Up3x1動的ポジションサイジング戦略

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>
/// EMA triple crossover strategy converted from the MetaTrader 5 "up3x1" expert.
/// Uses three exponential moving averages with optional stop loss, take profit and trailing logic.
/// Position size is reduced after losing trades similar to the original lot optimization routine.
/// </summary>
public class Up3x1DynamicSizingStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _mediumPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _takeProfitOffset;
	private readonly StrategyParam<decimal> _stopLossOffset;
	private readonly StrategyParam<decimal> _trailingStopOffset;
	private readonly StrategyParam<decimal> _baseVolume;
	private readonly StrategyParam<decimal> _riskFraction;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _fastEma;
	private ExponentialMovingAverage _mediumEma;
	private ExponentialMovingAverage _slowEma;

	private bool _hasPrevValues;
	private decimal _prevFast;
	private decimal _prevMedium;
	private decimal _prevSlow;

	private decimal _entryPrice;
	private decimal _highestPrice;
	private decimal _lowestPrice;

	private int _losses;

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

	/// <summary>
	/// Medium EMA period.
	/// </summary>
	public int MediumPeriod
	{
		get => _mediumPeriod.Value;
		set => _mediumPeriod.Value = value;
	}

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

	/// <summary>
	/// Absolute price distance for take profit.
	/// </summary>
	public decimal TakeProfitOffset
	{
		get => _takeProfitOffset.Value;
		set => _takeProfitOffset.Value = value;
	}

	/// <summary>
	/// Absolute price distance for stop loss.
	/// </summary>
	public decimal StopLossOffset
	{
		get => _stopLossOffset.Value;
		set => _stopLossOffset.Value = value;
	}

	/// <summary>
	/// Absolute trailing stop distance.
	/// </summary>
	public decimal TrailingStopOffset
	{
		get => _trailingStopOffset.Value;
		set => _trailingStopOffset.Value = value;
	}

	/// <summary>
	/// Base volume used when dynamic sizing cannot be calculated.
	/// </summary>
	public decimal BaseVolume
	{
		get => _baseVolume.Value;
		set => _baseVolume.Value = value;
	}

	/// <summary>
	/// Fraction of portfolio value used for dynamic position sizing.
	/// </summary>
	public decimal RiskFraction
	{
		get => _riskFraction.Value;
		set => _riskFraction.Value = value;
	}

	/// <summary>
	/// Candle type to subscribe.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public Up3x1DynamicSizingStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 24)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Period of the fastest EMA", "Indicators");

		_mediumPeriod = Param(nameof(MediumPeriod), 60)
			.SetGreaterThanZero()
			.SetDisplay("Medium EMA", "Period of the middle EMA", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 120)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Period of the slowest EMA", "Indicators");

		_takeProfitOffset = Param(nameof(TakeProfitOffset), 0.015m)
			.SetDisplay("Take Profit", "Absolute take profit distance in price units", "Risk");

		_stopLossOffset = Param(nameof(StopLossOffset), 0.01m)
			.SetDisplay("Stop Loss", "Absolute stop loss distance in price units", "Risk");

		_trailingStopOffset = Param(nameof(TrailingStopOffset), 0.004m)
			.SetDisplay("Trailing", "Trailing stop distance that follows price", "Risk");

		_baseVolume = Param(nameof(BaseVolume), 0.1m)
			.SetDisplay("Base Volume", "Fallback trade volume if dynamic sizing fails", "Money Management");

		_riskFraction = Param(nameof(RiskFraction), 0.02m)
			.SetDisplay("Risk Fraction", "Fraction of portfolio value used for sizing", "Money Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle series used for calculations", "General");
	}

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

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

		Volume = BaseVolume;
		ResetState();
		_losses = 0;
		_hasPrevValues = false;
		_prevFast = 0m;
		_prevMedium = 0m;
		_prevSlow = 0m;
	}

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

		Volume = BaseVolume;

		_fastEma = new EMA
		{
			Length = FastPeriod
		};

		_mediumEma = new EMA
		{
			Length = MediumPeriod
		};

