二重MA四段階戦略

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>
/// Two smoothed moving average crossover strategy with level offsets.
/// </summary>
public class TwoMaFourLevelStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _mostTopLevel;
	private readonly StrategyParam<int> _topLevel;
	private readonly StrategyParam<int> _lowerLevel;
	private readonly StrategyParam<int> _lowermostLevel;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<DataType> _candleType;

	private SmoothedMovingAverage _fastMa = null!;
	private SmoothedMovingAverage _slowMa = null!;
	private decimal? _prevFast;
	private decimal? _prevSlow;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int MostTopLevel { get => _mostTopLevel.Value; set => _mostTopLevel.Value = value; }
	public int TopLevel { get => _topLevel.Value; set => _topLevel.Value = value; }
	public int LowerLevel { get => _lowerLevel.Value; set => _lowerLevel.Value = value; }
	public int LowermostLevel { get => _lowermostLevel.Value; set => _lowermostLevel.Value = value; }
	public int TakeProfitPips { get => _takeProfitPips.Value; set => _takeProfitPips.Value = value; }
	public int StopLossPips { get => _stopLossPips.Value; set => _stopLossPips.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TwoMaFourLevelStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Period of the fast smoothed MA", "Moving Averages")
			.SetOptimize(20, 150, 5);

		_slowPeriod = Param(nameof(SlowPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Period of the slow smoothed MA", "Moving Averages")
			.SetOptimize(60, 300, 5);

		_mostTopLevel = Param(nameof(MostTopLevel), 2)
			.SetGreaterThanZero()
			.SetDisplay("Extreme Upper Level", "Highest positive offset in points", "Levels");

		_topLevel = Param(nameof(TopLevel), 1)
			.SetGreaterThanZero()
			.SetDisplay("Upper Level", "Second positive offset in points", "Levels");

		_lowerLevel = Param(nameof(LowerLevel), 1)
			.SetGreaterThanZero()
			.SetDisplay("Lower Level", "Second negative offset in points", "Levels");

		_lowermostLevel = Param(nameof(LowermostLevel), 2)
			.SetGreaterThanZero()
			.SetDisplay("Extreme Lower Level", "Largest negative offset in points", "Levels");

		_takeProfitPips = Param(nameof(TakeProfitPips), 500)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit (pips)", "Distance to take profit", "Risk");

		_stopLossPips = Param(nameof(StopLossPips), 1000)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss (pips)", "Distance to stop loss", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Time frame for analysis", "General");
	}

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

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

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

		if (FastPeriod >= SlowPeriod)
		{
			this.LogError("FastPeriod must be less than SlowPeriod.");
			Stop();
			return;
		}

		if (MostTopLevel <= TopLevel)
		{
			this.LogError("MostTopLevel must be greater than TopLevel.");
			Stop();
			return;
		}

		if (LowerLevel >= LowermostLevel)
		{
			this.LogError("LowerLevel must be less than LowermostLevel.");
			Stop();
			return;
		}

		_fastMa = new SmoothedMovingAverage { Length = FastPeriod };
		_slowMa = new SmoothedMovingAverage { Length = SlowPeriod };

		var pip = Security?.PriceStep ?? 1m;

		StartProtection(
			takeProfit: new Unit(TakeProfitPips * pip, UnitTypes.Absolute),
			stopLoss: new Unit(StopLossPips * pip, UnitTypes.Absolute));

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

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

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

		if (_prevFast is null || _prevSlow is null)
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		var pip = Security?.PriceStep ?? 0.05m;
		var signal = GetSignal(fast, slow, _prevFast.Value, _prevSlow.Value, pip);

		if (signal > 0)
		{
			if (Position < 0)
				BuyMarket();
			if (Position <= 0)
				BuyMarket();
		}
		else if (signal < 0)
		{
			if (Position > 0)
				SellMarket();
			if (Position >= 0)
				SellMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
	}

	private int GetSignal(decimal fast, decimal slow, decimal prevFast, decimal prevSlow, decimal pip)
	{
		if (IsCrossUp(prevFast, fast, prevSlow, slow, 0m) ||
			IsCrossUp(prevFast, fast, prevSlow, slow, MostTopLevel * pip) ||
			IsCrossUp(prevFast, fast, prevSlow, slow, TopLevel * pip) ||
			IsCrossUp(prevFast, fast, prevSlow, slow, -LowermostLevel * pip) ||
			IsCrossUp(prevFast, fast, prevSlow, slow, -LowerLevel * pip))
		{
			return 1;
		}

