N Candles シーケンス・エントリー戦略

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that opens positions after detecting N identical candles in a row.
/// Enters in the direction of the candle streak.
/// </summary>
public class NCandlesSequenceStrategy : Strategy
{
	private readonly StrategyParam<int> _consecutiveCandles;
	private readonly StrategyParam<DataType> _candleType;

	private int _consecutiveDirection;
	private int _consecutiveCount;

	/// <summary>
	/// Number of identical candles required before entering a trade.
	/// </summary>
	public int ConsecutiveCandles
	{
		get => _consecutiveCandles.Value;
		set => _consecutiveCandles.Value = value;
	}

	/// <summary>
	/// Candle type used for pattern detection.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public NCandlesSequenceStrategy()
	{
		_consecutiveCandles = Param(nameof(ConsecutiveCandles), 3)
			.SetGreaterThanZero()
			.SetDisplay("Consecutive Candles", "Number of identical candles in a row", "Entry")
			.SetOptimize(2, 6, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to analyze", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_consecutiveDirection = 0;
		_consecutiveCount = 0;
	}

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

		_consecutiveDirection = 0;
		_consecutiveCount = 0;

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

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

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

		var direction = GetCandleDirection(candle);

		if (direction == 0)
		{
			_consecutiveDirection = 0;
			_consecutiveCount = 0;
			return;
		}

		if (direction == _consecutiveDirection)
		{
			_consecutiveCount++;
		}
		else
		{
			_consecutiveDirection = direction;
			_consecutiveCount = 1;
		}

		if (_consecutiveCount < ConsecutiveCandles)
			return;

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

	private static int GetCandleDirection(ICandleMessage candle)
	{
		if (candle.ClosePrice > candle.OpenPrice)
			return 1;
		if (candle.ClosePrice < candle.OpenPrice)
			return -1;
		return 0;
	}
}

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
from StockSharp.Algo.Strategies import Strategy


class n_candles_sequence_strategy(Strategy):
    """Opens positions after detecting N identical-direction candles in a row."""

    def __init__(self):
        super(n_candles_sequence_strategy, self).__init__()

        self._consecutive = self.Param("ConsecutiveCandles", 3) \
            .SetGreaterThanZero() \
            .SetDisplay("Consecutive Candles", "Number of identical candles in a row", "Entry")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Type of candles to analyze", "General")

        self._direction = 0
        self._count = 0

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

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

        self._direction = 0
        self._count = 0

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self.process_candle).Start()

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

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

        d = 0
        if float(candle.ClosePrice) > float(candle.OpenPrice):
            d = 1
        elif float(candle.ClosePrice) < float(candle.OpenPrice):
            d = -1

        if d == 0:
            self._direction = 0
            self._count = 0
            return

        if d == self._direction:
            self._count += 1
        else:
            self._direction = d
            self._count = 1

        if self._count < self.ConsecutiveCandles:
            return

        if d > 0 and self.Position <= 0:
            self.BuyMarket()
        elif d < 0 and self.Position >= 0:
            self.SellMarket()

    def OnReseted(self):
        super(n_candles_sequence_strategy, self).OnReseted()
        self._direction = 0
        self._count = 0

    def CreateClone(self):
        return n_candles_sequence_strategy()