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Lexical Density Filings

取引規則

各銘柄の最新公表済みプレーンテキスト報告書を読みます。Unicode の文字・結合記号の連続を単語とし、.NET の不変カルチャで小文字化します。語彙密度 = 正規化後の異なる単語数 / 全単語数です。先頭銘柄の取引所カレンダーに従い、2・5・8・11月の最初の3取引日だけで配分します。その期間内に Quintile 件以上が揃わなければ次回まで待ちます。密度の最上位を買い、最下位を売り、各側 floor(有効数 / Quintile) 銘柄とします。期間中は保有を維持します。

全観測値はシグナル足の終値時刻までに公表されている必要があります。日中足では当日 UTC 日付より前の日足価格だけを使い、確定日足では自身の日付を使えます。将来の CSV 日付で判断を先取りしません。

公表情報の締切は、同期した確定足の実際の CloseTime の最大値です。取引セッションは設定足の全期間が経過する前に終了する場合があります。

入力データ

FilingsFile は必須：SecurityId,PeriodEnd,PublishedAt,DocumentPath。日付は yyyy-MM-dd と UTC yyyy-MM-ddTHH:mm:ssZ。DocumentPath は UTF-8 プレーンテキストへの絶対パスまたはマニフェスト基準の相対パスで、コンマは禁止です。空文書、重複改訂、PeriodEnd より前の公表を拒否します。終値時刻までの最新公表期間・改訂と MaxReportAgeDays を適用します。先頭銘柄には祝日を含む取引所カレンダーが必要です。

先頭の Unicode カテゴリーが文字または結合記号のテキスト要素を単語に含め、句読点と数字を境界とします。不変の大小文字変換のみを行い、語幹処理やアクセントの正規化は行いません。

パラメーター

パラメーター 初期値
Universe 必須
Capital 100000
Leverage 1
MinTradeUsd 200
CandleType TimeSpan.FromDays(1).TimeFrame()
Quintile 5
MaxReportAgeDays 550
FilingsFile 必須

約定と保有数量

Universe を明示的に設定します。価格と Capital は取引単位当たりの USD です。Capital は固定予算、Leverage は総エクスポージャーを指定します。損切りや利食い注文は追加しません。

買い・売りの各バスケットに Capital × Leverage の半分を均等配分します。信号終値で数量に換算し、VolumeStep 単位でゼロ方向へ丸めます。実際の約定残高を使い、未完了注文を待ち、MinVolume/MaxVolume を守って大口調整を後続足へ分割します。MinTradeUsd は小口調整を除外しますが、全決済には適用しません。

検証

両言語を同梱 BTC/TON 約定データと明示的な金利・財務・評価・文章・事前履歴データで検証します。カレンダー検証はアーカイブの OHLC・出来高の日付を移し、決まった約定気配を与えたもので、複数年の市場履歴ではありません。独立計算、注文方向・数量、実約定、残高、禁止判断日を確認します。2区分、K=1、AssetDecile=1 は明示的な機構検証設定であり、全本番銘柄群の証明ではありません。収益を保証しません。

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;

using Ecng.Common;
using Ecng.ComponentModel;

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

/// <summary>Lexical Density Filings with point-in-time inputs and execution-based portfolio accounting.</summary>
public class LexicalDensityFilingsStrategy : Strategy
{
	private readonly StrategyParam<IEnumerable<Security>> _universe;
	private readonly StrategyParam<decimal> _capital;
	private readonly StrategyParam<decimal> _leverage;
	private readonly StrategyParam<decimal> _minTradeUsd;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _quintile;
	private readonly StrategyParam<int> _maxReportAgeDays;
	private readonly StrategyParam<string> _filingsFile;
	private Security[] _securities = [];
	private readonly Dictionary<Security, (DateTime time, decimal price, DateTime closed)> _latest = [];
	private readonly Dictionary<Security, decimal> _targets = [];
	private readonly List<Order> _pending = [];
	private int _lastRebalance;
	private DateTime? _lastBar;

	private sealed record Filing(Security Security, DateTime Period, DateTime Published, decimal Density);
	private readonly List<Filing> _filings = [];

	/// <summary>Explicit execution securities with valid native volume metadata.</summary>
	public IEnumerable<Security> Universe { get => _universe.Value; set => _universe.Value = value; }

	/// <summary>Fixed capital budget in USD.</summary>
	public decimal Capital { get => _capital.Value; set => _capital.Value = value; }

	/// <summary>Gross target exposure divided by the capital budget.</summary>
	public decimal Leverage { get => _leverage.Value; set => _leverage.Value = value; }

	/// <summary>Minimum USD adjustment; complete liquidation bypasses this filter.</summary>
	public decimal MinTradeUsd { get => _minTradeUsd.Value; set => _minTradeUsd.Value = value; }

	/// <summary>Finished execution candle type.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>Number of lexical-density buckets.</summary>
	public int Quintile { get => _quintile.Value; set => _quintile.Value = value; }

