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BTC Outperform

取引ルール

確定した UTC 日足を固定期間へ集約します。週は月曜日 1970-01-05、90日区間は 1970-01-01 を起点とします。期間の開始から終了まで全日足が揃ったときだけ終値を公開します。起動時の部分期間や欠損を含む期間は終値を公開しません。

直近の完全に観測された確定期間の終値を比較し、週が高ければ買い、低ければ売り、同値なら保有を維持します。新規数量は Volume、反転数量は Volume+abs(Position) で、反対方向の規定数量を残します。形成中の期間は比較に影響しません。未完了注文で重複発注を防ぎ、自動の価格ストップや利確目標はありません。

パラメーター

パラメーター 既定値
CandleType 1d
WeeklyDays 7
QuarterlyDays 90 
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

/// <summary>Compares completed fixed-duration weekly and quarterly closes.</summary>
public class BtcOutperformStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _weeklyDays;
	private readonly StrategyParam<int> _quarterlyDays;
	private DateTime _week, _quarter, _lastTime;
	private int _weekCount, _quarterCount;
	private decimal? _weeklyClose, _quarterlyClose;
	private Order _pending;

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

	/// <summary>UTC Monday-anchored weekly period in days.</summary>
	public int WeeklyDays
	{
		get => _weeklyDays.Value;
		set => _weeklyDays.Value = value;
	}

	/// <summary>UTC epoch-anchored long period in days.</summary>
	public int QuarterlyDays
	{
		get => _quarterlyDays.Value;
		set => _quarterlyDays.Value = value;
	}

	/// <summary>Initializes the seven-day and ninety-day periods.</summary>
	public BtcOutperformStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("CandleType", "Finished source candle interval", "Parameters");
		_weeklyDays = Param(nameof(WeeklyDays), 7).SetGreaterThanZero()
			.SetDisplay("WeeklyDays", "UTC Monday-anchored weekly period in days", "Parameters");
		_quarterlyDays = Param(nameof(QuarterlyDays), 90).SetGreaterThanZero()
			.SetDisplay("QuarterlyDays", "UTC epoch-anchored long period in days", "Parameters");
		OrderRegistering += order => _pending = order;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_week = _quarter = _lastTime = default;
		_weekCount = _quarterCount = 0;
		_weeklyClose = _quarterlyClose = null;
		_pending = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (!CandleType.Equals(TimeSpan.FromDays(1).TimeFrame()) || WeeklyDays >= QuarterlyDays)
			throw new InvalidOperationException("Daily source candles and a weekly period shorter than the quarterly period are required.");
		base.OnStarted2(time);
		var candles = SubscribeCandles(CandleType);
		candles.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area is not null)
		{
			DrawCandles(area, candles);
			DrawOwnTrades(area);
		}
	}

	private static DateTime Bucket(DateTime date, DateTime epoch, int days)
		=> epoch.AddDays(Math.Floor((date - epoch).TotalDays / days) * days);

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.OpenTime <= _lastTime)
			return;
		var date = candle.OpenTime.Date;
		var contiguous = _lastTime == default || date == _lastTime.AddDays(1);
		var week = Bucket(date, new DateTime(1970, 1, 5, 0, 0, 0, DateTimeKind.Utc), WeeklyDays);
		var quarter = Bucket(date, DateTime.UnixEpoch, QuarterlyDays);
		_weekCount = week != _week ? date == week ? 1 : 0 : contiguous && _weekCount > 0 ? _weekCount + 1 : 0;
		_quarterCount = quarter != _quarter ? date == quarter ? 1 : 0 : contiguous && _quarterCount > 0 ? _quarterCount + 1 : 0;
		_week = week;
		_quarter = quarter;
		_lastTime = date;
		if (_weekCount == WeeklyDays && date.AddDays(1) == week.AddDays(WeeklyDays))
			_weeklyClose = candle.ClosePrice;
		if (_quarterCount == QuarterlyDays && date.AddDays(1) == quarter.AddDays(QuarterlyDays))
			_quarterlyClose = candle.ClosePrice;
		if (_weeklyClose is null || _quarterlyClose is null || !IsFormedAndOnlineAndAllowTrading()
			|| _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		if (_weeklyClose > _quarterlyClose && Position <= 0m)
			BuyMarket(Volume + Math.Abs(Position));
		else if (_weeklyClose < _quarterlyClose && Position >= 0m)
			SellMarket(Volume + Math.Abs(Position));
	}
}