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ColorJFatl StDev 戦略

この戦略は、MQL5の ColorJFatl_StDev エキスパートアドバイザーをStockSharp APIに移植したものです。Jurik移動平均（JMA）と標準偏差バンドを組み合わせてトレードシグナルを生成します。

戦略ロジック

  1. 終値でJMAを計算します。
  2. 設定可能な期間にわたって標準偏差を算出します。
  3. 乗数 K1 と K2 を使って2組の動的バンドを構築します：
    • upper1 = JMA + K1 * StdDev
    • upper2 = JMA + K2 * StdDev
    • lower1 = JMA - K1 * StdDev
    • lower2 = JMA - K2 * StdDev
  4. 選択したシグナルモードに応じて、戦略はポジションを開閉します：
    • Point – 価格がバンドを越えた時にトリガー。
    • Direct – JMAラインの転換点を使用。
    • Without – 対応するシグナルを無効化。

パラメーター

名前 説明
CandleTimeFrame ローソク足データの時間軸。
JmaLength Jurik移動平均の期間。
JmaPhase JMA計算のフェーズ。
StdPeriod 標準偏差の期間。
K1 最初の偏差乗数。
K2 2番目の偏差乗数。
BuyOpenMode ロングポジション開設モード。
SellOpenMode ショートポジション開設モード。
BuyCloseMode ロングポジション決済モード。
SellCloseMode ショートポジション決済モード。

使用方法

戦略は指定された時間軸のローソク足を購読し、JMAと標準偏差の値を処理して、定義されたモードに基づいて自動的に成行注文を送信します。

この実装は明確さを重視しており、さらなる機能強化やカスタムリスク管理のための出発点として機能します。

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>
/// Strategy based on Jurik moving average and standard deviation bands.
/// Opens and closes positions according to signal modes.
/// </summary>
public class ColorJFatlStDevStrategy : Strategy
{
	public enum SignalModes
	{
		Point,
		Direct,
		Without
	}

	private readonly StrategyParam<int> _jmaLength;
	private readonly StrategyParam<int> _jmaPhase;
	private readonly StrategyParam<int> _stdPeriod;
	private readonly StrategyParam<decimal> _k1;
	private readonly StrategyParam<decimal> _k2;
	private readonly StrategyParam<SignalModes> _buyOpenMode;
	private readonly StrategyParam<SignalModes> _sellOpenMode;
	private readonly StrategyParam<SignalModes> _buyCloseMode;
	private readonly StrategyParam<SignalModes> _sellCloseMode;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevJma;
	private decimal? _prevPrevJma;

	public int JmaLength { get => _jmaLength.Value; set => _jmaLength.Value = value; }
	public int JmaPhase { get => _jmaPhase.Value; set => _jmaPhase.Value = value; }
	public int StdPeriod { get => _stdPeriod.Value; set => _stdPeriod.Value = value; }
	public decimal K1 { get => _k1.Value; set => _k1.Value = value; }
	public decimal K2 { get => _k2.Value; set => _k2.Value = value; }
	public SignalModes BuyOpenMode { get => _buyOpenMode.Value; set => _buyOpenMode.Value = value; }
	public SignalModes SellOpenMode { get => _sellOpenMode.Value; set => _sellOpenMode.Value = value; }
	public SignalModes BuyCloseMode { get => _buyCloseMode.Value; set => _buyCloseMode.Value = value; }
	public SignalModes SellCloseMode { get => _sellCloseMode.Value; set => _sellCloseMode.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorJFatlStDevStrategy()
	{
		_jmaLength = Param(nameof(JmaLength), 5)
			.SetDisplay("JMA Length", "JMA period", "Indicators");

		_jmaPhase = Param(nameof(JmaPhase), -100)
			.SetDisplay("JMA Phase", "JMA phase", "Indicators");

		_stdPeriod = Param(nameof(StdPeriod), 9)
			.SetDisplay("Std Period", "Standard deviation period", "Indicators");

		_k1 = Param(nameof(K1), 0.5m)
			.SetDisplay("K1", "First deviation multiplier", "Parameters");

		_k2 = Param(nameof(K2), 1.0m)
			.SetDisplay("K2", "Second deviation multiplier", "Parameters");

		_buyOpenMode = Param(nameof(BuyOpenMode), SignalModes.Point)
			.SetDisplay("Buy Open", "Mode for opening long", "Signals");

		_sellOpenMode = Param(nameof(SellOpenMode), SignalModes.Point)
			.SetDisplay("Sell Open", "Mode for opening short", "Signals");

		_buyCloseMode = Param(nameof(BuyCloseMode), SignalModes.Point)
			.SetDisplay("Buy Close", "Mode for closing long", "Signals");

		_sellCloseMode = Param(nameof(SellCloseMode), SignalModes.Point)
			.SetDisplay("Sell Close", "Mode for closing short", "Signals");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevJma = null;
		_prevPrevJma = null;
	}

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

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

		_prevJma = null;
		_prevPrevJma = null;

		var jma = new JurikMovingAverage { Length = JmaLength, Phase = JmaPhase };
		var std = new StandardDeviation { Length = StdPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_prevJma is null || _prevPrevJma is null)
		{
			_prevPrevJma = _prevJma;
			_prevJma = jmaValue;
			return;
		}

		if (stdValue == 0)
		{
			_prevPrevJma = _prevJma;
			_prevJma = jmaValue;
			return;
		}

		var upper1 = jmaValue + K1 * stdValue;
		var upper2 = jmaValue + K2 * stdValue;
		var lower1 = jmaValue - K1 * stdValue;
		var lower2 = jmaValue - K2 * stdValue;

		var buyOpen = false;
		var sellOpen = false;
		var buyClose = false;
		var sellClose = false;

		switch (BuyOpenMode)
		{
			case SignalModes.Point:
				buyOpen = candle.ClosePrice > upper1 || candle.ClosePrice > upper2;
				break;
			case SignalModes.Direct:
				buyOpen = jmaValue > _prevJma && _prevJma < _prevPrevJma;
				break;
		}

		switch (SellOpenMode)
		{
			case SignalModes.Point:
				sellOpen = candle.ClosePrice < lower1 || candle.ClosePrice < lower2;
				break;
			case SignalModes.Direct:
				sellOpen = jmaValue < _prevJma && _prevJma > _prevPrevJma;
				break;
		}

		switch (BuyCloseMode)
		{
			case SignalModes.Point:
				buyClose = candle.ClosePrice < lower1 || candle.ClosePrice < lower2;
				break;
			case SignalModes.Direct:
				buyClose = jmaValue > _prevJma;
				break;
		}

		switch (SellCloseMode)
		{
			case SignalModes.Point:
				sellClose = candle.ClosePrice > upper1 || candle.ClosePrice > upper2;
				break;
			case SignalModes.Direct:
				sellClose = jmaValue < _prevJma;
				break;
		}

		if (buyClose && Position > 0)
			SellMarket();
		else if (sellClose && Position < 0)
			BuyMarket();
		else if (buyOpen && Position <= 0)
			BuyMarket();
		else if (sellOpen && Position >= 0)
			SellMarket();

		_prevPrevJma = _prevJma;
		_prevJma = jmaValue;
	}
}