RSIボリンジャーフラクタルブレイクアウト戦略

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;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that combines RSI-based Bollinger Bands with fractal breakouts and Parabolic SAR trailing.
/// </summary>
public class RsiBollingerFractalBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _bandsPeriod;
	private readonly StrategyParam<decimal> _bandsDeviation;
	private readonly StrategyParam<decimal> _sarStep;
	private readonly StrategyParam<decimal> _sarMax;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _indentPips;
	private readonly StrategyParam<decimal> _rsiUpper;
	private readonly StrategyParam<decimal> _rsiLower;
	private readonly StrategyParam<decimal> _sarTrailingPips;
	private readonly StrategyParam<DataType> _candleType;
	
	private RelativeStrengthIndex _rsi = null!;
	private BollingerBands _bollinger = null!;
	private ParabolicSar _parabolicSar = null!;
	
	private Order _buyStopOrder;
	private Order _sellStopOrder;
	
	private decimal? _pendingLongEntry;
	private decimal? _pendingLongStop;
	private decimal? _pendingLongTake;
	private decimal? _pendingShortEntry;
	private decimal? _pendingShortStop;
	private decimal? _pendingShortTake;
	
	private decimal? _longStopPrice;
	private decimal? _longTakeProfit;
	private decimal? _shortStopPrice;
	private decimal? _shortTakeProfit;
	
	private decimal _pipSize;
	private decimal _previousPosition;
	
	private decimal _h1;
	private decimal _h2;
	private decimal _h3;
	private decimal _h4;
	private decimal _h5;
	private decimal _l1;
	private decimal _l2;
	private decimal _l3;
	private decimal _l4;
	private decimal _l5;
	private int _fractalCount;
	
	/// <summary>
	/// RSI averaging period.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}
	
	/// <summary>
	/// Bollinger Bands period applied to RSI values.
	/// </summary>
	public int BandsPeriod
	{
		get => _bandsPeriod.Value;
		set => _bandsPeriod.Value = value;
	}
	
	/// <summary>
	/// Bollinger Bands standard deviation multiplier.
	/// </summary>
	public decimal BandsDeviation
	{
		get => _bandsDeviation.Value;
		set => _bandsDeviation.Value = value;
	}
	
	/// <summary>
	/// Parabolic SAR acceleration step.
	/// </summary>
	public decimal SarStep
	{
		get => _sarStep.Value;
		set => _sarStep.Value = value;
	}
	
	/// <summary>
	/// Parabolic SAR maximum acceleration.
	/// </summary>
	public decimal SarMax
	{
		get => _sarMax.Value;
		set => _sarMax.Value = value;
	}
	
	/// <summary>
	/// Take profit distance in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}
	
	/// <summary>
	/// Stop loss distance in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}
	
	/// <summary>
	/// Offset added to the fractal breakout level in pips.
	/// </summary>
	public decimal IndentPips
	{
		get => _indentPips.Value;
		set => _indentPips.Value = value;
	}
	
	/// <summary>
	/// RSI upper threshold used to cancel sell stops.
	/// </summary>
	public decimal RsiUpper
	{
		get => _rsiUpper.Value;
		set => _rsiUpper.Value = value;
	}
	
	/// <summary>
	/// RSI lower threshold used to cancel buy stops.
	/// </summary>
	public decimal RsiLower
	{
		get => _rsiLower.Value;
		set => _rsiLower.Value = value;
	}
	
	/// <summary>
	/// Additional distance required between Parabolic SAR and price in pips before trailing.
	/// </summary>
	public decimal SarTrailingPips
	{
		get => _sarTrailingPips.Value;
		set => _sarTrailingPips.Value = value;
	}
	
	/// <summary>
	/// Candle data type to subscribe.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Initialize <see cref="RsiBollingerFractalBreakoutStrategy"/>.
	/// </summary>
	public RsiBollingerFractalBreakoutStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 8)
			.SetDisplay("RSI Period", "RSI averaging period", "RSI")
			.SetGreaterThanZero();
		
		_bandsPeriod = Param(nameof(BandsPeriod), 10)
			.SetDisplay("Bollinger Period", "RSI Bollinger period", "Bollinger")
			.SetGreaterThanZero();
		
		_bandsDeviation = Param(nameof(BandsDeviation), 1m)
			.SetDisplay("Bollinger Deviation", "Standard deviations on RSI", "Bollinger")
			.SetGreaterThanZero();
		
