Asset Class Trend Following
Правила торговли
SMA каждого инструмента — среднее последних SmaLength разных дневных закрытий, включая текущее завершённое закрытие. Допускается только лонг при Close > SMA. При месячной ребалансировке Capital × Leverage делится поровну между подходящими инструментами; если их нет, капитал остаётся в деньгах. Последующий Close <= SMA полностью закрывает бумагу без ожидания нового месяца. Повторный вход разрешён только при следующем месячном распределении. Фильтра относительной силы к бенчмарку нет.
Обрабатываются только синхронизированные завершённые свечи. Для статистики считаются разные даты UTC; новая внутридневная свеча заменяет цену той же даты. Ребалансировка выполняется один раз на первой подходящей общей свече месяца; непрогретые данные откладывают решение. Равные оценки упорядочиваются по Security.Id.
При внутридневном CandleType в дневную статистику входят только даты UTC строго раньше даты текущего сигнала. Незавершённый день исключается. Завершённая однодневная свеча учитывается за собственную завершённую дату.
Входные данные
PriceHistoryFile — необязательный CSV положительных дневных цен: SecurityId,Date,Close. Дата имеет формат yyyy-MM-dd. Текущие и будущие даты не прогревают решение заранее; завершённые свечи заменяют цену своей даты UTC. Повторы дат запрещены. Файл позволяет прогреть длинный период при коротком архиве исполнения.
Параметры
| Параметр | Значение по умолчанию |
|---|---|
Universe |
обязательный |
Capital |
100000 |
Leverage |
1 |
MinTradeUsd |
50 |
CandleType |
TimeSpan.FromDays(1).TimeFrame() |
PriceHistoryFile |
необязательный — не задан |
SmaLength |
210 |
Исполнение
Universe задаётся явно. Цены и Capital выражены в USD: одна единица цены соответствует одной торгуемой единице. Capital — фиксированный бюджет; Leverage задаёт валовую экспозицию. Стоп-лосс и тейк-профит не добавляются.
Внутри стороны капитал делится поровну, переводится в количество по цене закрытия сигнальной свечи и округляется к нулю по VolumeStep. Корректировка опирается на исполненные позиции, ждёт активные заявки, учитывает MinVolume/MaxVolume и разбивает крупные объёмы на последующие свечи. MinTradeUsd отсекает малые корректировки; полное закрытие проходит без этого фильтра.
Проверка
Исполнения проверяются только на имеющемся архиве BTC/TON. Явные тестовые отчёты, наблюдения опционов и данные прогрева проверяют механику и не выдаются за настоящую отчётность компаний или опционную историю. Сокращённые периоды, две корзины и мартовская годовая ребалансировка — отдельные тестовые профили, а не подтверждение торговли с неизменёнными долгосрочными defaults. Доходность не заявляется.
namespace StockSharp.Samples.Strategies;
using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;
using Ecng.Common;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;
/// <summary>Asset Class Trend Following with explicit inputs and execution-based portfolio accounting.</summary>
public class AssetClassTrendFollowingStrategy : Strategy
{
private readonly StrategyParam<IEnumerable<Security>> _universe;
private readonly StrategyParam<decimal> _capital;
private readonly StrategyParam<decimal> _leverage;
private readonly StrategyParam<decimal> _minTradeUsd;
private readonly StrategyParam<DataType> _candleType;
private readonly StrategyParam<string> _priceHistoryFile;
private readonly StrategyParam<int> _smaLength;
private Security[] _securities = [];
private readonly Dictionary<Security, (DateTime time, decimal price)> _latest = [];
private readonly Dictionary<Security, SortedDictionary<DateTime, decimal>> _history = [];
private readonly Dictionary<Security, decimal> _targets = [];
private readonly List<Order> _pending = [];
private int _lastRebalance;
private DateTime? _lastBar;
/// <summary>Execution securities with USD prices and valid volume metadata.</summary>
public IEnumerable<Security> Universe { get => _universe.Value; set => _universe.Value = value; }