		_slowEma = new EMA
		{
			Length = SlowPeriod
		};

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(_fastEma, _mediumEma, _slowEma, ProcessCandle)
			.Start();

		StartProtection(null, null);
	}

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

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

		if (!_hasPrevValues)
		{
			_prevFast = fastValue;
			_prevMedium = mediumValue;
			_prevSlow = slowValue;
			_hasPrevValues = true;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevFast = fastValue;
			_prevMedium = mediumValue;
			_prevSlow = slowValue;
			return;
		}

		if (Position > 0)
		{
			if (TryHandleLongExit(candle, fastValue, mediumValue, slowValue))
			{
				_prevFast = fastValue;
				_prevMedium = mediumValue;
				_prevSlow = slowValue;
				return;
			}
		}
		else if (Position < 0)
		{
			if (TryHandleShortExit(candle, fastValue, mediumValue, slowValue))
			{
				_prevFast = fastValue;
				_prevMedium = mediumValue;
				_prevSlow = slowValue;
				return;
			}
		}
		else
		{
			var bullishSetup = _prevFast < _prevMedium && _prevMedium < _prevSlow && mediumValue < fastValue && fastValue < slowValue;
			var bearishSetup = _prevFast > _prevMedium && _prevMedium > _prevSlow && mediumValue > fastValue && fastValue > slowValue;

			if (bullishSetup)
			{
				TryEnterLong(candle);
			}
			else if (bearishSetup)
			{
				TryEnterShort(candle);
			}
		}

		_prevFast = fastValue;
		_prevMedium = mediumValue;
		_prevSlow = slowValue;
	}

	private void TryEnterLong(ICandleMessage candle)
	{
		var volume = CalculateOrderVolume();

		if (volume <= 0m)
		{
			LogInfo("Skipped long entry because calculated volume is below minimum.");
			return;
		}

		BuyMarket();

		_entryPrice = candle.ClosePrice;
		_highestPrice = candle.HighPrice;
		_lowestPrice = candle.LowPrice;

		LogInfo($"Enter long at {candle.ClosePrice} with volume {volume}. Loss counter: {_losses}.");
	}

	private void TryEnterShort(ICandleMessage candle)
	{
		var volume = CalculateOrderVolume();

		if (volume <= 0m)
		{
			LogInfo("Skipped short entry because calculated volume is below minimum.");
			return;
		}

		SellMarket();

		_entryPrice = candle.ClosePrice;
		_highestPrice = candle.HighPrice;
		_lowestPrice = candle.LowPrice;

		LogInfo($"Enter short at {candle.ClosePrice} with volume {volume}. Loss counter: {_losses}.");
	}

	private bool TryHandleLongExit(ICandleMessage candle, decimal fastValue, decimal mediumValue, decimal slowValue)
	{
		if (_entryPrice <= 0m)
			return false;

		var exitPrice = 0m;
		var reason = string.Empty;

		if (TakeProfitOffset > 0m)
		{
			var target = _entryPrice + TakeProfitOffset;
			if (candle.HighPrice >= target)
			{
				exitPrice = target;
				reason = "Take profit reached";
			}
		}

		if (exitPrice == 0m && StopLossOffset > 0m)
		{
			var stop = _entryPrice - StopLossOffset;
			if (candle.LowPrice <= stop)
			{
				exitPrice = stop;
				reason = "Stop loss triggered";
			}
		}

		_highestPrice = candle.HighPrice > _highestPrice ? candle.HighPrice : _highestPrice;

		if (exitPrice == 0m && TrailingStopOffset > 0m && _highestPrice - _entryPrice > TrailingStopOffset)
		{
			var trail = _highestPrice - TrailingStopOffset;
			if (candle.LowPrice <= trail)
			{
				exitPrice = trail;
				reason = "Trailing stop hit";
			}
		}

		if (exitPrice == 0m)
		{
			var reversal = _prevFast > _prevMedium && _prevMedium > _prevSlow && slowValue < fastValue && fastValue < mediumValue;
			if (reversal)
			{
				exitPrice = candle.ClosePrice;
				reason = "EMA reversal";
			}
		}

		if (exitPrice == 0m)
			return false;

