E-Regressionskanalstrategie

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>
/// Polynomial regression channel strategy. Calculates a regression midline with
/// standard deviation bands and trades mean reversion between the bands and midline.
/// </summary>
public class ERegressionChannelStrategy : Strategy
{
	private readonly StrategyParam<int> _regressionLength;
	private readonly StrategyParam<int> _degree;
	private readonly StrategyParam<decimal> _stdMultiplier;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<DataType> _candleType;

	private readonly Queue<decimal> _closes = new();
	private ExponentialMovingAverage _ema;

	private decimal? _previousMid;

	/// <summary>
	/// Initializes a new instance of the <see cref="ERegressionChannelStrategy"/> class.
	/// </summary>
	public ERegressionChannelStrategy()
	{
		_regressionLength = Param(nameof(RegressionLength), 100)
			.SetGreaterThanZero()
			.SetDisplay("Regression Length", "Number of bars used for regression", "Regression");

		_degree = Param(nameof(Degree), 3)
			.SetGreaterThanZero()
			.SetDisplay("Degree", "Polynomial degree for the regression", "Regression");

		_stdMultiplier = Param(nameof(StdDevMultiplier), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Std Dev Multiplier", "Width multiplier for the regression bands", "Regression");

		_stopLossPoints = Param(nameof(StopLossPoints), 500m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Protective stop in absolute points (0 disables)", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 500m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Target in absolute points (0 disables)", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle type used for trading", "General");

		Volume = 1;
	}

	/// <summary>
	/// Number of bars used for regression.
	/// </summary>
	public int RegressionLength
	{
		get => _regressionLength.Value;
		set => _regressionLength.Value = value;
	}

	/// <summary>
	/// Polynomial degree for the regression.
	/// </summary>
	public int Degree
	{
		get => _degree.Value;
		set => _degree.Value = value;
	}

	/// <summary>
	/// Width multiplier for the regression bands.
	/// </summary>
	public decimal StdDevMultiplier
	{
		get => _stdMultiplier.Value;
		set => _stdMultiplier.Value = value;
	}

	/// <summary>
	/// Protective stop in absolute points (0 disables).
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Target in absolute points (0 disables).
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Primary candle type used for trading.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_closes.Clear();
		_previousMid = null;
		_ema = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_ema = new ExponentialMovingAverage { Length = Math.Max(2, RegressionLength) };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ema, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ema);
			DrawOwnTrades(area);
		}

		var tp = TakeProfitPoints > 0 ? new Unit(TakeProfitPoints, UnitTypes.Absolute) : null;
		var sl = StopLossPoints > 0 ? new Unit(StopLossPoints, UnitTypes.Absolute) : null;
		if (tp != null || sl != null)
			StartProtection(tp, sl);

		base.OnStarted2(time);
	}

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

		_closes.Enqueue(candle.ClosePrice);
		if (_closes.Count > RegressionLength)
			_closes.Dequeue();

		if (_closes.Count < RegressionLength)
			return;

		var prices = new List<decimal>(_closes);
		var coeffs = PolyFit(prices, Degree);
		var currentIndex = prices.Count - 1;
		var mid = PolyEval(coeffs, currentIndex);
		var std = CalcStd(prices, coeffs) * StdDevMultiplier;
		var upper = mid + std;
		var lower = mid - std;

		// Exit at midline
		if (Position > 0 && candle.ClosePrice >= mid)
		{
			SellMarket(Position);
			_previousMid = mid;
			return;
		}
		if (Position < 0 && candle.ClosePrice <= mid)
		{
			BuyMarket(Math.Abs(Position));
			_previousMid = mid;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousMid = mid;
			return;
		}

		// Entry signals: mean reversion from bands
		if (candle.LowPrice <= lower && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
		}
		else if (candle.HighPrice >= upper && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Position);
			SellMarket(Volume);
		}

		_previousMid = mid;
	}

	private static decimal[] PolyFit(IReadOnlyList<decimal> y, int degree)
	{
		var n = y.Count;
		var actualDegree = Math.Min(degree, Math.Max(1, n - 1));
		var size = actualDegree + 1;
		var matrix = new decimal[size, size + 1];

		for (var row = 0; row < size; row++)
		{
			for (var col = 0; col < size; col++)
			{
				decimal sum = 0m;
				for (var i = 0; i < n; i++)
					sum += (decimal)Math.Pow(i, row + col);

				matrix[row, col] = sum;
			}

			decimal sumY = 0m;
			for (var i = 0; i < n; i++)
				sumY += y[i] * (decimal)Math.Pow(i, row);

			matrix[row, size] = sumY;
		}

		for (var i = 0; i < size; i++)
		{
			var pivot = matrix[i, i];
			if (pivot == 0m)
			{
				for (var k = i + 1; k < size; k++)
				{
					if (matrix[k, i] == 0m)
						continue;

					for (var j = i; j < size + 1; j++)
						(matrix[i, j], matrix[k, j]) = (matrix[k, j], matrix[i, j]);

					pivot = matrix[i, i];
					break;
				}
			}

			if (pivot == 0m)
				continue;

			for (var j = i; j < size + 1; j++)
				matrix[i, j] /= pivot;

			for (var row = 0; row < size; row++)
			{
				if (row == i)
					continue;

				var factor = matrix[row, i];
				if (factor == 0m)
					continue;

				for (var col = i; col < size + 1; col++)
					matrix[row, col] -= factor * matrix[i, col];
			}
		}

		var coeffs = new decimal[size];
		for (var i = 0; i < size; i++)
			coeffs[i] = matrix[i, size];

