Process(carrySignal, candle.OpenTime, true).ToDecimal();
	}

	private decimal CalculateCarrySignal(ICandleMessage candle)
	{
		var priceBase = Math.Max(candle.OpenPrice, 1m);
		var range = Math.Max(candle.HighPrice - candle.LowPrice, Security?.PriceStep ?? 1m);
		var bodyRatio = (candle.ClosePrice - candle.OpenPrice) / priceBase;
		var stability = 1m - Math.Min(0.2m, range / priceBase);

		return (bodyRatio * 12m) + stability;
	}

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

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		var spread = _latestPrimaryCarry - _latestBenchmarkCarry;
		var mean = _spreadAverage.Process(spread, time, true).ToDecimal();
		var deviation = _spreadDeviation.Process(spread, time, true).ToDecimal();

		if (!_spreadAverage.IsFormed || !_spreadDeviation.IsFormed || deviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (spread - 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;
	}
}