		ExitPosition(exitPrice, reason);
		return true;
	}

	private bool TryHandleShortExit(ICandleMessage candle, decimal fastValue, decimal mediumValue, decimal slowValue)
	{
		if (_entryPrice <= 0m)
			return false;

		var exitPrice = 0m;
		var reason = string.Empty;

		if (TakeProfitOffset > 0m)
		{
			var target = _entryPrice - TakeProfitOffset;
			if (candle.LowPrice <= target)
			{
				exitPrice = target;
				reason = "Take profit reached";
			}
		}

		if (exitPrice == 0m && StopLossOffset > 0m)
		{
			var stop = _entryPrice + StopLossOffset;
			if (candle.HighPrice >= stop)
			{
				exitPrice = stop;
				reason = "Stop loss triggered";
			}
		}

		_lowestPrice = _lowestPrice == 0m || candle.LowPrice < _lowestPrice ? candle.LowPrice : _lowestPrice;

		if (exitPrice == 0m && TrailingStopOffset > 0m && _entryPrice - _lowestPrice > TrailingStopOffset)
		{
			var trail = _lowestPrice + TrailingStopOffset;
			if (candle.HighPrice >= trail)
			{
				exitPrice = trail;
				reason = "Trailing stop hit";
			}
		}

		if (exitPrice == 0m)
		{
			var reversal = _prevFast > _prevMedium && _prevMedium > _prevSlow && slowValue < fastValue && fastValue < mediumValue;
			if (reversal)
			{
				exitPrice = candle.ClosePrice;
				reason = "EMA reversal";
			}
		}

		if (exitPrice == 0m)
			return false;

		ExitPosition(exitPrice, reason);
		return true;
	}

	private void ExitPosition(decimal exitPrice, string reason)
	{
		var isLong = Position > 0;
		var volume = Math.Abs(Position);

		if (volume <= 0m)
			return;

		var pnl = isLong
			? (exitPrice - _entryPrice) * volume
			: (_entryPrice - exitPrice) * volume;

		if (isLong)
		{
			SellMarket();
		}
		else
		{
			BuyMarket();
		}

		LogInfo($"Exit {(isLong ? "long" : "short")} at {exitPrice} because {reason}. Approx PnL: {pnl}.");

		if (pnl < 0m)
			_losses++;

		ResetState();
	}

	private decimal CalculateOrderVolume()
	{
		var volume = 0m;

		var portfolioValue = Portfolio?.CurrentValue ?? 0m;

		if (portfolioValue > 0m && RiskFraction > 0m)
			volume = portfolioValue * RiskFraction / 1000m;

		if (volume <= 0m)
			volume = BaseVolume;

		if (_losses > 1)
		{
			var reduction = volume * _losses / 3m;
			volume -= reduction;

			if (volume <= 0m)
				volume = BaseVolume;
		}

		volume = AdjustVolumeToInstrument(volume);

		return volume;
	}

	private decimal AdjustVolumeToInstrument(decimal volume)
	{
		var security = Security;

		if (security == null)
			return volume;

		var step = security.VolumeStep ?? 0m;

		if (step > 0m)
			volume = Math.Floor(volume / step) * step;

		var minVolume = security.MinVolume ?? 0m;
		if (minVolume > 0m && volume < minVolume)
			return 0m;

		var maxVolume = security.MaxVolume ?? 0m;
		if (maxVolume > 0m && volume > maxVolume)
			volume = maxVolume;

		return volume;
	}

	private void ResetState()
	{
		_entryPrice = 0m;
		_highestPrice = 0m;
		_lowestPrice = 0m;
	}
}

import clr

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

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


class up3x1_dynamic_sizing_strategy(Strategy):
    def __init__(self):
        super(up3x1_dynamic_sizing_strategy, self).__init__()