	/// <summary>Maximum age of the latest filing period end in calendar days.</summary>
	public int MaxReportAgeDays { get => _maxReportAgeDays.Value; set => _maxReportAgeDays.Value = value; }

	/// <summary>Required filing manifest containing publication dates and document paths.</summary>
	public string FilingsFile { get => _filingsFile.Value; set => _filingsFile.Value = value; }

	/// <summary>Initialize the strategy parameters.</summary>
	public LexicalDensityFilingsStrategy()
	{
		_universe = Param<IEnumerable<Security>>(nameof(Universe)).SetRequired()
			.SetDisplay("Universe", "Explicit execution securities with valid native volume metadata", "Parameters");
		_capital = Param(nameof(Capital), 100000m).SetGreaterThanZero()
			.SetDisplay("Capital", "Fixed capital budget in USD", "Parameters");
		_leverage = Param(nameof(Leverage), 1m).SetGreaterThanZero()
			.SetDisplay("Leverage", "Gross target exposure divided by the capital budget", "Parameters");
		_minTradeUsd = Param(nameof(MinTradeUsd), 200m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("MinTradeUsd", "Minimum USD adjustment; complete liquidation bypasses this filter", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1440).TimeFrame())
			.SetDisplay("CandleType", "Finished execution candle type", "Parameters");
		_quintile = Param(nameof(Quintile), 5).SetRange(2, int.MaxValue)
			.SetDisplay("Quintile", "Number of lexical-density buckets", "Parameters");
		_maxReportAgeDays = Param(nameof(MaxReportAgeDays), 550).SetRange(1, int.MaxValue)
			.SetDisplay("MaxReportAgeDays", "Maximum age of the latest filing period end in calendar days", "Parameters");
		_filingsFile = Param<string>(nameof(FilingsFile)).SetRequired()
			.SetDisplay("FilingsFile", "Required filing manifest containing publication dates and document paths", "Parameters");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> (Universe ?? []).Where(s => s is not null).DistinctBy(s => s.Id, StringComparer.OrdinalIgnoreCase).Select(s => (s, CandleType));

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_securities = [];
		_latest.Clear();
		_targets.Clear();
		_pending.Clear();
		_lastRebalance = 0;
		_lastBar = null;
		_filings.Clear();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_securities = (Universe ?? []).ToArray();
		if (_securities.Length == 0 || _securities.Any(s => s is null || string.IsNullOrWhiteSpace(s.Id))
			|| _securities.Select(s => s.Id).Distinct(StringComparer.OrdinalIgnoreCase).Count() != _securities.Length)
			throw new InvalidOperationException("Universe must contain distinct execution securities.");
		foreach (var security in _securities)
		{
			if (security.VolumeStep is not > 0m || security.MinVolume is not > 0m || security.MaxVolume is not > 0m)
				throw new InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.");
		}
		if (_securities.Any(s => s.Board is null)) throw new InvalidOperationException("A review calendar requires exchange boards.");
		LoadFilings();
		base.OnStarted2(time);
		foreach (var security in _securities)
			SubscribeCandles(CandleType, security: security).Bind(candle => ProcessCandle(security, candle)).Start();
	}

	private void ProcessCandle(Security security, ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m) return;
		_latest[security] = (candle.OpenTime, candle.ClosePrice, candle.CloseTime);
		if (_latest.Count != _securities.Length || _latest.Values.Any(v => v.time != candle.OpenTime)
			|| _lastBar == candle.OpenTime || !IsFormedAndOnlineAndAllowTrading()) return;
		_lastBar = candle.OpenTime;
		var month = candle.OpenTime.Year * 100 + candle.OpenTime.Month;
		if (_lastRebalance != month && SelectTargets(candle.OpenTime, _latest.Values.Max(v => v.closed)))
			_lastRebalance = month;
		ReconcileTargets();
	}

	private decimal Budget => Capital * Leverage;

	private decimal UnitPrice(Security security) => _latest[security].price;

	private decimal Units(Security security, decimal notional)
		=> Math.Floor(notional / UnitPrice(security) / security.VolumeStep.Value) * security.VolumeStep.Value;

	private void ReconcileTargets()
	{
		if (_pending.Any(o => o.State is not (OrderStates.Done or OrderStates.Failed))) return;
		_pending.Clear();
		foreach (var security in _securities)
		{
			if (!_targets.TryGetValue(security, out var target)) continue;
			var delta = target - GetPositionValue(security, Portfolio).GetValueOrDefault();
			if (delta == 0m || (target != 0m && Math.Abs(delta) * UnitPrice(security) < MinTradeUsd)) continue;
			var step = security.VolumeStep.Value;
			var quantity = Math.Floor(Math.Min(Math.Abs(delta), security.MaxVolume.Value) / step) * step;
			if (quantity < security.MinVolume.Value) continue;
			var order = new Order
			{
				Security = security, Portfolio = Portfolio, Type = OrderTypes.Market,
				Side = delta > 0m ? Sides.Buy : Sides.Sell, Volume = quantity, Comment = "0376Rebalance",
			};
			_pending.Add(order);
			RegisterOrder(order);
		}
	}