/// <summary>Fixed gross capital budget in USD.</summary>
public decimal Capital { get => _capital.Value; set => _capital.Value = value; }
/// <summary>Gross target exposure divided by the capital budget.</summary>
public decimal Leverage { get => _leverage.Value; set => _leverage.Value = value; }
/// <summary>Minimum notional adjustment; complete liquidation bypasses this filter.</summary>
public decimal MinTradeUsd { get => _minTradeUsd.Value; set => _minTradeUsd.Value = value; }
/// <summary>Closed candle type; daily statistics count distinct UTC dates.</summary>
public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
/// <summary>Optional daily close CSV for warmup; current and future dates cannot prefill a decision.</summary>
public string PriceHistoryFile { get => _priceHistoryFile.Value; set => _priceHistoryFile.Value = value; }
/// <summary>Distinct daily closes in the simple moving average.</summary>
public int SmaLength { get => _smaLength.Value; set => _smaLength.Value = value; }
/// <summary>Initialize the published strategy parameters.</summary>
public AssetClassTrendFollowingStrategy()
{
_universe = Param<IEnumerable<Security>>(nameof(Universe)).SetRequired()
.SetDisplay("Universe", "Execution securities with USD prices and valid volume metadata", "Parameters");
_capital = Param(nameof(Capital), 100000m).SetGreaterThanZero()
.SetDisplay("Capital", "Fixed gross capital budget in USD", "Parameters");
_leverage = Param(nameof(Leverage), 1m).SetGreaterThanZero()
.SetDisplay("Leverage", "Gross target exposure divided by the capital budget", "Parameters");
_minTradeUsd = Param(nameof(MinTradeUsd), 50m).SetRange(0m, decimal.MaxValue)
.SetDisplay("MinTradeUsd", "Minimum notional adjustment; complete liquidation bypasses this filter", "Parameters");
_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
.SetDisplay("CandleType", "Closed candle type; daily statistics count distinct UTC dates", "Parameters");
_priceHistoryFile = Param<string>(nameof(PriceHistoryFile))
.SetDisplay("PriceHistoryFile", "Optional daily close CSV for warmup; current and future dates cannot prefill a decision", "Parameters");
_smaLength = Param(nameof(SmaLength), 210).SetGreaterThanZero()
.SetDisplay("SmaLength", "Distinct daily closes in the simple moving average", "Parameters");
}
/// <inheritdoc />
public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
{
foreach (var security in (Universe ?? []).DistinctBy(s => s.Id, StringComparer.OrdinalIgnoreCase))
yield return (security, CandleType);
}
/// <inheritdoc />
protected override void OnReseted()
{
base.OnReseted();
_securities = [];
_latest.Clear();
_history.Clear();
_targets.Clear();
_pending.Clear();
_lastRebalance = 0;
_lastBar = null;
}
/// <inheritdoc />
protected override void OnStarted2(DateTime time)
{
_securities = (Universe ?? []).ToArray();
if (_securities.Length == 0 || _securities.Any(s => s is null || string.IsNullOrWhiteSpace(s.Id))
|| _securities.Select(s => s.Id).Distinct(StringComparer.OrdinalIgnoreCase).Count() != _securities.Length)
throw new InvalidOperationException("Universe must contain distinct execution securities.");
foreach (var security in GetWorkingSecurities().Select(x => x.sec))
{
if (security.VolumeStep is not > 0m || security.MinVolume is not > 0m || security.MaxVolume is not > 0m)
throw new InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.");
_history[security] = [];
}
LoadPriceHistory();
base.OnStarted2(time);
foreach (var security in GetWorkingSecurities().Select(x => x.sec))
SubscribeCandles(CandleType, security: security).Bind(candle => ProcessCandle(security, candle)).Start();
}
private void ProcessCandle(Security security, ICandleMessage candle)
{
if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m) return;
_latest[security] = (candle.OpenTime, candle.ClosePrice);
_history[security][candle.OpenTime.Date] = candle.ClosePrice;
if (_latest.Count != _history.Count || _latest.Values.Any(v => v.time != candle.OpenTime)
