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WTI-Brent 价差

该交易关注 WTI 与 Brent 原油价格差。当价差偏离历史水平时，系统通过买入较便宜的品种并做空较贵的品种押注其回归。

头寸使用近月期货并在价差回归时平仓。

细节

  • 数据：近月 WTI 和 Brent 期货价格。
  • 入场：价差超阈值时做多便宜品种、做空昂贵品种。
  • 出场：价差回归均值或合约滚动时平仓。
  • 工具：原油期货。
  • 风险：名义中性并在价差扩大时止损。
// WTIBrentSpreadStrategy.cs
// -----------------------------------------------------------------------------
// Spread/mean-reversion trading strategy.
// Uses Bollinger Bands to identify when price deviates from its mean.
// Buys when price touches lower band, sells when it touches upper band.
// Exits when price returns to the middle band.
// Cooldown prevents excessive trading.
// -----------------------------------------------------------------------------
// 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>
/// Mean-reversion spread strategy using Bollinger Bands.
/// </summary>
public class WTIBrentSpreadStrategy : Strategy
{
	private readonly StrategyParam<int> _bbPeriod;
	private readonly StrategyParam<decimal> _bbWidth;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Bollinger Bands period.
	/// </summary>
	public int BbPeriod
	{
		get => _bbPeriod.Value;
		set => _bbPeriod.Value = value;
	}

	/// <summary>
	/// Bollinger Bands width (standard deviations).
	/// </summary>
	public decimal BbWidth
	{
		get => _bbWidth.Value;
		set => _bbWidth.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 BollingerBands _bb;
	private int _cooldownRemaining;

	public WTIBrentSpreadStrategy()
	{
		_bbPeriod = Param(nameof(BbPeriod), 20)
			.SetDisplay("BB Period", "Bollinger Bands period", "Parameters");

		_bbWidth = Param(nameof(BbWidth), 2.0m)
			.SetDisplay("BB Width", "Bollinger Bands width in std devs", "Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();

		_bb = null;
		_cooldownRemaining = 0;
	}

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

		_bb = new BollingerBands
		{
			Length = BbPeriod,
			Width = BbWidth
		};

		SubscribeCandles(CandleType)
			.BindEx(_bb, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_bb.IsFormed)
			return;

		var bb = (BollingerBandsValue)value;
		if (bb.UpBand is not decimal upper ||
			bb.LowBand is not decimal lower ||
			bb.MovingAverage is not decimal middle)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var close = candle.ClosePrice;

		// Price below lower band -> oversold -> buy
		if (close <= lower && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));

			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Price above upper band -> overbought -> sell
		else if (close >= upper && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));

			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Price returns to middle -> exit
		else if (Position > 0 && close >= middle)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && close <= middle)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
	}
}