        self._fast_period = self.Param("FastPeriod", 24)
        self._medium_period = self.Param("MediumPeriod", 60)
        self._slow_period = self.Param("SlowPeriod", 120)
        self._take_profit_offset = self.Param("TakeProfitOffset", 0.015)
        self._stop_loss_offset = self.Param("StopLossOffset", 0.01)
        self._trailing_stop_offset = self.Param("TrailingStopOffset", 0.004)
        self._base_volume = self.Param("BaseVolume", 0.1)
        self._risk_fraction = self.Param("RiskFraction", 0.02)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1)))

        self._has_prev_values = False
        self._prev_fast = 0.0
        self._prev_medium = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._highest_price = 0.0
        self._lowest_price = 0.0
        self._losses = 0

    @property
    def FastPeriod(self):
        return self._fast_period.Value

    @FastPeriod.setter
    def FastPeriod(self, value):
        self._fast_period.Value = value

    @property
    def MediumPeriod(self):
        return self._medium_period.Value

    @MediumPeriod.setter
    def MediumPeriod(self, value):
        self._medium_period.Value = value

    @property
    def SlowPeriod(self):
        return self._slow_period.Value

    @SlowPeriod.setter
    def SlowPeriod(self, value):
        self._slow_period.Value = value

    @property
    def TakeProfitOffset(self):
        return self._take_profit_offset.Value

    @TakeProfitOffset.setter
    def TakeProfitOffset(self, value):
        self._take_profit_offset.Value = value

    @property
    def StopLossOffset(self):
        return self._stop_loss_offset.Value

    @StopLossOffset.setter
    def StopLossOffset(self, value):
        self._stop_loss_offset.Value = value

    @property
    def TrailingStopOffset(self):
        return self._trailing_stop_offset.Value

    @TrailingStopOffset.setter
    def TrailingStopOffset(self, value):
        self._trailing_stop_offset.Value = value

    @property
    def BaseVolume(self):
        return self._base_volume.Value

    @BaseVolume.setter
    def BaseVolume(self, value):
        self._base_volume.Value = value

    @property
    def RiskFraction(self):
        return self._risk_fraction.Value

    @RiskFraction.setter
    def RiskFraction(self, value):
        self._risk_fraction.Value = value

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

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

    def OnStarted2(self, time):
        super(up3x1_dynamic_sizing_strategy, self).OnStarted2(time)

        self._has_prev_values = False
        self._prev_fast = 0.0
        self._prev_medium = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._highest_price = 0.0
        self._lowest_price = 0.0

        fast_ema = ExponentialMovingAverage()
        fast_ema.Length = self.FastPeriod
        medium_ema = ExponentialMovingAverage()
        medium_ema.Length = self.MediumPeriod
        slow_ema = ExponentialMovingAverage()
        slow_ema.Length = self.SlowPeriod

        self._fast_ema = fast_ema
        self._medium_ema = medium_ema
        self._slow_ema = slow_ema

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast_ema, medium_ema, slow_ema, self.ProcessCandle).Start()

        self.StartProtection(
            Unit(2000.0, UnitTypes.Absolute),
            Unit(1000.0, UnitTypes.Absolute))

    def ProcessCandle(self, candle, fast_value, medium_value, slow_value):
        if candle.State != CandleStates.Finished:
            return

        fast_val = float(fast_value)
        medium_val = float(medium_value)
        slow_val = float(slow_value)

        if not self._fast_ema.IsFormed or not self._medium_ema.IsFormed or not self._slow_ema.IsFormed:
            return

        if not self._has_prev_values:
            self._prev_fast = fast_val
            self._prev_medium = medium_val
            self._prev_slow = slow_val
            self._has_prev_values = True
            return