|| _lastBar == candle.OpenTime || !IsFormedAndOnlineAndAllowTrading()) return;
_lastBar = candle.OpenTime;
var month = candle.OpenTime.Year * 100 + candle.OpenTime.Month;
if (_lastRebalance != month && SelectTargets(candle.OpenTime))
_lastRebalance = month;
ApplyTrendExits(candle.OpenTime);
ReconcileTargets();
}
private decimal[] Daily(Security security, DateTime time)
=> _history[security].Where(x => x.Key <= LastClosedDate(time)).Select(x => x.Value).ToArray();
private DateTime LastClosedDate(DateTime time)
=> CandleType.Arg is TimeSpan frame && frame == TimeSpan.FromDays(1) ? time.Date : time.Date.AddDays(-1);
private decimal Units(Security security, decimal notional)
=> Math.Floor(notional / _latest[security].price / security.VolumeStep.Value) * security.VolumeStep.Value;
private void ReconcileTargets()
{
if (_pending.Any(o => o.State is not (OrderStates.Done or OrderStates.Failed))) return;
_pending.Clear();
foreach (var security in _securities)
{
if (!_targets.TryGetValue(security, out var target)) continue;
var delta = target - GetPositionValue(security, Portfolio).GetValueOrDefault();
if (delta == 0m || (target != 0m && Math.Abs(delta) * _latest[security].price < MinTradeUsd)) continue;
var step = security.VolumeStep.Value;
var quantity = Math.Floor(Math.Min(Math.Abs(delta), security.MaxVolume.Value) / step) * step;
if (quantity < security.MinVolume.Value) continue;
var order = new Order
{
Security = security, Portfolio = Portfolio, Type = OrderTypes.Market,
Side = delta > 0m ? Sides.Buy : Sides.Sell, Volume = quantity, Comment = "0352Rebalance",
};
_pending.Add(order);
RegisterOrder(order);
}
}
private void LoadPriceHistory()
{
if (string.IsNullOrWhiteSpace(PriceHistoryFile)) return;
var lines = File.ReadLines(PriceHistoryFile).GetEnumerator();
using (lines)
{
if (!lines.MoveNext() || lines.Current.Trim() != "SecurityId,Date,Close")
throw new InvalidOperationException("Price history must begin with SecurityId,Date,Close.");
while (lines.MoveNext())
{
if (string.IsNullOrWhiteSpace(lines.Current)) continue;
var row = lines.Current.Split(',');
if (row.Length != 3) throw new InvalidOperationException("A daily price row must have three fields.");
var security = _history.Keys.SingleOrDefault(s => string.Equals(s.Id, row[0].Trim(), StringComparison.OrdinalIgnoreCase));
if (security is null) continue;
var date = DateTime.ParseExact(row[1].Trim(), "yyyy-MM-dd", CultureInfo.InvariantCulture);
var price = decimal.Parse(row[2], CultureInfo.InvariantCulture);
if (price <= 0m || !_history[security].TryAdd(date, price))
throw new InvalidOperationException("Daily prices must be positive and unique per security and UTC date.");
}
}
}
private bool SelectTargets(DateTime time)
{
if (_securities.Any(s => Daily(s, time).Length < SmaLength)) return false;
var eligible = _securities.Where(s => _latest[s].price > Daily(s, time).TakeLast(SmaLength).Average()).ToArray();
foreach (var s in _securities)
_targets[s] = eligible.Contains(s) ? Units(s, Capital * Leverage / eligible.Length) : 0m;
return true;
}
private void ApplyTrendExits(DateTime time)
{
foreach (var s in _securities)
{
var history = Daily(s, time);
if (history.Length >= SmaLength && _latest[s].price <= history.TakeLast(SmaLength).Average())
_targets[s] = 0m;
}
}
}
import clr
clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.BusinessEntities")
clr.AddReference("StockSharp.Algo.Strategies")
from System import DateTime, Decimal, Math, TimeSpan, InvalidOperationException
from System.Collections.Generic import IEnumerable
from System.Globalization import CultureInfo, DateTimeStyles
from System.IO import File
from StockSharp.Algo.Strategies import Strategy
from StockSharp.BusinessEntities import Order, Security
from StockSharp.Messages import CandleStates, DataType, OrderStates, OrderTypes, Sides
class asset_class_trend_following_strategy(Strategy):
"""Asset Class Trend Following with explicit inputs and execution-based portfolio accounting."""