		_sarStep = Param(nameof(SarStep), 0.003m)
			.SetDisplay("SAR Step", "Parabolic SAR acceleration step", "Parabolic SAR")
			.SetGreaterThanZero();
		
		_sarMax = Param(nameof(SarMax), 0.2m)
			.SetDisplay("SAR Max", "Parabolic SAR maximum acceleration", "Parabolic SAR")
			.SetGreaterThanZero();
		
		_takeProfitPips = Param(nameof(TakeProfitPips), 50m)
			.SetDisplay("Take Profit (pips)", "Take profit distance", "Risk");
		
		_stopLossPips = Param(nameof(StopLossPips), 135m)
			.SetDisplay("Stop Loss (pips)", "Stop loss distance", "Risk");
		
		_indentPips = Param(nameof(IndentPips), 15m)
			.SetDisplay("Indent (pips)", "Offset from fractal breakout", "Entries");
		
		_rsiUpper = Param(nameof(RsiUpper), 75m)
			.SetDisplay("RSI Upper", "Overbought threshold", "RSI");

		_rsiLower = Param(nameof(RsiLower), 25m)
			.SetDisplay("RSI Lower", "Oversold threshold", "RSI");
		
		_sarTrailingPips = Param(nameof(SarTrailingPips), 10m)
			.SetDisplay("SAR Trailing (pips)", "Extra distance before SAR trailing", "Risk");
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for analysis", "General");
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_rsi = null!;
		_bollinger = null!;
		_parabolicSar = null!;
		_buyStopOrder = null;
		_sellStopOrder = null;
		_pendingLongEntry = null;
		_pendingLongStop = null;
		_pendingLongTake = null;
		_pendingShortEntry = null;
		_pendingShortStop = null;
		_pendingShortTake = null;
		_longStopPrice = null;
		_longTakeProfit = null;
		_shortStopPrice = null;
		_shortTakeProfit = null;
		_pipSize = 0m;
		_previousPosition = 0m;
		_h1 = 0m; _h2 = 0m; _h3 = 0m; _h4 = 0m; _h5 = 0m;
		_l1 = 0m; _l2 = 0m; _l3 = 0m; _l4 = 0m; _l5 = 0m;
		_fractalCount = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		
		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_bollinger = new BollingerBands { Length = BandsPeriod, Width = BandsDeviation };
		_parabolicSar = new ParabolicSar
		{
			AccelerationStep = SarStep,
			AccelerationMax = SarMax
		};

		_pipSize = GetPipSize();
		if (_pipSize <= 0m)
			_pipSize = Security?.PriceStep ?? 1m;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();
		
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _rsi);
			DrawIndicator(area, _bollinger);
			DrawIndicator(area, _parabolicSar);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var rsiResult = _rsi.Process(new DecimalIndicatorValue(_rsi, candle.ClosePrice, candle.OpenTime) { IsFinal = true });
		var sarResult = _parabolicSar.Process(new CandleIndicatorValue(_parabolicSar, candle));
		var sarValue = (_parabolicSar.IsFormed && !sarResult.IsEmpty) ? sarResult.ToDecimal() : candle.ClosePrice;

		if (!_rsi.IsFormed)
		{
			UpdateFractals(candle);
			UpdateTrailingAndExits(candle, sarValue);
			return;
		}

		var rsiValue = rsiResult.ToDecimal();

		UpdateFractals(candle);
		UpdateTrailingAndExits(candle, sarValue);

		// Buy when RSI is above upper threshold (bullish momentum)
		if (rsiValue > RsiUpper && Position <= 0)
		{
			var entryPrice = candle.ClosePrice;
			var stopPrice = StopLossPips > 0m ? NormalizePrice(entryPrice - StopLossPips * _pipSize) : (decimal?)null;
			var takePrice = TakeProfitPips > 0m ? NormalizePrice(entryPrice + TakeProfitPips * _pipSize) : (decimal?)null;

