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モメンタム・資産成長戦略

このハイブリッド・ファクター戦略は、価格モメンタムと資産成長効果を組み合わせます。バランスシートを急速に拡大させながら、同時に強いトレンドを示す企業は市場から報われることが多いです。このアプローチではまず、資産成長率の上位デサイルに属する企業にユニバースを絞り込みます。

次に、短期反転を避けるため直近1カ月を除いた12カ月モメンタムで銘柄をランク付けします。上位モメンタム五分位を買い、下位五分位を空売りします。リバランスは1月を除く毎月の最初の取引日に行われ、戦略は1月には動きません。見直し期間中はストップは使用されません。

先進国株式でのバックテストでは、資産拡大とモメンタムの組み合わせが適度な売買回転で堅調なリターンをもたらすことが示されています。

詳細

  • エントリー条件: 毎月；資産成長上位デサイルを選択し、次にモメンタムでランク付け； 上位五分位をロング、下位五分位をショート
  • ロング/ショート: 両方
  • エグジット条件: 次回の月次リバランス（1月はスキップ）
  • ストップ: いいえ
  • デフォルト値:
    • MomLook = 252
    • SkipMonths = 1
    • AssetDecile = 10
    • Quintile = 5
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1)
  • フィルター:
    • カテゴリ: モメンタム、ファンダメンタルズ
    • 方向: 両方
    • インジケーター: 価格モメンタム、資産成長
    • ストップ: いいえ
    • 複雑さ: 上級
    • 時間軸: 中期
    • 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>
/// Momentum plus asset-growth strategy that trades the primary instrument when its risk-adjusted momentum outperforms a benchmark while synthetic asset growth remains contained.
/// </summary>
public class MomentumAssetGrowthStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _momentumLength;
	private readonly StrategyParam<int> _assetLength;
	private readonly StrategyParam<int> _normalizationPeriod;
	private readonly StrategyParam<decimal> _growthPenalty;
	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 RateOfChange _primaryMomentum = null!;
	private RateOfChange _benchmarkMomentum = null!;
	private ExponentialMovingAverage _primaryAssetBase = null!;
	private ExponentialMovingAverage _benchmarkAssetBase = null!;
	private SimpleMovingAverage _signalAverage = null!;
	private StandardDeviation _signalDeviation = null!;
	private decimal _previousPrimaryAssetBase;
	private decimal _previousBenchmarkAssetBase;
	private decimal _latestPrimaryMomentum;
	private decimal _latestBenchmarkMomentum;
	private decimal _latestPrimaryGrowth;
	private decimal _latestBenchmarkGrowth;
	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>
	/// Momentum lookback period.
	/// </summary>
	public int MomentumLength
	{
		get => _momentumLength.Value;
		set => _momentumLength.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 the composite signal.
	/// </summary>
	public int NormalizationPeriod
	{
		get => _normalizationPeriod.Value;
		set => _normalizationPeriod.Value = value;
	}

	/// <summary>
	/// Penalty applied to relative asset growth inside the composite score.
	/// </summary>
	public decimal GrowthPenalty
	{
		get => _growthPenalty.Value;
		set => _growthPenalty.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 calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

		_momentumLength = Param(nameof(MomentumLength), 28)
			.SetRange(5, 150)
			.SetDisplay("Momentum Length", "Momentum lookback period", "Indicators");

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

		_normalizationPeriod = Param(nameof(NormalizationPeriod), 24)
			.SetRange(5, 120)
			.SetDisplay("Normalization Period", "Lookback period used to normalize the composite signal", "Indicators");

		_growthPenalty = Param(nameof(GrowthPenalty), 1.8m)
			.SetRange(0.1m, 10m)
			.SetDisplay("Growth Penalty", "Penalty applied to relative asset growth inside the composite score", "Signals");

		_entryThreshold = Param(nameof(EntryThreshold), 1.15m)
			.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 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();

		_benchmark = null!;
		_primaryMomentum = null!;
		_benchmarkMomentum = null!;
		_primaryAssetBase = null!;
		_benchmarkAssetBase = null!;
		_signalAverage = null!;
		_signalDeviation = null!;
		_previousPrimaryAssetBase = 0m;
		_previousBenchmarkAssetBase = 0m;
		_latestPrimaryMomentum = 0m;
		_latestBenchmarkMomentum = 0m;
		_latestPrimaryGrowth = 0m;
		_latestBenchmarkGrowth = 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 };
		_primaryMomentum = new RateOfChange { Length = MomentumLength };
		_benchmarkMomentum = new RateOfChange { Length = MomentumLength };
		_primaryAssetBase = new ExponentialMovingAverage { Length = AssetLength };
		_benchmarkAssetBase = new ExponentialMovingAverage { Length = AssetLength };
		_signalAverage = new SimpleMovingAverage { Length = NormalizationPeriod };
		_signalDeviation = new StandardDeviation { Length = NormalizationPeriod };

		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;

		var momentumValue = _primaryMomentum.Process(candle);
		if (momentumValue.IsEmpty || !_primaryMomentum.IsFormed)
			return;

		_latestPrimaryMomentum = momentumValue.ToDecimal();
		_latestPrimaryGrowth = UpdateGrowth(_primaryAssetBase, candle, ref _previousPrimaryAssetBase);
		_primaryUpdated = true;
		TryProcessSignal(candle.OpenTime);
	}

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

		var momentumValue = _benchmarkMomentum.Process(candle);
		if (momentumValue.IsEmpty || !_benchmarkMomentum.IsFormed)
			return;

		_latestBenchmarkMomentum = momentumValue.ToDecimal();
		_latestBenchmarkGrowth = UpdateGrowth(_benchmarkAssetBase, candle, ref _previousBenchmarkAssetBase);
		_benchmarkUpdated = true;
		TryProcessSignal(candle.OpenTime);
	}

	private decimal UpdateGrowth(ExponentialMovingAverage average, ICandleMessage candle, ref decimal previousBase)
	{
		var assetBase = CalculateSyntheticAssetBase(candle);
		var smoothedBase = average.Process(assetBase, candle.OpenTime, true).ToDecimal();

		if (previousBase == 0m)
		{
			previousBase = smoothedBase;
			return 0m;
		}

		var growth = (smoothedBase - previousBase) / Math.Max(Math.Abs(previousBase), 1m);
		previousBase = smoothedBase;
		return growth;
	}

	private static decimal CalculateSyntheticAssetBase(ICandleMessage candle)
	{
		var priceBase = Math.Max(candle.OpenPrice, 1m);
		var rangeRatio = (candle.HighPrice - candle.LowPrice) / priceBase;
		var turnoverProxy = candle.ClosePrice * (1m + (rangeRatio * 6m));
		var balanceProxy = (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4m;

		return turnoverProxy + balanceProxy;
	}

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

		_primaryUpdated = false;
		_benchmarkUpdated = false;

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

		var signal = (_latestPrimaryMomentum - _latestBenchmarkMomentum) - (GrowthPenalty * (_latestPrimaryGrowth - _latestBenchmarkGrowth));
		var mean = _signalAverage.Process(signal, time, true).ToDecimal();
		var deviation = _signalDeviation.Process(signal, time, true).ToDecimal();

		if (!_signalAverage.IsFormed || !_signalDeviation.IsFormed || deviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (signal - 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;
	}
}