def __init__(self):
super(asset_class_trend_following_strategy, self).__init__()
self._universe = self.Param[IEnumerable[Security]]("Universe", None).SetRequired() \
.SetDisplay("Universe", "Execution securities with USD prices and valid volume metadata", "Parameters")
self._capital = self.Param("Capital", Decimal(100000)).SetGreaterThanZero() \
.SetDisplay("Capital", "Fixed gross capital budget in USD", "Parameters")
self._leverage = self.Param("Leverage", Decimal(1)).SetGreaterThanZero() \
.SetDisplay("Leverage", "Gross target exposure divided by the capital budget", "Parameters")
self._min_trade_usd = self.Param("MinTradeUsd", Decimal(50)).SetRange(Decimal(0), Decimal.MaxValue) \
.SetDisplay("MinTradeUsd", "Minimum notional adjustment; complete liquidation bypasses this filter", "Parameters")
self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromDays(1))) \
.SetDisplay("CandleType", "Closed candle type; daily statistics count distinct UTC dates", "Parameters")
self._price_history_file = self.Param[str]("PriceHistoryFile", None) \
.SetDisplay("PriceHistoryFile", "Optional daily close CSV for warmup; current and future dates cannot prefill a decision", "Parameters")
self._sma_length = self.Param("SmaLength", 210).SetGreaterThanZero() \
.SetDisplay("SmaLength", "Distinct daily closes in the simple moving average", "Parameters")
self._clear_state()
def _clear_state(self):
self._securities = []
self._latest = {}
self._history = {}
self._targets = {}
self._pending = []
self._last_rebalance = 0
self._last_bar = None
@property
def Universe(self):
return self._universe.Value
@Universe.setter
def Universe(self, value):
self._universe.Value = value
@property
def Capital(self):
return self._capital.Value
@Capital.setter
def Capital(self, value):
self._capital.Value = value
@property
def Leverage(self):
return self._leverage.Value
@Leverage.setter
def Leverage(self, value):
self._leverage.Value = value
@property
def MinTradeUsd(self):
return self._min_trade_usd.Value
@MinTradeUsd.setter
def MinTradeUsd(self, value):
self._min_trade_usd.Value = value
@property
def CandleType(self):
return self._candle_type.Value
@CandleType.setter
def CandleType(self, value):
self._candle_type.Value = value
@property
def PriceHistoryFile(self):
return self._price_history_file.Value
@PriceHistoryFile.setter
def PriceHistoryFile(self, value):
self._price_history_file.Value = value
@property
def SmaLength(self):
return self._sma_length.Value
@SmaLength.setter
def SmaLength(self, value):
self._sma_length.Value = value
def GetWorkingSecurities(self):
securities = list(self.Universe) if self.Universe is not None else []
return [(s, self.CandleType) for s in securities]
def OnReseted(self):
super(asset_class_trend_following_strategy, self).OnReseted()
self._clear_state()
def OnStarted2(self, time):
self._securities = list(self.Universe) if self.Universe is not None else []
if not self._securities or any(s is None or not s.Id for s in self._securities) or len(set(s.Id.upper() for s in self._securities)) != len(self._securities):
raise InvalidOperationException("Universe must contain distinct execution securities.")
for s, dt in self.GetWorkingSecurities():
if s.VolumeStep is None or s.MinVolume is None or s.MaxVolume is None or s.VolumeStep <= 0 or s.MinVolume <= 0 or s.MaxVolume <= 0:
raise InvalidOperationException("Every security needs positive VolumeStep, MinVolume and MaxVolume.")