        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        tp_offset = float(self.TakeProfitOffset)
        sl_offset = float(self.StopLossOffset)
        trail_offset = float(self.TrailingStopOffset)

        if self.Position > 0:
            if self._try_handle_long_exit(candle, fast_val, medium_val, slow_val):
                self._prev_fast = fast_val
                self._prev_medium = medium_val
                self._prev_slow = slow_val
                return
        elif self.Position < 0:
            if self._try_handle_short_exit(candle, fast_val, medium_val, slow_val):
                self._prev_fast = fast_val
                self._prev_medium = medium_val
                self._prev_slow = slow_val
                return
        else:
            bullish_setup = (self._prev_fast < self._prev_medium and
                             self._prev_medium < self._prev_slow and
                             medium_val < fast_val and fast_val < slow_val)
            bearish_setup = (self._prev_fast > self._prev_medium and
                             self._prev_medium > self._prev_slow and
                             medium_val > fast_val and fast_val > slow_val)

            if bullish_setup:
                self.BuyMarket()
                self._entry_price = close
                self._highest_price = high
                self._lowest_price = low
            elif bearish_setup:
                self.SellMarket()
                self._entry_price = close
                self._highest_price = high
                self._lowest_price = low

        self._prev_fast = fast_val
        self._prev_medium = medium_val
        self._prev_slow = slow_val

    def _try_handle_long_exit(self, candle, fast_val, medium_val, slow_val):
        if self._entry_price <= 0.0:
            return False

        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        tp_offset = float(self.TakeProfitOffset)
        sl_offset = float(self.StopLossOffset)
        trail_offset = float(self.TrailingStopOffset)

        exit_price = 0.0

        if tp_offset > 0.0:
            target = self._entry_price + tp_offset
            if high >= target:
                exit_price = target

        if exit_price == 0.0 and sl_offset > 0.0:
            stop = self._entry_price - sl_offset
            if low <= stop:
                exit_price = stop

        if high > self._highest_price:
            self._highest_price = high

        if exit_price == 0.0 and trail_offset > 0.0 and self._highest_price - self._entry_price > trail_offset:
            trail = self._highest_price - trail_offset
            if low <= trail:
                exit_price = trail

        if exit_price == 0.0:
            reversal = (self._prev_fast > self._prev_medium and
                        self._prev_medium > self._prev_slow and
                        slow_val < fast_val and fast_val < medium_val)
            if reversal:
                exit_price = close

        if exit_price == 0.0:
            return False

        self._exit_position(exit_price)
        return True

    def _try_handle_short_exit(self, candle, fast_val, medium_val, slow_val):
        if self._entry_price <= 0.0:
            return False

        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        tp_offset = float(self.TakeProfitOffset)
        sl_offset = float(self.StopLossOffset)
        trail_offset = float(self.TrailingStopOffset)

        exit_price = 0.0

        if tp_offset > 0.0:
            target = self._entry_price - tp_offset
            if low <= target:
                exit_price = target

        if exit_price == 0.0 and sl_offset > 0.0:
            stop = self._entry_price + sl_offset
            if high >= stop:
                exit_price = stop

        if self._lowest_price == 0.0 or low < self._lowest_price:
            self._lowest_price = low

        if exit_price == 0.0 and trail_offset > 0.0 and self._entry_price - self._lowest_price > trail_offset:
            trail = self._lowest_price + trail_offset
            if high >= trail:
                exit_price = trail

        if exit_price == 0.0:
            reversal = (self._prev_fast > self._prev_medium and
                        self._prev_medium > self._prev_slow and
                        slow_val < fast_val and fast_val < medium_val)
            if reversal:
                exit_price = close

        if exit_price == 0.0:
            return False

        self._exit_position(exit_price)
        return True

    def _exit_position(self, exit_price):
        is_long = self.Position > 0

        if is_long:
            pnl = exit_price - self._entry_price
            self.SellMarket()
        else:
            pnl = self._entry_price - exit_price
            self.BuyMarket()

        if pnl < 0.0:
            self._losses += 1

        self._entry_price = 0.0
        self._highest_price = 0.0
        self._lowest_price = 0.0

    def OnReseted(self):
        super(up3x1_dynamic_sizing_strategy, self).OnReseted()
        self._has_prev_values = False
        self._prev_fast = 0.0
        self._prev_medium = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._highest_price = 0.0
        self._lowest_price = 0.0
        self._losses = 0

    def CreateClone(self):
        return up3x1_dynamic_sizing_strategy()