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Скос распределения для товаров

Стратегия Скос распределения для товаров сортирует фьючерсы по коэффициенту асимметрии доходностей. Контракты с положительным скосом покупаются, а с сильным отрицательным — продаются, предполагая возврат при экстремальных движениях.

Детали

  • Вход: ранжирование по исторической асимметрии доходностей.
  • Длинные/короткие позиции: обе стороны.
  • Выход: периодическая ребалансировка.
  • Стопы: отсутствуют.
  • Значения по умолчанию:
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Фильтры:
    • Категория: Статистическая
    • Направление: Обе
    • Индикаторы: Ценовые
    • Стопы: Нет
    • Сложность: Средняя
    • Таймфрейм: Среднесрочный
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенции: Нет
    • Уровень риска: Средний
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Skewness-based commodity strategy that trades the primary commodity when its return skewness diverges from a benchmark commodity.
/// </summary>
public class SkewnessCommodityStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _windowLength;
	private readonly StrategyParam<int> _normalizationPeriod;
	private readonly StrategyParam<decimal> _entryThreshold;
	private readonly StrategyParam<decimal> _exitThreshold;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private Security _benchmark = null!;
	private SimpleMovingAverage _spreadAverage = null!;
	private StandardDeviation _spreadDeviation = null!;
	private readonly Queue<decimal> _primaryReturns = [];
	private readonly Queue<decimal> _benchmarkReturns = [];
	private decimal? _previousPrimaryClose;
	private decimal? _previousBenchmarkClose;
	private decimal? _previousZScore;
	private decimal _latestPrimarySkewness;
	private decimal _latestBenchmarkSkewness;
	private bool _primaryUpdated;
	private bool _benchmarkUpdated;
	private int _cooldownRemaining;

	public string Security2Id
	{
		get => _security2Id.Value;
		set => _security2Id.Value = value;
	}

	public int WindowLength
	{
		get => _windowLength.Value;
		set => _windowLength.Value = value;
	}

	public int NormalizationPeriod
	{
		get => _normalizationPeriod.Value;
		set => _normalizationPeriod.Value = value;
	}

	public decimal EntryThreshold
	{
		get => _entryThreshold.Value;
		set => _entryThreshold.Value = value;
	}

	public decimal ExitThreshold
	{
		get => _exitThreshold.Value;
		set => _exitThreshold.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public SkewnessCommodityStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark commodity", "General");

		_windowLength = Param(nameof(WindowLength), 20)
			.SetRange(5, 120)
			.SetDisplay("Window Length", "Lookback period used to estimate return skewness", "Indicators");

		_normalizationPeriod = Param(nameof(NormalizationPeriod), 16)
			.SetRange(5, 120)
			.SetDisplay("Normalization Period", "Lookback period used to normalize the skewness spread", "Indicators");

		_entryThreshold = Param(nameof(EntryThreshold), 1.1m)
			.SetRange(0.2m, 5m)
			.SetDisplay("Entry Threshold", "Z-score threshold required to open a position", "Signals");

		_exitThreshold = Param(nameof(ExitThreshold), 0.25m)
			.SetRange(0m, 2m)
			.SetDisplay("Exit Threshold", "Z-score threshold required to close a position", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 8)
			.SetRange(0, 120)
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "Risk");

		_stopLoss = Param(nameof(StopLoss), 3m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time frame for candles", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);

		if (!Security2Id.IsEmpty())
			yield return (new Security { Id = Security2Id }, CandleType);
	}

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

		_benchmark = null!;
		_spreadAverage = null!;
		_spreadDeviation = null!;
		_primaryReturns.Clear();
		_benchmarkReturns.Clear();
		_previousPrimaryClose = null;
		_previousBenchmarkClose = null;
		_previousZScore = null;
		_latestPrimarySkewness = 0m;
		_latestBenchmarkSkewness = 0m;
		_primaryUpdated = false;
		_benchmarkUpdated = false;
		_cooldownRemaining = 0;
	}

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

		if (Security == null)
			throw new InvalidOperationException("Primary security is not specified.");

		if (Security2Id.IsEmpty())
			throw new InvalidOperationException("Benchmark security identifier is not specified.");

		_benchmark = this.LookupById(Security2Id) ?? new Security { Id = Security2Id };
		_spreadAverage = new SimpleMovingAverage { Length = NormalizationPeriod };
		_spreadDeviation = new StandardDeviation { Length = NormalizationPeriod };

		var primarySubscription = SubscribeCandles(CandleType, security: Security);
		var benchmarkSubscription = SubscribeCandles(CandleType, security: _benchmark);

		primarySubscription.Bind(ProcessPrimaryCandle).Start();
		benchmarkSubscription.Bind(ProcessBenchmarkCandle).Start();

		StartProtection(new Unit(2, UnitTypes.Percent), new Unit(StopLoss, UnitTypes.Percent));
	}

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

		if (UpdateReturns(_primaryReturns, candle.ClosePrice, ref _previousPrimaryClose) is null)
			return;

		_latestPrimarySkewness = CalculateSkewness(_primaryReturns);
		_primaryUpdated = true;
		TryProcessSpread(candle.OpenTime);
	}

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

		if (UpdateReturns(_benchmarkReturns, candle.ClosePrice, ref _previousBenchmarkClose) is null)
			return;

		_latestBenchmarkSkewness = CalculateSkewness(_benchmarkReturns);
		_benchmarkUpdated = true;
		TryProcessSpread(candle.OpenTime);
	}

	private decimal? UpdateReturns(Queue<decimal> queue, decimal closePrice, ref decimal? previousClose)
	{
		if (previousClose is not decimal previous || previous <= 0m)
		{
			previousClose = closePrice;
			return null;
		}

		var ret = (closePrice - previous) / previous;
		previousClose = closePrice;

		if (queue.Count == WindowLength)
			queue.Dequeue();

		queue.Enqueue(ret);
		return ret;
	}

	private static decimal CalculateSkewness(IEnumerable<decimal> returns)
	{
		var values = returns.ToArray();
		if (values.Length < 3)
			return 0m;

		var mean = values.Average();
		var variance = values.Select(value => (value - mean) * (value - mean)).Average();
		if (variance <= 0m)
			return 0m;

		var deviation = (decimal)Math.Sqrt((double)variance);
		var thirdMoment = values.Select(value => (value - mean) * (value - mean) * (value - mean)).Average();
		return thirdMoment / (deviation * deviation * deviation);
	}

	private void TryProcessSpread(DateTime time)
	{
		if (!_primaryUpdated || !_benchmarkUpdated || _primaryReturns.Count < WindowLength || _benchmarkReturns.Count < WindowLength)
			return;

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		var spread = _latestBenchmarkSkewness - _latestPrimarySkewness;
		var mean = _spreadAverage.Process(spread, time, true).ToDecimal();
		var deviation = _spreadDeviation.Process(spread, time, true).ToDecimal();

		if (!_spreadAverage.IsFormed || !_spreadDeviation.IsFormed || deviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (spread - mean) / deviation;
		var bullishEntry = _previousZScore is decimal previousBullish && previousBullish < EntryThreshold && zScore >= EntryThreshold;
		var bearishEntry = _previousZScore is decimal previousBearish && previousBearish > -EntryThreshold && zScore <= -EntryThreshold;

		if (_cooldownRemaining == 0 && Position == 0)
		{
			if (bullishEntry)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (bearishEntry)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}
		else if (Position > 0 && zScore <= ExitThreshold)
		{
			SellMarket(Position);
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && zScore >= -ExitThreshold)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_previousZScore = zScore;
	}
}