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BTC DCA AHR999

Правила торговли

Используются завершённые суточные UTC-свечи. По последним Length положительным закрытиям, включая текущее, вычисляется G=exp(mean(ln(C))). Возраст BTC — целые сутки с 2009-01-03; F=10^(5.84*log10(age)-17.01), AHR999=(C/G)*(C/F). Требуется полное окно.

В разрешённый понедельник покупается бюджет UsdInvest2, если индекс строго ниже 0.45, иначе UsdInvest1, если он строго ниже 1.2. Другие значения, дни недели и даты покупок не дают. Границы UTC-дат включительны; на суточную свечу принимается одно решение. Объём: floor(budget/C/VolumeStep)*VolumeStep; объём ниже минимума пропускается. Бюджет считается по сигнальному закрытию, рыночное исполнение может отличаться. Незавершённые заявки блокируют новые. Позиция накапливается без автоматического выхода.

Параметры

Параметр По умолчанию
CandleType 1d
Length 200
UsdInvest1 100
UsdInvest2 1000
StartDate 2024-02-01T00:00:00Z
EndDate 2025-12-31T00:00:00Z

Источники

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>Daily geometric AHR999 accumulation with one budgeted purchase per eligible UTC Monday.</summary>
public class BtcDcaAhr999Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _usdInvest1;
	private readonly StrategyParam<decimal> _usdInvest2;
	private readonly StrategyParam<DateTime> _startDate;
	private readonly StrategyParam<DateTime> _endDate;
	private readonly Queue<decimal> _prices = [];
	private DateTime _lastDate;
	private Order _pending;

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

	/// <summary>Daily geometric mean window.</summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>Budget below AHR999 1.2.</summary>
	public decimal UsdInvest1
	{
		get => _usdInvest1.Value;
		set => _usdInvest1.Value = value;
	}

	/// <summary>Budget below AHR999 0.45.</summary>
	public decimal UsdInvest2
	{
		get => _usdInvest2.Value;
		set => _usdInvest2.Value = value;
	}

	/// <summary>First eligible UTC date.</summary>
	public DateTime StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	/// <summary>Last eligible UTC date.</summary>
	public DateTime EndDate
	{
		get => _endDate.Value;
		set => _endDate.Value = value;
	}

	/// <summary>Latest fully formed AHR999 observation.</summary>
	public decimal? LastAhr999 { get; private set; }

	/// <summary>Initializes the published accumulation parameters.</summary>
	public BtcDcaAhr999Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("CandleType", "Finished daily candle interval", "Parameters");
		_length = Param(nameof(Length), 200).SetGreaterThanZero()
			.SetDisplay("Length", "Daily geometric mean window", "Parameters");
		_usdInvest1 = Param(nameof(UsdInvest1), 100m).SetGreaterThanZero()
			.SetDisplay("UsdInvest1", "Budget below AHR999 1.2", "Parameters");
		_usdInvest2 = Param(nameof(UsdInvest2), 1000m).SetGreaterThanZero()
			.SetDisplay("UsdInvest2", "Budget below AHR999 0.45", "Parameters");
		_startDate = Param(nameof(StartDate), new DateTime(2024, 2, 1, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("StartDate", "First eligible UTC date", "Parameters");
		_endDate = Param(nameof(EndDate), new DateTime(2025, 12, 31, 0, 0, 0, DateTimeKind.Utc))
			.SetDisplay("EndDate", "Last eligible UTC date", "Parameters");
		OrderRegistering += order => _pending = order;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prices.Clear();
		_lastDate = default;
		_pending = null;
		LastAhr999 = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (!CandleType.Equals(TimeSpan.FromDays(1).TimeFrame()) || StartDate.Kind != DateTimeKind.Utc
			|| EndDate.Kind != DateTimeKind.Utc || StartDate > EndDate)
			throw new InvalidOperationException("Daily candles and an ordered UTC date range 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 void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished || candle.ClosePrice <= 0m || candle.OpenTime.Date <= _lastDate)
			return;
		var date = candle.OpenTime.Date;
		_lastDate = date;
		_prices.Enqueue(candle.ClosePrice);
		while (_prices.Count > Length) _prices.Dequeue();
		if (_prices.Count < Length) return;
		var age = (date - new DateTime(2009, 1, 3, 0, 0, 0, DateTimeKind.Utc)).TotalDays;
		if (age <= 0) return;
		var geometric = Math.Exp(_prices.Average(p => Math.Log((double)p)));
		var fitted = Math.Pow(10, 5.84 * Math.Log10(age) - 17.01);
		LastAhr999 = (decimal)((double)candle.ClosePrice / geometric * (double)candle.ClosePrice / fitted);
		if (!IsFormedAndOnlineAndAllowTrading() || date < StartDate.Date || date > EndDate.Date || date.DayOfWeek != DayOfWeek.Monday
			|| _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		var budget = LastAhr999 < 0.45m ? UsdInvest2 : LastAhr999 < 1.2m ? UsdInvest1 : 0m;
		if (budget == 0m) return;
		var step = Security.VolumeStep ?? 1m;
		var quantity = Math.Floor(budget / candle.ClosePrice / step) * step;
		if (quantity < (Security.MinVolume ?? step)) return;
		if (Security.MaxVolume is decimal maximum && quantity > maximum)
			throw new InvalidOperationException("The investment exceeds the instrument's maximum order volume.");
		BuyMarket(quantity);
	}
}