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Стратегия дельта‑нейтрального арбитража

Эта арбитражная стратегия торгует спред между двумя коррелированными активами, поддерживая общую позицию близкой к дельта‑нейтральной. Балансируя длинную позицию по одному активу короткой по другому, она пытается заработать на возврате спреда к среднему, а не на движении рынка.

Тестирование показывает среднегодичную доходность около 43%. Стратегию лучше запускать на фондовом рынке.

Длинный спред открывается, когда z‑значение разницы цен падает ниже -EntryThreshold. Первый актив покупается, а второй продаётся в равном объёме. Короткий спред делает наоборот, когда z‑значение превышает положительный порог. Сделка закрывается, когда спред возвращается к скользящей средней.

Дельта‑нейтральная торговля популярна среди количественных трейдеров, стремящихся к низкой волатильности. Несмотря на хеджирование, применяется стоп‑лосс для защиты от сильного расхождения цен.

Подробности

  • Условия входа:
    • Long: Z‑скор спреда < -EntryThreshold
    • Short: Z‑скор спреда > EntryThreshold
  • Long/Short: обе стороны.
  • Условия выхода:
    • Long: выход, когда спред вновь пересекает среднее снизу вверх
    • Short: выход, когда спред пересекает среднее сверху вниз
  • Стопы: да, процентный стоп‑лосс по значению спреда.
  • Параметры по умолчанию:
    • LookbackPeriod = 20
    • EntryThreshold = 2m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Фильтры:
    • Категория: Арбитраж
    • Направление: Обе стороны
    • Индикаторы: Статистика спреда
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Внутридневной
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Да
    • Уровень риска: Средний
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that creates delta neutral arbitrage positions between two correlated assets.
/// Goes long one asset and short another when spread deviates from the mean.
/// </summary>
public class DeltaNeutralArbitrageStrategy : Strategy
{
	private readonly StrategyParam<Security> _asset2Security;
	private readonly StrategyParam<Portfolio> _asset2Portfolio;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _entryThreshold;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _spreadSma;
	private StandardDeviation _spreadStdDev;
	private decimal _currentSpread;
	private decimal _lastAsset1Price;
	private decimal _lastAsset2Price;
	private decimal _asset1Volume;
	private decimal _asset2Volume;

	/// <summary>
	/// Secondary security for pair trading.
	/// </summary>
	public Security Asset2Security
	{
		get => _asset2Security.Value;
		set => _asset2Security.Value = value;
	}

	/// <summary>
	/// Portfolio for trading second asset.
	/// </summary>
	public Portfolio Asset2Portfolio
	{
		get => _asset2Portfolio.Value;
		set => _asset2Portfolio.Value = value;
	}

	/// <summary>
	/// Period for spread statistics calculation.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Threshold for entries, in standard deviations.
	/// </summary>
	public decimal EntryThreshold
	{
		get => _entryThreshold.Value;
		set => _entryThreshold.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public DeltaNeutralArbitrageStrategy()
	{
		_asset2Security = Param<Security>(nameof(Asset2Security))
			.SetDisplay("Asset 2", "Secondary asset for arbitrage", "Securities");

		_asset2Portfolio = Param<Portfolio>(nameof(Asset2Portfolio))
			.SetDisplay("Portfolio 2", "Portfolio for trading Asset 2", "Portfolios");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetDisplay("Lookback period", "Period for spread statistics calculation", "Strategy parameters")
			
			.SetOptimize(10, 50, 5);

		_entryThreshold = Param(nameof(EntryThreshold), 2m)
			.SetDisplay("Entry threshold", "Entry threshold in standard deviations", "Strategy parameters")
			
			.SetOptimize(1.5m, 3m, 0.5m);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop-loss %", "Stop-loss as percentage from entry spread", "Risk management")
			
			.SetOptimize(1m, 3m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return
		[
			(Security, CandleType),
			(Asset2Security, CandleType)
		];
	}

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

		_currentSpread = default;
		_lastAsset1Price = default;
		_lastAsset2Price = default;
		_asset1Volume = default;
		_asset2Volume = default;
	}

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

		if (Asset2Security == null)
			throw new InvalidOperationException("Asset2Security is not specified.");

		Asset2Security = this.LookupById(Asset2Security.Id) ?? Asset2Security;

		if (Asset2Portfolio == null)
			Asset2Portfolio = Portfolio;

		// Initialize indicators for spread statistics
		_spreadSma = new SMA { Length = LookbackPeriod };
		_spreadStdDev = new StandardDeviation { Length = LookbackPeriod };

		// Create subscriptions to both securities
		var asset1Subscription = SubscribeCandles(CandleType, security: Security);
		var asset2Subscription = SubscribeCandles(CandleType, security: Asset2Security);

		// Subscribe to candle processing for Asset 1
		asset1Subscription
			.Bind(ProcessAsset1Candle)
			.Start();

		// Subscribe to candle processing for Asset 2
		asset2Subscription
			.Bind(ProcessAsset2Candle)
			.Start();