	private static DateTime ParseUtc(string value)
		=> DateTime.ParseExact(value.Trim(), "yyyy-MM-dd'T'HH:mm:ss'Z'", CultureInfo.InvariantCulture, DateTimeStyles.AssumeUniversal | DateTimeStyles.AdjustToUniversal);

	private static IEnumerable<string[]> ReadRows(string path, string header, int fields)
	{
		using var lines = File.ReadLines(path).GetEnumerator();
		if (!lines.MoveNext() || lines.Current.Trim() != header)
			throw new InvalidOperationException("Invalid CSV header: expected " + header + ".");
		while (lines.MoveNext())
		{
			if (string.IsNullOrWhiteSpace(lines.Current)) continue;
			var row = lines.Current.Split(',');
			if (row.Length != fields) throw new InvalidOperationException("Invalid CSV field count.");
			yield return row;
		}
	}

	private void LoadFilings()
	{
		var keys = new HashSet<(Security, DateTime, DateTime)>();
		foreach (var row in ReadRows(FilingsFile, "SecurityId,PeriodEnd,PublishedAt,DocumentPath", 4))
		{
			var security = _securities.SingleOrDefault(s => string.Equals(s.Id, row[0].Trim(), StringComparison.OrdinalIgnoreCase));
			if (security is null) continue;
			var period = DateTime.ParseExact(row[1].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture);
			var published = ParseUtc(row[2]);
			if (published.Date < period || !keys.Add((security, period, published)))
				throw new InvalidOperationException("Filing revisions need causal, unique publication dates.");
			var path = Path.GetFullPath(Path.Combine(Path.GetDirectoryName(Path.GetFullPath(FilingsFile)), row[3].Trim()));
			var words = Words(File.ReadAllText(path)).ToArray();
			if (words.Length == 0) throw new InvalidOperationException("A filing must contain word tokens.");
			_filings.Add(new(security, period, published, (decimal)words.Distinct(StringComparer.Ordinal).Count() / words.Length));
		}
	}

	private static IEnumerable<string> Words(string text)
	{
		var buffer = new List<string>();
		var elements = StringInfo.GetTextElementEnumerator(text);
		while (elements.MoveNext())
		{
			var element = elements.GetTextElement();
			var category = CharUnicodeInfo.GetUnicodeCategory(element, 0);
			if (category is UnicodeCategory.UppercaseLetter or UnicodeCategory.LowercaseLetter or UnicodeCategory.TitlecaseLetter
				or UnicodeCategory.ModifierLetter or UnicodeCategory.OtherLetter or UnicodeCategory.NonSpacingMark
				or UnicodeCategory.SpacingCombiningMark or UnicodeCategory.EnclosingMark)
				buffer.Add(element);
			else if (buffer.Count > 0)
			{
				yield return CultureInfo.InvariantCulture.TextInfo.ToLower(string.Concat(buffer));
				buffer.Clear();
			}
		}
		if (buffer.Count > 0) yield return CultureInfo.InvariantCulture.TextInfo.ToLower(string.Concat(buffer));
	}

	private bool SelectTargets(DateTime time, DateTime asOf)
	{
		if (time.Month is not (2 or 5 or 8 or 11)) return false;
		var calendar = _securities[0].Board.WorkingTime;
		if (!calendar.IsWorkingDate(time.Date, true)) return false;
		var first = new DateTime(time.Year, time.Month, 1);
		if (Enumerable.Range(0, time.Day).Count(i => calendar.IsWorkingDate(first.AddDays(i), true)) > 3) return false;
		var ranked = _securities.Select(s => _filings.Where(f => f.Security == s && f.Published <= asOf)
			.OrderByDescending(f => f.Period).ThenByDescending(f => f.Published).FirstOrDefault())
			.Where(f => f is not null && (time.Date - f.Period).TotalDays <= MaxReportAgeDays)
			.OrderByDescending(f => f.Density).ThenBy(f => f.Security.Id, StringComparer.Ordinal).Select(f => f.Security).ToArray();
		if (ranked.Length < Quintile) return false;
		var count = ranked.Length / Quintile;
		SetBasketTargets(ranked.Take(count), ranked.TakeLast(count), Budget);
		return true;
	}

	private void SetBasketTargets(IEnumerable<Security> longBasket, IEnumerable<Security> shortBasket, decimal grossCapital)
	{
		var longs = longBasket.ToArray();
		var shorts = shortBasket.ToArray();
		foreach (var security in _securities) _targets[security] = 0m;
		foreach (var security in longs) _targets[security] = Units(security, grossCapital / (2m * longs.Length));
		foreach (var security in shorts) _targets[security] = -Units(security, grossCapital / (2m * shorts.Length));
	}
}