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Statistical Arbitrage 策略

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 = 2
    • CandleType = TimeSpan.FromMinutes(15)
    • SecondSecurity — 必填，无默认值 Asset1为策略主品种（Security），Asset2为SecondSecurity；MA1和MA2为两者在同一时间K线上最近LookbackPeriod个收盘价的简单移动平均。做多即买入Asset1并卖出Asset2，做空相反，每条腿交易Volume数量，相反信号会同时反转两条腿。当价差（Asset1减Asset2）朝不利方向移动入场价差的StopLossPercent百分比时止损平掉两条腿，按K线收盘检查；设为0则关闭。
  • 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.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Statistical arbitrage strategy.
/// Each instrument is compared with the simple moving average of its last LookbackPeriod closes on candles of the same time. The first
/// instrument below its average while the second is above its own buys the first and sells the second, the mirror does the opposite,
/// reversing an opposite pair. Both legs close once the first instrument closes back across its average, or once the spread, the first
/// close minus the second, moves StopLossPercent of its entry value against the pair.
/// </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 readonly Dictionary<DateTime, decimal> _firstCloses = [];
	private readonly Dictionary<DateTime, decimal> _secondCloses = [];
	private readonly Queue<decimal> _firstHistory = [];
	private readonly Queue<decimal> _secondHistory = [];
	// 1 while long the spread, -1 while short it, 0 while flat.
	private int _side;
	private decimal _entrySpread;

	/// <summary>
	/// Number of closes each moving average spans.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Adverse spread move, in percent of the entry spread, that closes the pair.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </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", "Closes each moving average spans", "Parameters");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop-loss %", "Adverse spread move in percent of the entry spread", "Risk Management");

		_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();
		ResetState();
	}

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

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

		ResetState();

		var firstSubscription = SubscribeCandles(CandleType);
		firstSubscription.Bind(candle => ProcessCandle(candle, _firstCloses)).Start();

		var secondSubscription = SubscribeCandles(CandleType, security: SecondSecurity);
		secondSubscription.Bind(candle => ProcessCandle(candle, _secondCloses)).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, firstSubscription);
			DrawOwnTrades(area);
		}
	}

	private void ResetState()
	{
		_firstCloses.Clear();
		_secondCloses.Clear();
		_firstHistory.Clear();
		_secondHistory.Clear();
		_side = 0;
		_entrySpread = 0;
	}

	private void ProcessCandle(ICandleMessage candle, Dictionary<DateTime, decimal> closes)
	{
		if (candle.State != CandleStates.Finished)
			return;

		closes[candle.OpenTime] = candle.ClosePrice;

		// The spread needs both instruments' candles of the same time, whichever arrives last.
		if (!_firstCloses.TryGetValue(candle.OpenTime, out var first) || !_secondCloses.TryGetValue(candle.OpenTime, out var second))
			return;

		foreach (var stale in _firstCloses.Keys.Where(t => t <= candle.OpenTime).ToArray())
			_firstCloses.Remove(stale);

		foreach (var stale in _secondCloses.Keys.Where(t => t <= candle.OpenTime).ToArray())
			_secondCloses.Remove(stale);

		_firstHistory.Enqueue(first);
		_secondHistory.Enqueue(second);

		if (_firstHistory.Count > LookbackPeriod)
		{
			_firstHistory.Dequeue();
			_secondHistory.Dequeue();
		}

		if (_firstHistory.Count < LookbackPeriod)
			return;

		var firstAverage = _firstHistory.Average();
		var secondAverage = _secondHistory.Average();
		var spread = first - second;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var stopDistance = Math.Abs(_entrySpread) * StopLossPercent / 100;

		if (first < firstAverage && second > secondAverage && _side <= 0)
		{
			MoveLegs(1);
			_entrySpread = spread;
		}
		else if (first > firstAverage && second < secondAverage && _side >= 0)
		{
			MoveLegs(-1);
			_entrySpread = spread;
		}
		else if (_side > 0 && (first > firstAverage || (StopLossPercent > 0 && spread <= _entrySpread - stopDistance)))
		{
			MoveLegs(0);
		}
		else if (_side < 0 && (first < firstAverage || (StopLossPercent > 0 && spread >= _entrySpread + stopDistance)))
		{
			MoveLegs(0);
		}
	}

	private void MoveLegs(int side)
	{
		_side = side;

		// Long the spread holds the first instrument and is short the second, each by Volume.
		var firstChange = side * Volume - Position;

		if (firstChange > 0)
			BuyMarket(firstChange);
		else if (firstChange < 0)
			SellMarket(-firstChange);

		var secondChange = -side * Volume - (GetPositionValue(SecondSecurity, Portfolio) ?? 0m);

		if (secondChange > 0)
			BuyMarket(secondChange, SecondSecurity);
		else if (secondChange < 0)
			SellMarket(-secondChange, SecondSecurity);
	}
}