		return coeffs;
	}

	private static decimal PolyEval(IReadOnlyList<decimal> coeffs, decimal x)
	{
		decimal result = 0m;
		decimal power = 1m;
		for (var i = 0; i < coeffs.Count; i++)
		{
			result += coeffs[i] * power;
			power *= x;
		}

		return result;
	}

	private static decimal CalcStd(IReadOnlyList<decimal> values, decimal[] coeffs)
	{
		var n = values.Count;
		if (n == 0)
			return 0m;

		decimal sum = 0m;
		for (var i = 0; i < n; i++)
		{
			var fitted = PolyEval(coeffs, i);
			var diff = values[i] - fitted;
			sum += diff * diff;
		}

		return (decimal)Math.Sqrt((double)(sum / n));
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

import math
from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates, Unit, UnitTypes
from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy
from collections import deque

class e_regression_channel_strategy(Strategy):
    """
    Polynomial regression channel strategy. Calculates a regression midline with
    standard deviation bands and trades mean reversion between the bands and midline.
    """

    def __init__(self):
        super(e_regression_channel_strategy, self).__init__()
        self._regression_length = self.Param("RegressionLength", 100) \
            .SetDisplay("Regression Length", "Number of bars used for regression", "Regression")
        self._degree = self.Param("Degree", 3) \
            .SetDisplay("Degree", "Polynomial degree for the regression", "Regression")
        self._std_multiplier = self.Param("StdDevMultiplier", 1.0) \
            .SetDisplay("Std Dev Multiplier", "Width multiplier for the regression bands", "Regression")
        self._stop_loss_points = self.Param("StopLossPoints", 500.0) \
            .SetDisplay("Stop Loss", "Protective stop in absolute points (0 disables)", "Risk")
        self._take_profit_points = self.Param("TakeProfitPoints", 500.0) \
            .SetDisplay("Take Profit", "Target in absolute points (0 disables)", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Primary candle type used for trading", "General")

        self._closes = deque()
        self._previous_mid = None

    @property
    def candle_type(self):
        return self._candle_type.Value

    def OnReseted(self):
        super(e_regression_channel_strategy, self).OnReseted()
        self._closes.clear()
        self._previous_mid = None

    def OnStarted2(self, time):
        super(e_regression_channel_strategy, self).OnStarted2(time)

        ema = ExponentialMovingAverage()
        length = self._regression_length.Value
        ema.Length = max(2, length)

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(ema, self._process_candle).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, ema)
            self.DrawOwnTrades(area)

        tp = self._take_profit_points.Value
        sl = self._stop_loss_points.Value
        tp_unit = Unit(float(tp), UnitTypes.Absolute) if tp > 0 else None
        sl_unit = Unit(float(sl), UnitTypes.Absolute) if sl > 0 else None
        if tp_unit is not None or sl_unit is not None:
            self.StartProtection(tp_unit, sl_unit)

    def _process_candle(self, candle, ema_val):
        if candle.State != CandleStates.Finished:
            return

        close = float(candle.ClosePrice)
        reg_len = self._regression_length.Value

        self._closes.append(close)
        if len(self._closes) > reg_len:
            self._closes.popleft()

        if len(self._closes) < reg_len:
            return

        prices = list(self._closes)
        coeffs = self._poly_fit(prices, self._degree.Value)
        current_index = len(prices) - 1
        mid = self._poly_eval(coeffs, current_index)
        std = self._calc_std(prices, coeffs) * self._std_multiplier.Value
        upper = mid + std
        lower = mid - std

        if self.Position > 0 and close >= mid:
            self.SellMarket()
            self._previous_mid = mid
            return
        if self.Position < 0 and close <= mid:
            self.BuyMarket()
            self._previous_mid = mid
            return

        if not self.IsFormedAndOnlineAndAllowTrading():
            self._previous_mid = mid
            return

        if float(candle.LowPrice) <= lower and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif float(candle.HighPrice) >= upper and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._previous_mid = mid

    @staticmethod
    def _poly_fit(y, degree):
        n = len(y)
        actual_degree = min(degree, max(1, n - 1))
        size = actual_degree + 1
        matrix = [[0.0] * (size + 1) for _ in range(size)]

        for row in range(size):
            for col in range(size):
                s = 0.0
                for i in range(n):
                    s += i ** (row + col)
                matrix[row][col] = s

            s_y = 0.0
            for i in range(n):
                s_y += y[i] * (i ** row)
            matrix[row][size] = s_y

        for i in range(size):
            pivot = matrix[i][i]
            if pivot == 0.0:
                for k in range(i + 1, size):
                    if matrix[k][i] != 0.0:
                        matrix[i], matrix[k] = matrix[k], matrix[i]
                        pivot = matrix[i][i]
                        break
            if pivot == 0.0:
                continue
            for j in range(i, size + 1):
                matrix[i][j] /= pivot
            for row in range(size):
                if row == i:
                    continue
                factor = matrix[row][i]
                if factor == 0.0:
                    continue
                for col in range(i, size + 1):
                    matrix[row][col] -= factor * matrix[i][col]

        return [matrix[i][size] for i in range(size)]

    @staticmethod
    def _poly_eval(coeffs, x):
        result = 0.0
        power = 1.0
        for c in coeffs:
            result += c * power
            power *= x
        return result

    @staticmethod
    def _calc_std(values, coeffs):
        n = len(values)
        if n == 0:
            return 0.0
        s = 0.0
        for i in range(n):
            fitted = e_regression_channel_strategy._poly_eval(coeffs, i)
            diff = values[i] - fitted
            s += diff * diff
        return math.sqrt(s / n)

    def CreateClone(self):
        return e_regression_channel_strategy()