中文 ZH
在 GitHub 上查看

商品期限结构

该策略交易商品期货曲线的斜率。它买入处于反向市场的合约并卖出处于正向市场的合约，押注期限结构回归均值。

系统每月根据持有收益率对期货进行排序，做多最高收益率合约，做空最低收益率合约，并在到期前滚动。

细节

  • 数据：近月和远月期货价格。
  • 入场：做多高 carry 商品，做空低 carry 商品。
  • 出场：合约到期前滚动或 carry 方向改变。
  • 工具：商品期货。
  • 风险：等权分配并在 carry 恶化时止损。
// TermStructureCommoditiesStrategy.cs
// -----------------------------------------------------------------------------
// Term structure momentum strategy.
// Uses two moving averages to detect momentum shifts in the primary security.
// Goes long when fast MA crosses above slow MA, short when below.
// Cooldown between trades prevents excessive order generation.
// -----------------------------------------------------------------------------
// Date: 2 Aug 2025
// -----------------------------------------------------------------------------
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Term structure momentum strategy using dual moving average crossover.
/// </summary>
public class TermStructureCommoditiesStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Fast moving average period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow moving average period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	private ExponentialMovingAverage _fastEma;
	private ExponentialMovingAverage _slowEma;
	private int _cooldownRemaining;

	public TermStructureCommoditiesStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetDisplay("Fast Period", "Fast moving average period", "Parameters");

		_slowPeriod = Param(nameof(SlowPeriod), 30)
			.SetDisplay("Slow Period", "Slow moving average period", "Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 30)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);
	}

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

		_fastEma = null;
		_slowEma = null;
		_cooldownRemaining = 0;
	}

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

		_fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		_slowEma = new ExponentialMovingAverage { Length = SlowPeriod };

		SubscribeCandles(CandleType)
			.Bind(_fastEma, _slowEma, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_fastEma.IsFormed || !_slowEma.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		// Fast above slow -> bullish momentum -> long
		if (fastValue > slowValue && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));

			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Fast below slow -> bearish momentum -> short
		else if (fastValue < slowValue && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));

			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
	}
}