		if (IsCrossDown(prevFast, fast, prevSlow, slow, 0m) ||
			IsCrossDown(prevFast, fast, prevSlow, slow, MostTopLevel * pip) ||
			IsCrossDown(prevFast, fast, prevSlow, slow, TopLevel * pip) ||
			IsCrossDown(prevFast, fast, prevSlow, slow, -LowermostLevel * pip) ||
			IsCrossDown(prevFast, fast, prevSlow, slow, -LowerLevel * pip))
		{
			return -1;
		}

		return 0;
	}

	private static bool IsCrossUp(decimal prevFast, decimal fast, decimal prevSlow, decimal slow, decimal offset)
	{
		var prevSlowShifted = prevSlow + offset;
		var slowShifted = slow + offset;
		return prevFast <= prevSlowShifted && fast > slowShifted;
	}

	private static bool IsCrossDown(decimal prevFast, decimal fast, decimal prevSlow, decimal slow, decimal offset)
	{
		var prevSlowShifted = prevSlow + offset;
		var slowShifted = slow + offset;
		return prevFast >= prevSlowShifted && fast < slowShifted;
	}
}

import clr

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

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates, Unit, UnitTypes
from StockSharp.Algo.Indicators import SmoothedMovingAverage
from StockSharp.Algo.Strategies import Strategy


class two_ma_four_level_strategy(Strategy):
    def __init__(self):
        super(two_ma_four_level_strategy, self).__init__()
        self._fast_period = self.Param("FastPeriod", 10)
        self._slow_period = self.Param("SlowPeriod", 30)
        self._most_top = self.Param("MostTopLevel", 2)
        self._top = self.Param("TopLevel", 1)
        self._lower = self.Param("LowerLevel", 1)
        self._lowermost = self.Param("LowermostLevel", 2)
        self._tp = self.Param("TakeProfitPips", 500)
        self._sl = self.Param("StopLossPips", 1000)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15)))

        self._prev_fast = None
        self._prev_slow = None

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    def OnReseted(self):
        super(two_ma_four_level_strategy, self).OnReseted()
        self._prev_fast = None
        self._prev_slow = None

    def OnStarted2(self, time):
        super(two_ma_four_level_strategy, self).OnStarted2(time)
        self._prev_fast = None
        self._prev_slow = None

        fast_ma = SmoothedMovingAverage()
        fast_ma.Length = int(self._fast_period.Value)
        slow_ma = SmoothedMovingAverage()
        slow_ma.Length = int(self._slow_period.Value)

        sec = self.Security
        pip = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None else 1.0

        tp_pips = int(self._tp.Value)
        sl_pips = int(self._sl.Value)
        self.StartProtection(
            Unit(tp_pips * pip, UnitTypes.Absolute),
            Unit(sl_pips * pip, UnitTypes.Absolute))

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast_ma, slow_ma, self.OnProcess).Start()

    def OnProcess(self, candle, fast_val, slow_val):
        if candle.State != CandleStates.Finished:
            return

        fv = float(fast_val)
        sv = float(slow_val)

        if self._prev_fast is None or self._prev_slow is None:
            self._prev_fast = fv
            self._prev_slow = sv
            return

        sec = self.Security
        pip = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None else 0.05

        pf = self._prev_fast
        ps = self._prev_slow
        most_top = int(self._most_top.Value) * pip
        top = int(self._top.Value) * pip
        lower = int(self._lower.Value) * pip
        lowermost = int(self._lowermost.Value) * pip

        buy_signal = (self._is_cross_up(pf, fv, ps, sv, 0) or
                      self._is_cross_up(pf, fv, ps, sv, most_top) or
                      self._is_cross_up(pf, fv, ps, sv, top) or
                      self._is_cross_up(pf, fv, ps, sv, -lowermost) or
                      self._is_cross_up(pf, fv, ps, sv, -lower))

        sell_signal = (self._is_cross_down(pf, fv, ps, sv, 0) or
                       self._is_cross_down(pf, fv, ps, sv, most_top) or
                       self._is_cross_down(pf, fv, ps, sv, top) or
                       self._is_cross_down(pf, fv, ps, sv, -lowermost) or
                       self._is_cross_down(pf, fv, ps, sv, -lower))

        if buy_signal:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
        elif sell_signal:
            if self.Position > 0:
                self.SellMarket()
            if self.Position >= 0:
                self.SellMarket()

        self._prev_fast = fv
        self._prev_slow = sv

    def _is_cross_up(self, prev_fast, fast, prev_slow, slow, offset):
        return prev_fast <= prev_slow + offset and fast > slow + offset

    def _is_cross_down(self, prev_fast, fast, prev_slow, slow, offset):
        return prev_fast >= prev_slow + offset and fast < slow + offset

    def CreateClone(self):
        return two_ma_four_level_strategy()