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Statistical Arbitrage Strategy

该统计套利策略根据两只相关资产相对于自身均线的位置进行交易，利用价差在短期内回归的特性。

测试表明年均收益约为 94%，该策略在股票市场表现最佳。

当第一只资产低于其均线而第二只高于自身均线时做多第一只并做空第二只；反之则做空第一只做多第二只。第一只资产回到均线上方或下方时平仓，表明价差已恢复正常。

适合习惯于在两只工具之间保持中性敞口的交易者。内置的止损在价差持续扩大时限制回撤。

细节

  • 入场条件:
    • 多头: Asset1 < MA1 && Asset2 > MA2
    • 空头: Asset1 > MA1 && Asset2 < MA2
  • 多/空: 双向
  • 离场条件:
    • 多头: 当Asset1收盘价上穿MA1
    • 空头: 当Asset1收盘价下穿MA1
  • 止损: 对价差使用百分比止损
  • 默认值:
    • LookbackPeriod = 20
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(15)
  • 过滤器:
    • 类别: Arbitrage
    • 方向: 双向
    • 指标: Moving Averages
    • 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 Arbitrage strategy that trades pairs of securities based on their relative mean reversion.
/// Enters when one asset is below its mean while the other is above its mean.
/// </summary>
public class StatisticalArbitrageStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<Security> _secondSecurity;
	
	private SimpleMovingAverage _firstMA;
	private SimpleMovingAverage _secondMA;
	
	private decimal _lastFirstPrice;
	private decimal _lastSecondPrice;
	private decimal _entrySpread;
	private decimal _secondMAValue;
	
	/// <summary>
	/// Period for calculating moving averages.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.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 StatisticalArbitrageStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for calculating moving averages", "Parameters")
			
			.SetOptimize(10, 30, 5);
			
		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop-loss %", "Stop-loss as percentage of entry price", "Risk Management")
			
			.SetOptimize(1m, 3m, 0.5m);
			
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();

		_firstMA = null;
		_secondMA = null;
		_lastFirstPrice = 0;
		_lastSecondPrice = 0;
		_entrySpread = 0;
		_secondMAValue = 0;
	}

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

		if (SecondSecurity == null)
			throw new InvalidOperationException("Second security is not specified.");

		// Initialize indicators
		_firstMA = new() { Length = LookbackPeriod };
		_secondMA = new() { Length = LookbackPeriod };

		// Create subscriptions for both securities
		var firstSecuritySubscription = SubscribeCandles(CandleType);
		var secondSecuritySubscription = SubscribeCandles(CandleType, security: SecondSecurity);

		// Bind to first security candles
		firstSecuritySubscription
			.Bind(_firstMA, 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);
			DrawIndicator(area, _firstMA);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessFirstSecurityCandle(ICandleMessage candle, decimal firstMAValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Store current price
		_lastFirstPrice = candle.ClosePrice;

		// Skip if we don't have both prices or if indicators aren't formed
		if (_lastSecondPrice == 0 || !_firstMA.IsFormed || !_secondMA.IsFormed)
			return;

		// Get last second MA value stored earlier
		decimal secondMAValue = _secondMAValue;
		
		// Trading logic
		bool isFirstBelowMA = _lastFirstPrice < firstMAValue;
		bool isSecondAboveMA = _lastSecondPrice > secondMAValue;
		bool isFirstAboveMA = _lastFirstPrice > firstMAValue;
		bool isSecondBelowMA = _lastSecondPrice < secondMAValue;
		
		decimal currentSpread = _lastFirstPrice - _lastSecondPrice;
		
		// Long signal: First asset below MA, Second asset above MA
		if (isFirstBelowMA && isSecondAboveMA)
		{
			// If we're not already in a long position
			if (Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				_entrySpread = currentSpread;
				LogInfo($"Long Signal: {Security.Code}({_lastFirstPrice:F4}) < MA({firstMAValue:F4}) && " + 
						$"{SecondSecurity.Code}({_lastSecondPrice:F4}) > MA({secondMAValue: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
			}
		}
		// Short signal: First asset above MA, Second asset below MA
		else if (isFirstAboveMA && isSecondBelowMA)
		{
			// If we're not already in a short position
			if (Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				_entrySpread = currentSpread;
				LogInfo($"Short Signal: {Security.Code}({_lastFirstPrice:F4}) > MA({firstMAValue:F4}) && " + 
						$"{SecondSecurity.Code}({_lastSecondPrice:F4}) < MA({secondMAValue: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
			}
		}
		// Exit signals
		else if ((Position > 0 && isFirstAboveMA) || (Position < 0 && isFirstBelowMA))
		{
			// Exit position when first asset crosses its moving average
			if (Position > 0)
			{
				SellMarket(Math.Abs(Position));
				LogInfo($"Exit Long: {Security.Code}({_lastFirstPrice:F4}) > MA({firstMAValue:F4})");
			}
			else if (Position < 0)
			{
				BuyMarket(Math.Abs(Position));
				LogInfo($"Exit Short: {Security.Code}({_lastFirstPrice:F4}) < MA({firstMAValue:F4})");
			}
		}
	}
	
	private void ProcessSecondSecurityCandle(ICandleMessage candle)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Store current price
		_lastSecondPrice = candle.ClosePrice;
	
		// Process through MA indicator and store last value
		var maValue = _secondMA.Process(new DecimalIndicatorValue(_secondMA, candle.ClosePrice, candle.ServerTime) { IsFinal = true });
		_secondMAValue = maValue.ToDecimal();
	}
}