			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_longStopPrice = stopPrice;
			_longTakeProfit = takePrice;
		}
		// Sell when RSI is below lower threshold (bearish momentum)
		else if (rsiValue < RsiLower && Position >= 0)
		{
			var entryPrice = candle.ClosePrice;
			var stopPrice = StopLossPips > 0m ? NormalizePrice(entryPrice + StopLossPips * _pipSize) : (decimal?)null;
			var takePrice = TakeProfitPips > 0m ? NormalizePrice(entryPrice - TakeProfitPips * _pipSize) : (decimal?)null;

			if (Position > 0)
				SellMarket();
			SellMarket();
			_shortStopPrice = stopPrice;
			_shortTakeProfit = takePrice;
		}
	}
	
	private void UpdateFractals(ICandleMessage candle)
	{
		_h1 = _h2;
		_h2 = _h3;
		_h3 = _h4;
		_h4 = _h5;
		_h5 = candle.HighPrice;
		
		_l1 = _l2;
		_l2 = _l3;
		_l3 = _l4;
		_l4 = _l5;
		_l5 = candle.LowPrice;
		
		if (_fractalCount < 5)
			_fractalCount++;
	}
	
	private decimal? DetectUpperFractal()
	{
		if (_fractalCount < 5)
			return null;
		
		return _h3 > _h1 && _h3 > _h2 && _h3 > _h4 && _h3 > _h5 ? _h3 : null;
	}
	
	private decimal? DetectLowerFractal()
	{
		if (_fractalCount < 5)
			return null;
		
		return _l3 < _l1 && _l3 < _l2 && _l3 < _l4 && _l3 < _l5 ? _l3 : null;
	}
	
	private void UpdateTrailingAndExits(ICandleMessage candle, decimal sarValue)
	{
		if (Position > 0)
		{
			if (_longTakeProfit is decimal tp && candle.HighPrice >= tp)
			{
				SellMarket();
				return;
			}
			
			if (_longStopPrice is decimal sl && candle.LowPrice <= sl)
			{
				SellMarket();
				return;
			}
			
			if (SarTrailingPips > 0m)
			{
				var trailingDistance = SarTrailingPips * _pipSize;
				if (sarValue < candle.ClosePrice - trailingDistance)
				{
					if (_longStopPrice is null || sarValue > _longStopPrice.Value)
					_longStopPrice = NormalizePrice(sarValue);
				}
			}
		}
		else if (Position < 0)
		{
			if (_shortTakeProfit is decimal tp && candle.LowPrice <= tp)
			{
				BuyMarket();
				return;
			}
			
			if (_shortStopPrice is decimal sl && candle.HighPrice >= sl)
			{
				BuyMarket();
				return;
			}
			
			if (SarTrailingPips > 0m)
			{
				var trailingDistance = SarTrailingPips * _pipSize;
				if (sarValue > candle.ClosePrice + trailingDistance)
				{
					if (_shortStopPrice is null || sarValue < _shortStopPrice.Value)
					_shortStopPrice = NormalizePrice(sarValue);
				}
			}
		}
	}
	
	/// <inheritdoc />
	protected override void OnPositionReceived(Position position)
	{
		base.OnPositionReceived(position);
		
		var delta = Position - _previousPosition;
		_previousPosition = Position;

		if (Position == 0)
		{
			_longStopPrice = null;
			_longTakeProfit = null;
			_shortStopPrice = null;
			_shortTakeProfit = null;
			_pendingLongEntry = null;
			_pendingLongStop = null;
			_pendingLongTake = null;
			_pendingShortEntry = null;
			_pendingShortStop = null;
			_pendingShortTake = null;
			return;
		}

		if (delta > 0 && Position > 0)
		{
			if (_pendingLongEntry is decimal)
			{
				_longStopPrice = _pendingLongStop;
				_longTakeProfit = _pendingLongTake;
			}
			
			CancelSellStop();
			_buyStopOrder = null;
			_pendingLongEntry = null;
			_pendingLongStop = null;
			_pendingLongTake = null;
		}
		else if (delta < 0 && Position < 0)
		{
			if (_pendingShortEntry is decimal)
			{
				_shortStopPrice = _pendingShortStop;
				_shortTakeProfit = _pendingShortTake;
			}
			
			CancelBuyStop();
			_sellStopOrder = null;
			_pendingShortEntry = null;
			_pendingShortStop = null;
			_pendingShortTake = null;
		}
	}
	
	private void CancelBuyStop()
	{
		if (_buyStopOrder != null && _buyStopOrder.State == OrderStates.Active)
			{} // CancelOrder not available
		
