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Bitcoin Intraday Seasonality

在预先设定的日内小时内做多比特币的策略。

测试显示年化收益约为45%，在加密货币市场表现最佳。

系统监控小时K线。在选定的UTC时间段内，它持有与账户价值相等的多头仓位，其余时间保持空仓。低于最小美元金额的订单会被忽略。

细节

  • 入场条件：在指定的UTC小时内持有比特币多头。
  • 多/空：仅多头。
  • 出场条件：在非指定时间退出。
  • 止损：无。
  • 默认值：
    • HoursLong = [0, 1, 2, 3]
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromHours(1)
  • 过滤器：
    • 类别：季节性
    • 方向：多头
    • 指标：无
    • 止损：无
    • 复杂度：基础
    • 时间框架：日内 (1小时)
    • 季节性：是
    • 神经网络：否
    • 背离：否
    • 风险等级：中
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>
/// Strategy that goes long on Bitcoin during predefined strong intraday hours.
/// </summary>
public class BitcoinIntradaySeasonalityStrategy : Strategy
{
	private readonly StrategyParam<int[]> _hoursLong;
	private readonly StrategyParam<decimal> _minUsd;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// UTC hours when the strategy holds a long position.
	/// </summary>
	public int[] HoursLong
	{
		get => _hoursLong.Value;
		set => _hoursLong.Value = value;
	}

	/// <summary>
	/// Minimum trade value in USD.
	/// </summary>
	public decimal MinTradeUsd
	{
		get => _minUsd.Value;
		set => _minUsd.Value = value;
	}

	/// <summary>
	/// The type of candles to use for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	private readonly Dictionary<Security, decimal> _latestPrices = [];

	/// <summary>
	/// Initializes a new instance of <see cref="BitcoinIntradaySeasonalityStrategy"/>.
	/// </summary>
	public BitcoinIntradaySeasonalityStrategy()
	{
		// Hours to stay long (UTC).
		_hoursLong = Param(nameof(HoursLong), new[] { 0, 1, 2, 3 })
			.SetDisplay("Long Hours", "UTC hours when the strategy stays long", "General");

		// Minimum trade size.
		_minUsd = Param(nameof(MinTradeUsd), 200m)
			.SetGreaterThanZero()
			.SetDisplay("Min Trade USD", "Minimum order value in USD", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security == null)
			throw new InvalidOperationException("BTC security not set.");

		return [(Security, CandleType)];
	}

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

		_latestPrices.Clear();
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		if (HoursLong == null || HoursLong.Length == 0)
			throw new InvalidOperationException("HoursLong cannot be empty.");

		if (Security == null)
			throw new InvalidOperationException("BTC security not set.");

		SubscribeCandles(CandleType, true, Security)
			.Bind(c => ProcessCandle(c, Security))
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, Security security)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Store the latest closing price for this security
		_latestPrices[security] = candle.ClosePrice;

		OnHourClose(candle);
	}

	private void OnHourClose(ICandleMessage c)
	{
		var hour = c.OpenTime.Hour; // assume server UTC
		var inSeason = c.OpenTime.DayOfWeek == DayOfWeek.Monday && c.OpenTime.Day <= 7 && HoursLong.Contains(hour);

		var portfolioValue = Portfolio.CurrentValue ?? 0m;
		var price = GetLatestPrice(Security);

		var tgt = inSeason && price > 0 ? portfolioValue / price : 0m;
		var diff = tgt - PositionBy(Security);

		if (price <= 0 || Math.Abs(diff) * price < MinTradeUsd)
			return;

		RegisterOrder(new Order
		{
			Security = Security,
			Portfolio = Portfolio,
			Side = diff > 0 ? Sides.Buy : Sides.Sell,
			Volume = Math.Abs(diff),
			Type = OrderTypes.Market,
			Comment = "BTCSeason",
		});
	}

	private decimal GetLatestPrice(Security security)
	{
		return _latestPrices.TryGetValue(security, out var price) ? price : 0m;
	}

	private decimal PositionBy(Security s) => GetPositionValue(s, Portfolio) ?? 0;
}