self._history[s] = {}
self._load_price_history()
super(asset_class_trend_following_strategy, self).OnStarted2(time)
for security, dt in self.GetWorkingSecurities():
self.SubscribeCandles(dt, True, security).Bind(lambda candle, s=security: self._process_candle(s, candle)).Start()
def _process_candle(self, security, candle):
if candle.State != CandleStates.Finished or candle.ClosePrice <= 0:
return
self._latest[security] = (candle.OpenTime, candle.ClosePrice)
self._history[security][candle.OpenTime.Date] = candle.ClosePrice
if len(self._latest) != len(self._history) or any(t != candle.OpenTime for t, p in self._latest.values()) or self._last_bar == candle.OpenTime or not self.IsFormedAndOnlineAndAllowTrading():
return
self._last_bar = candle.OpenTime
month = candle.OpenTime.Year * 100 + candle.OpenTime.Month
if self._last_rebalance != month and self._select_targets(candle.OpenTime):
self._last_rebalance = month
self._apply_trend_exits(candle.OpenTime)
self._reconcile_targets()
def _daily(self, security, time):
return [self._history[security][d] for d in sorted(self._history[security]) if d <= self._last_closed_date(time)]
def _last_closed_date(self, time):
return time.Date if self.CandleType.Arg == TimeSpan.FromDays(1) else time.Date.AddDays(-1)
def _units(self, security, notional):
return Math.Floor(notional / self._latest[security][1] / security.VolumeStep) * security.VolumeStep
def _reconcile_targets(self):
if any(o.State != OrderStates.Done and o.State != OrderStates.Failed for o in self._pending):
return
self._pending = []
for security in self._securities:
if security not in self._targets:
continue
target = self._targets[security]
position = self.GetPositionValue(security, self.Portfolio)
delta = target - (position if position is not None else Decimal(0))
if delta == 0 or (target != 0 and abs(delta) * self._latest[security][1] < self.MinTradeUsd):
continue
quantity = Math.Floor(min(abs(delta), security.MaxVolume) / security.VolumeStep) * security.VolumeStep
if quantity < security.MinVolume:
continue
order = Order()
order.Security = security
order.Portfolio = self.Portfolio
order.Type = OrderTypes.Market
order.Side = Sides.Buy if delta > 0 else Sides.Sell
order.Volume = quantity
order.Comment = "0352Rebalance"
self._pending.append(order)
self.RegisterOrder(order)
def _load_price_history(self):
if not self.PriceHistoryFile:
return
lines = iter(File.ReadLines(self.PriceHistoryFile))
if next(lines, "").strip() != "SecurityId,Date,Close":
raise InvalidOperationException("Price history must begin with SecurityId,Date,Close.")
for line in lines:
if not line.strip():
continue
row = line.split(",")
if len(row) != 3:
raise InvalidOperationException("A daily price row must have three fields.")
security = next((s for s in self._history if s.Id.lower() == row[0].strip().lower()), None)
if security is None:
continue
date = DateTime.ParseExact(row[1].strip(), "yyyy-MM-dd", CultureInfo.InvariantCulture)
price = Decimal.Parse(row[2], CultureInfo.InvariantCulture)
if price <= 0 or date in self._history[security]:
raise InvalidOperationException("Daily prices must be positive and unique per security and UTC date.")
self._history[security][date] = price
def _select_targets(self, time):
if any(len(self._daily(s, time)) < self.SmaLength for s in self._securities):
return False
eligible = [s for s in self._securities
if self._latest[s][1] > sum(self._daily(s, time)[-self.SmaLength:], Decimal(0)) / Decimal(self.SmaLength)]
for s in self._securities:
self._targets[s] = self._units(s, self.Capital * self.Leverage / Decimal(len(eligible))) if s in eligible else Decimal(0)
return True
def _apply_trend_exits(self, time):
for s in self._securities:
values = self._daily(s, time)
if len(values) >= self.SmaLength and self._latest[s][1] <= sum(values[-self.SmaLength:], Decimal(0)) / Decimal(self.SmaLength):
self._targets[s] = Decimal(0)
def CreateClone(self):
return asset_class_trend_following_strategy()