		_buyStopOrder = null;
		_pendingLongEntry = null;
		_pendingLongStop = null;
		_pendingLongTake = null;
	}
	
	private void CancelSellStop()
	{
		if (_sellStopOrder != null && _sellStopOrder.State == OrderStates.Active)
			{} // CancelOrder not available
		
		_sellStopOrder = null;
		_pendingShortEntry = null;
		_pendingShortStop = null;
		_pendingShortTake = null;
	}
	
	private decimal GetPipSize()
	{
		var step = Security?.PriceStep ?? 0m;
		if (step <= 0m)
			return 0m;
		
		var temp = step;
		var decimals = 0;
		while (temp != Math.Truncate(temp) && decimals < 10)
		{
			temp *= 10m;
			decimals++;
		}
		
		return decimals == 3 || decimals == 5 ? step * 10m : step;
	}
	
	private decimal NormalizePrice(decimal price)
	{
		var step = Security?.PriceStep ?? 0m;
		if (step <= 0m)
			return price;
		
		var steps = decimal.Round(price / step, 0, MidpointRounding.AwayFromZero);
		return steps * step;
	}
}

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
from StockSharp.Algo.Indicators import RelativeStrengthIndex, ParabolicSar, CandleIndicatorValue
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class rsi_bollinger_fractal_breakout_strategy(Strategy):
    def __init__(self):
        super(rsi_bollinger_fractal_breakout_strategy, self).__init__()
        self._rsi_period = self.Param("RsiPeriod", 8).SetGreaterThanZero().SetDisplay("RSI Period", "RSI lookback", "RSI")
        self._rsi_upper = self.Param("RsiUpper", 75.0).SetDisplay("RSI Upper", "Overbought threshold", "RSI")
        self._rsi_lower = self.Param("RsiLower", 25.0).SetDisplay("RSI Lower", "Oversold threshold", "RSI")
        self._sl_pips = self.Param("StopLossPips", 135.0).SetDisplay("Stop Loss (pips)", "SL distance", "Risk")
        self._tp_pips = self.Param("TakeProfitPips", 50.0).SetDisplay("Take Profit (pips)", "TP distance", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))).SetDisplay("Candle Type", "Timeframe", "General")

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

    def OnReseted(self):
        super(rsi_bollinger_fractal_breakout_strategy, self).OnReseted()
        self._long_stop = None
        self._long_tp = None
        self._short_stop = None
        self._short_tp = None

    def OnStarted2(self, time):
        super(rsi_bollinger_fractal_breakout_strategy, self).OnStarted2(time)
        self._long_stop = None
        self._long_tp = None
        self._short_stop = None
        self._short_tp = None
        self._pip_size = 1.0
        if self.Security is not None and self.Security.PriceStep is not None and self.Security.PriceStep > 0:
            self._pip_size = float(self.Security.PriceStep)

        rsi = RelativeStrengthIndex()
        rsi.Length = self._rsi_period.Value

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(rsi, self.OnProcess).Start()

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

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

        close = candle.ClosePrice
        sl_dist = self._sl_pips.Value * self._pip_size
        tp_dist = self._tp_pips.Value * self._pip_size

        # Manage existing position
        if self.Position > 0:
            if self._long_tp is not None and candle.HighPrice >= self._long_tp:
                self.SellMarket()
                self._long_stop = None
                self._long_tp = None
                return
            if self._long_stop is not None and candle.LowPrice <= self._long_stop:
                self.SellMarket()
                self._long_stop = None
                self._long_tp = None
                return
        elif self.Position < 0:
            if self._short_tp is not None and candle.LowPrice <= self._short_tp:
                self.BuyMarket()
                self._short_stop = None
                self._short_tp = None
                return
            if self._short_stop is not None and candle.HighPrice >= self._short_stop:
                self.BuyMarket()
                self._short_stop = None
                self._short_tp = None
                return

        # Entry signals
        if rsi_val > self._rsi_upper.Value and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._long_stop = close - sl_dist if self._sl_pips.Value > 0 else None
            self._long_tp = close + tp_dist if self._tp_pips.Value > 0 else None
        elif rsi_val < self._rsi_lower.Value and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._short_stop = close + sl_dist if self._sl_pips.Value > 0 else None
            self._short_tp = close - tp_dist if self._tp_pips.Value > 0 else None

    def CreateClone(self):
        return rsi_bollinger_fractal_breakout_strategy()