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DCA戦略

この戦略は、選択した曜日または設定したバー数後に、定期的に固定の建玉通貨額を購入します。指定した終了日以降にすべてのポジションをオプションで決済します。

実際の購入日程と数量

既定値: CandleType=5m、CapitalToInvest=200 建値通貨単位、StartDate=DateTime.MinValue、EndDate=DateTime.MaxValue、CloseAllOnLastCandle=false、UseDayOfWeek=false、DayOfWeek=Wednesday、EveryXCandles=72。

確定足のうち StartDate <= 足の日付 < EndDate の範囲で取引します。間隔モードは有効な確定足72本ごとに購入、曜日モードは毎週水曜日の最初の有効な確定足で日付につき1回購入。200 / Close の数量を Security.VolumeStep に切り捨て、商品ごとの最小/最大取引数量を守ります。EMAクロスやショートは使わず、成行買いを積み増します。EndDate以降の新規購入は停止し、CloseAllOnLastCandle=true なら最初の有効な足で実残高全量を1回売却。独立した価格ストップはなく、スリッページで実際の購入金額は変化し得ます。元のREADMEに数値既定値がなかったため、これらは実装時に決めた値です。

パラメータ

  • ローソク足タイプ
  • 取引ごとの投資資金
  • 開始日
  • 終了日
  • 最終ローソクで全決済
  • 曜日モードを使用
  • 曜日
  • Xバーごと
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Fixed quote-currency investment either at regular completed-candle
/// intervals or once per configured weekday. Never shorts.
/// </summary>
public class DcaStrategy : Strategy
{
    private readonly StrategyParam<DataType> _candleType;
    private readonly StrategyParam<decimal> _capitalToInvest;
    private readonly StrategyParam<DateTime> _startDate;
    private readonly StrategyParam<DateTime> _endDate;
    private readonly StrategyParam<bool> _closeAllOnLastCandle;
    private readonly StrategyParam<bool> _useDayOfWeek;
    private readonly StrategyParam<DayOfWeek> _dayOfWeek;
    private readonly StrategyParam<int> _everyXCandles;

    private int _eligibleBars;
    private DateTime? _lastWeekdayPurchase;
    private bool _endReached;

    public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
    public decimal CapitalToInvest { get => _capitalToInvest.Value; set => _capitalToInvest.Value = value; }
    public DateTime StartDate { get => _startDate.Value; set => _startDate.Value = value; }
    public DateTime EndDate { get => _endDate.Value; set => _endDate.Value = value; }
    public bool CloseAllOnLastCandle { get => _closeAllOnLastCandle.Value; set => _closeAllOnLastCandle.Value = value; }
    public bool UseDayOfWeek { get => _useDayOfWeek.Value; set => _useDayOfWeek.Value = value; }
    public DayOfWeek DayOfWeek { get => _dayOfWeek.Value; set => _dayOfWeek.Value = value; }
    public int EveryXCandles { get => _everyXCandles.Value; set => _everyXCandles.Value = value; }

    public DcaStrategy()
    {
        _candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
            .SetDisplay("Candle Type", "Completed-candle interval for scheduling", "General");
        _capitalToInvest = Param(nameof(CapitalToInvest), 200m)
            .SetGreaterThanZero()
            .SetDisplay("Capital To Invest", "Fixed quote-currency amount for each purchase", "Trading");
        _startDate = Param(nameof(StartDate), DateTime.MinValue)
            .SetDisplay("Start Date", "Inclusive start of the buying range", "Calendar");
        _endDate = Param(nameof(EndDate), DateTime.MaxValue)
            .SetDisplay("End Date", "Exclusive end of the buying range", "Calendar");
        _closeAllOnLastCandle = Param(nameof(CloseAllOnLastCandle), false)
            .SetDisplay("Close All On Last Candle", "Liquidate accumulated holdings when EndDate is reached", "Calendar");
        _useDayOfWeek = Param(nameof(UseDayOfWeek), false)
            .SetDisplay("Use Day Of Week", "Purchase once per selected weekday instead of every N bars", "Calendar");
        _dayOfWeek = Param(nameof(DayOfWeek), System.DayOfWeek.Wednesday)
            .SetDisplay("Day Of Week", "Weekday for scheduled purchases", "Calendar");
        _everyXCandles = Param(nameof(EveryXCandles), 72)
            .SetGreaterThanZero()
            .SetDisplay("Every X Candles", "Completed candles per periodic purchase", "Calendar");
    }

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

    protected override void OnReseted()
    {
        base.OnReseted();
        _eligibleBars = 0;
        _lastWeekdayPurchase = null;
        _endReached = false;
    }

    protected override void OnStarted2(DateTime time)
    {
        base.OnStarted2(time);

        if (StartDate.Date > EndDate.Date)
            throw new ArgumentException("StartDate must not be after EndDate.");

        _eligibleBars = 0;
        _lastWeekdayPurchase = null;
        _endReached = false;

        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;

        var date = candle.OpenTime.Date;
        if (date < StartDate.Date)
            return;

        // Treat EndDate as the first day on which new investments cease;
        // optionally exit once, using actual holdings rather than Volume.
        if (date >= EndDate.Date)
        {
            if (!_endReached && CloseAllOnLastCandle &&
                Position > 0m && IsFormedAndOnlineAndAllowTrading())
            {
                SellMarket(Position);
                _endReached = true;
            }
            return;
        }

        if (!IsFormedAndOnlineAndAllowTrading())
            return;

        if (UseDayOfWeek)
        {
            if (candle.OpenTime.DayOfWeek != DayOfWeek ||
                _lastWeekdayPurchase == date)
                return;
        }
        else
        {
            _eligibleBars++;
            if (_eligibleBars % EveryXCandles != 0)
                return;
        }

        var price = candle.ClosePrice;
        if (price <= 0m || Security is null)
            return;

        // The budget is expressed in quoted currency. Floor to the native
        // volume step and never silently round up into over-investment.
        var step = Security.VolumeStep is > 0m ? Security.VolumeStep.Value : 0.001m;
        var maxVolume = Security.MaxVolume is > 0m ? Security.MaxVolume.Value : decimal.MaxValue;
        var budgetVolume = Math.Min(CapitalToInvest / price, maxVolume);
        var volume = Math.Floor(budgetVolume / step) * step;

        if (volume <= 0m || (Security.MinVolume > 0m && volume < Security.MinVolume))
            return;

        BuyMarket(volume);
        if (UseDayOfWeek)
            _lastWeekdayPurchase = date;
    }
}