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BTC先物Gamma加重モメンタムモデル戦略

この戦略は、BTC先物のモメンタムを捉えるためにGamma加重平均価格（GWAP）を計算します。価格がGWAPを上回り、直近3本の終値が連続して上昇している場合にロングポジションを建てます。価格がGWAPを下回り、直近3本の終値が連続して下落している場合にショートポジションを建てます。

詳細

  • エントリー条件:
    • ロング: 終値がGWAPを上回り、直近3本の終値が上昇中。
    • ショート: 終値がGWAPを下回り、直近3本の終値が下落中。
  • ロング/ショート: 両方。
  • エグジット条件: 逆シグナル。
  • ストップ: なし。
  • デフォルト値:
    • Length = 60
    • GammaFactor = 0.75
  • フィルター:
    • カテゴリ: モメンタム
    • 方向: 両方
    • インジケーター: GWAP
    • ストップ: なし
    • 複雑さ: 低
    • 時間軸: 1m
    • 季節性: いいえ
    • 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.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// BTC Future Gamma-Weighted Momentum Model strategy.
/// The gamma-weighted average price (GWAP) averages the last Length closes with weight GammaFactor^i for the close i bars ago.
/// A close above GWAP after three consecutively rising closes goes long, a close below GWAP after three consecutively falling closes
/// goes short, and the opposite signal reverses the position.
/// </summary>
public class BtcFutureGammaWeightedMomentumModelStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _gammaFactor;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _closes = new();

	/// <summary>
	/// Closes in the GWAP window.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Decay of the weight per bar back.
	/// </summary>
	public decimal GammaFactor
	{
		get => _gammaFactor.Value;
		set => _gammaFactor.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BtcFutureGammaWeightedMomentumModelStrategy()
	{
		_length = Param(nameof(Length), 60)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Closes in the GWAP window", "GWAP");

		_gammaFactor = Param(nameof(GammaFactor), 0.75m)
			.SetRange(0.01m, 1m)
			.SetDisplay("Gamma Factor", "Decay of the weight per bar back", "GWAP");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_closes.Clear();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_closes.Clear();

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

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

		_closes.Add(candle.ClosePrice);
		var keep = Math.Max(Length, 3);
		while (_closes.Count > keep)
			_closes.RemoveAt(0);

		if (_closes.Count < keep)
			return;

		var last = _closes.Count - 1;

		decimal weighted = 0, weights = 0, weight = 1;
		for (var i = 0; i < Length; i++)
		{
			weighted += _closes[last - i] * weight;
			weights += weight;
			weight *= GammaFactor;
		}

		var gwap = weighted / weights;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = _closes[last];
		var rising = close > _closes[last - 1] && _closes[last - 1] > _closes[last - 2];
		var falling = close < _closes[last - 1] && _closes[last - 1] < _closes[last - 2];

		if (close > gwap && rising && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < gwap && falling && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}