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Pairs Trading Strategy

该策略监控两只相关资产之间的价差，并与其历史均值与标准差比较，捕捉暂时性偏离。

测试表明年均收益约为 88%，该策略在股票市场表现最佳。

当价差低于均值减去乘数倍标准差时做多价差（买入第一只资产卖出第二只资产）；当价差高于均值加上乘数倍标准差时做空价差。价差回到均值附近时平仓。

此方法适合追求市场中性、擅长平衡两只合约敞口的交易者。若价差继续扩大，止损可以限制回撤。

细节

  • 入场条件:
    • 多头: Spread < Mean - Multiplier * StdDev
    • 空头: Spread > Mean + Multiplier * StdDev
  • 多/空: 双向
  • 离场条件:
    • 多头: 价差回到均值时平仓
    • 空头: 价差回到均值时平仓
  • 止损: 百分比止损，基于价差
  • 默认值:
    • LookbackPeriod = 20
    • DeviationMultiplier = 2.0m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Arbitrage
    • 方向: 双向
    • 指标: Spread statistics
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 是
    • 风险等级: 中等
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>
/// Statistical Pairs Trading strategy.
/// Trades the spread between two correlated assets, entering positions when
/// the spread deviates significantly from its mean.
/// </summary>
public class PairsTradingStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<Security> _secondSecurity;

	private SimpleMovingAverage _spreadMA;
	private StandardDeviation _spreadStdDev;
	
	private decimal _spread;
	private decimal _lastSecondPrice;

	/// <summary>
	/// Period for calculating mean and standard deviation of the spread.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}
	
	/// <summary>
	/// Number of standard deviations for entry signals.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}
	
	/// <summary>
	/// Stop-loss percentage parameter.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}
	
	/// <summary>
	/// Candle type parameter.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Second security in the pair.
	/// </summary>
	public Security SecondSecurity
	{
		get => _secondSecurity.Value;
		set => _secondSecurity.Value = value;
	}
	
	/// <summary>
	/// Constructor.
	/// </summary>
	public PairsTradingStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for calculating spread mean and standard deviation", "Parameters")
			
			.SetOptimize(10, 40, 5);
			
		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Number of standard deviations for entry signals", "Parameters")
			
			.SetOptimize(1.5m, 3.0m, 0.5m);
			
		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop-loss %", "Stop-loss as percentage of spread at entry", "Risk Management")
			
			.SetOptimize(1m, 3m, 0.5m);
			
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
			
		_secondSecurity = Param<Security>(nameof(SecondSecurity))
			.SetDisplay("Second Security", "Second security in the pair", "General")
			.SetRequired();
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return
		[
			(Security, CandleType),
			(SecondSecurity, CandleType)
		];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_spreadMA = null;
		_spreadStdDev = null;
		_spread = 0;
		_lastSecondPrice = 0;
	}

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

		if (SecondSecurity == null)
			throw new InvalidOperationException("Second security is not specified.");
		
		// Initialize indicators
		_spreadMA = new() { Length = LookbackPeriod };
		_spreadStdDev = new StandardDeviation { Length = LookbackPeriod };
		
		// Create subscriptions for both securities
		var firstSecuritySubscription = SubscribeCandles(CandleType);
		var secondSecuritySubscription = SubscribeCandles(CandleType, security: SecondSecurity);
		
		// Bind to first security candles
		firstSecuritySubscription
			.Bind(ProcessFirstSecurityCandle)
			.Start();
		
		// Bind to second security candles
		secondSecuritySubscription
			.Bind(ProcessSecondSecurityCandle)
			.Start();
		
		// Enable position protection with stop-loss
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute), // No take-profit
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent) // Stop-loss as percentage
		);
		
		// Setup chart if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, firstSecuritySubscription);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessFirstSecurityCandle(ICandleMessage candle)
	{
		// Skip if we don't have price for the second security yet
		if (_lastSecondPrice == 0)
			return;

		// Calculate the spread: Asset1 - Asset2
		_spread = candle.ClosePrice - _lastSecondPrice;
		
		// Process the spread through indicators
		var maValue = _spreadMA.Process(new DecimalIndicatorValue(_spreadMA, _spread, candle.ServerTime) { IsFinal = true });
		var stdDevValue = _spreadStdDev.Process(new DecimalIndicatorValue(_spreadStdDev, _spread, candle.ServerTime) { IsFinal = true });
		
		// Skip until indicators are formed
		if (!_spreadMA.IsFormed || !_spreadStdDev.IsFormed)
			return;
		
		decimal spreadMean = maValue.ToDecimal();
		decimal spreadStdDev = stdDevValue.ToDecimal();
		
		// Calculate entry thresholds
		decimal upperThreshold = spreadMean + (spreadStdDev * DeviationMultiplier);
		decimal lowerThreshold = spreadMean - (spreadStdDev * DeviationMultiplier);
		
		// Trading logic
		if (_spread < lowerThreshold)
		{
			// Spread is below lower threshold: 
			// Buy Asset1 (Security), Sell Asset2 (SecondSecurity)
			if (Position <= 0)
			{
				// Close any existing position and enter new position
				BuyMarket(Volume + Math.Abs(Position));
				LogInfo($"Long Signal: Spread({_spread:F4}) < Lower Threshold({lowerThreshold:F4})");
				
				// Note: In a real implementation, you would also place a sell order
				// for the second security here, using a different strategy instance or connector
			}
		}
		else if (_spread > upperThreshold)
		{
			// Spread is above upper threshold:
			// Sell Asset1 (Security), Buy Asset2 (SecondSecurity)
			if (Position >= 0)
			{
				// Close any existing position and enter new position
				SellMarket(Volume + Math.Abs(Position));
				LogInfo($"Short Signal: Spread({_spread:F4}) > Upper Threshold({upperThreshold:F4})");
				
				// Note: In a real implementation, you would also place a buy order
				// for the second security here, using a different strategy instance or connector
			}
		}
		else if ((_spread > spreadMean && Position > 0) || 
				(_spread < spreadMean && Position < 0))
		{
			// Exit signals: Spread returned to the mean
			if (Position > 0)
			{
				SellMarket(Math.Abs(Position));
				LogInfo($"Exit Long: Spread({_spread:F4}) > Mean({spreadMean:F4})");
			}
			else if (Position < 0)
			{
				BuyMarket(Math.Abs(Position));
				LogInfo($"Exit Short: Spread({_spread:F4}) < Mean({spreadMean:F4})");
			}
		}
	}
	
	private void ProcessSecondSecurityCandle(ICandleMessage candle)
	{
		// Store the close price of the second security for spread calculation
		_lastSecondPrice = candle.ClosePrice;
	}
}