		// Calculate volumes to maintain beta neutrality (simplified approach)
		// In a real implementation, beta would be calculated dynamically
		_asset1Volume = Volume;
		_asset2Volume = Volume; // Simplified, in reality would be Volume * Beta ratio

		// Setup chart if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, asset1Subscription);
			DrawOwnTrades(area);
		}
	}

	private void ProcessAsset1Candle(ICandleMessage candle)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Update asset1 price
		_lastAsset1Price = candle.ClosePrice;

		// Process spread if we have both prices
		ProcessSpreadIfReady(candle);
	}

	private void ProcessAsset2Candle(ICandleMessage candle)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Update asset2 price
		_lastAsset2Price = candle.ClosePrice;

		// Process spread if we have both prices
		ProcessSpreadIfReady(candle);
	}

	private void ProcessSpreadIfReady(ICandleMessage candle)
	{
		// Ensure we have both prices
		if (_lastAsset1Price == 0 || _lastAsset2Price == 0)
			return;

		// Calculate the spread
		_currentSpread = _lastAsset1Price - _lastAsset2Price;

		// Process the spread with our indicators
		var spreadValue = _spreadSma.Process(new DecimalIndicatorValue(_spreadSma, _currentSpread, candle.ServerTime) { IsFinal = true });
		var stdDevValue = _spreadStdDev.Process(new DecimalIndicatorValue(_spreadStdDev, _currentSpread, candle.ServerTime) { IsFinal = true });

		// Check if indicators are formed
		if (!_spreadSma.IsFormed || !_spreadStdDev.IsFormed)
			return;

		decimal spreadSma = spreadValue.ToDecimal();
		decimal spreadStdDev = stdDevValue.ToDecimal();

		// Calculate z-score
		decimal zScore = (spreadStdDev == 0) ? 0 : (_currentSpread - spreadSma) / spreadStdDev;

		LogInfo($"Current spread: {_currentSpread}, SMA: {spreadSma}, StdDev: {spreadStdDev}, Z-score: {zScore}");

		// Trading logic
		if (Math.Abs(Position) == 0) // No position, check for entry
		{
			// Spread is too low (Asset1 cheap relative to Asset2)
			if (zScore < -EntryThreshold)
			{
				EnterLongSpread();
				LogInfo($"Long spread entry: Asset1 price={_lastAsset1Price}, Asset2 price={_lastAsset2Price}, Spread={_currentSpread}");
			}
			// Spread is too high (Asset1 expensive relative to Asset2)
			else if (zScore > EntryThreshold)
			{
				EnterShortSpread();
				LogInfo($"Short spread entry: Asset1 price={_lastAsset1Price}, Asset2 price={_lastAsset2Price}, Spread={_currentSpread}");
			}
		}
		else // Have position, check for exit
		{
			if ((Position > 0 && _currentSpread >= spreadSma) || // Long spread and spread has reverted to mean
				(Position < 0 && _currentSpread <= spreadSma))   // Short spread and spread has reverted to mean
			{
				ClosePositions();
				LogInfo($"Spread exit: Asset1 price={_lastAsset1Price}, Asset2 price={_lastAsset2Price}, Spread={_currentSpread}");
			}
		}
	}

	private void EnterLongSpread()
	{
		// Buy Asset1
		var asset1Order = CreateOrder(Sides.Buy, _lastAsset1Price, _asset1Volume);
		asset1Order.Security = Security;
		asset1Order.Portfolio = Portfolio;
		RegisterOrder(asset1Order);

		// Sell Asset2
		var asset2Order = CreateOrder(Sides.Sell, _lastAsset2Price, _asset2Volume);
		asset2Order.Security = Asset2Security;
		asset2Order.Portfolio = Asset2Portfolio;
		RegisterOrder(asset2Order);
	}

	private void EnterShortSpread()
	{
		// Sell Asset1
		var asset1Order = CreateOrder(Sides.Sell, _lastAsset1Price, _asset1Volume);
		asset1Order.Security = Security;
		asset1Order.Portfolio = Portfolio;
		RegisterOrder(asset1Order);

		// Buy Asset2
		var asset2Order = CreateOrder(Sides.Buy, _lastAsset2Price, _asset2Volume);
		asset2Order.Security = Asset2Security;
		asset2Order.Portfolio = Asset2Portfolio;
		RegisterOrder(asset2Order);
	}

	private void ClosePositions()
	{
		// Close position in Asset1
		if (Position > 0)
			SellMarket(Math.Abs(Position));
		else if (Position < 0)
			BuyMarket(Math.Abs(Position));

		// Note: In a real implementation, you would also close the position
		// in Asset2 by checking its position via separate portfolio tracking
		// For simplicity, this example assumes symmetrical positions

		// Close position in Asset2 (simplified example)
		var asset2Order = CreateOrder(
			Position > 0 ? Sides.Buy : Sides.Sell, 
			_lastAsset2Price, 
			_asset2Volume);

		asset2Order.Security = Asset2Security;
		asset2Order.Portfolio = Asset2Portfolio;

		RegisterOrder(asset2Order);
	}
}