エキスパート RSI Stochastic MA 戦略

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>
/// Combines an SMA trend filter with RSI and Stochastic oscillators.
/// Enters long when price is above SMA, RSI is oversold and Stochastic is oversold.
/// Enters short when price is below SMA, RSI is overbought and Stochastic is overbought.
/// </summary>
public class ExpertRsiStochasticMaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiUpperLevel;
	private readonly StrategyParam<decimal> _rsiLowerLevel;
	private readonly StrategyParam<int> _stochKPeriod;
	private readonly StrategyParam<int> _stochDPeriod;
	private readonly StrategyParam<decimal> _stochUpperLevel;
	private readonly StrategyParam<decimal> _stochLowerLevel;
	private readonly StrategyParam<int> _maPeriod;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public decimal RsiUpperLevel
	{
		get => _rsiUpperLevel.Value;
		set => _rsiUpperLevel.Value = value;
	}

	public decimal RsiLowerLevel
	{
		get => _rsiLowerLevel.Value;
		set => _rsiLowerLevel.Value = value;
	}

	public int StochKPeriod
	{
		get => _stochKPeriod.Value;
		set => _stochKPeriod.Value = value;
	}

	public int StochDPeriod
	{
		get => _stochDPeriod.Value;
		set => _stochDPeriod.Value = value;
	}

	public decimal StochUpperLevel
	{
		get => _stochUpperLevel.Value;
		set => _stochUpperLevel.Value = value;
	}

	public decimal StochLowerLevel
	{
		get => _stochLowerLevel.Value;
		set => _stochLowerLevel.Value = value;
	}

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	public ExpertRsiStochasticMaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Time frame used for calculations", "General");

		_rsiPeriod = Param(nameof(RsiPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Number of bars for RSI", "RSI");

		_rsiUpperLevel = Param(nameof(RsiUpperLevel), 80m)
			.SetDisplay("RSI Overbought", "Upper RSI threshold", "RSI");

		_rsiLowerLevel = Param(nameof(RsiLowerLevel), 20m)
			.SetDisplay("RSI Oversold", "Lower RSI threshold", "RSI");

		_stochKPeriod = Param(nameof(StochKPeriod), 6)
			.SetGreaterThanZero()
			.SetDisplay("%K Period", "Length of Stochastic %K", "Stochastic");

		_stochDPeriod = Param(nameof(StochDPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("%D Period", "Length of Stochastic %D", "Stochastic");

		_stochUpperLevel = Param(nameof(StochUpperLevel), 70m)
			.SetDisplay("Stoch Overbought", "Upper Stochastic threshold", "Stochastic");

		_stochLowerLevel = Param(nameof(StochLowerLevel), 30m)
			.SetDisplay("Stoch Oversold", "Lower Stochastic threshold", "Stochastic");

		_maPeriod = Param(nameof(MaPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Length of moving average", "Moving Average");
	}

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

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

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

		var sma = new SMA { Length = MaPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var stoch = new StochasticOscillator();
		stoch.K.Length = StochKPeriod;
		stoch.D.Length = StochDPeriod;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(sma, rsi, stoch, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue smaValue, IIndicatorValue rsiValue, IIndicatorValue stochValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!smaValue.IsFinal || !rsiValue.IsFinal || !stochValue.IsFinal)
			return;

		var sma = smaValue.IsEmpty ? (decimal?)null : smaValue.GetValue<decimal>();
		var rsiVal = rsiValue.IsEmpty ? (decimal?)null : rsiValue.GetValue<decimal>();

		if (sma is not decimal smaDecimal || rsiVal is not decimal rsiDecimal)
			return;

		var stoch = (StochasticOscillatorValue)stochValue;
		if (stoch.K is not decimal stochK || stoch.D is not decimal stochD)
			return;

		var price = candle.ClosePrice;

		// Long entry: price above SMA, RSI oversold, Stochastic oversold
		if (price > smaDecimal && rsiDecimal < RsiLowerLevel && stochK < StochLowerLevel && stochD < StochLowerLevel)
		{
			if (Position <= 0)
				BuyMarket();
		}
		// Short entry: price below SMA, RSI overbought, Stochastic overbought
		else if (price < smaDecimal && rsiDecimal > RsiUpperLevel && stochK > StochUpperLevel && stochD > StochUpperLevel)
		{
			if (Position >= 0)
				SellMarket();
		}
		// Exit long: Stochastic overbought
		else if (Position > 0 && stochK > StochUpperLevel)
		{
			SellMarket();
		}
		// Exit short: Stochastic oversold
		else if (Position < 0 && stochK < StochLowerLevel)
		{
			BuyMarket();
		}
	}
}

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
from StockSharp.Algo.Indicators import (
    SimpleMovingAverage, RelativeStrengthIndex, StochasticOscillator
)


class expert_rsi_stochastic_ma_strategy(Strategy):
    """SMA trend filter + RSI + Stochastic oscillator combined strategy."""

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Time frame for calculations", "General")
        self._rsi_period = self.Param("RsiPeriod", 3) \
            .SetGreaterThanZero() \
            .SetDisplay("RSI Period", "Number of bars for RSI", "RSI")
        self._rsi_upper = self.Param("RsiUpperLevel", 80.0) \
            .SetDisplay("RSI Overbought", "Upper RSI threshold", "RSI")
        self._rsi_lower = self.Param("RsiLowerLevel", 20.0) \
            .SetDisplay("RSI Oversold", "Lower RSI threshold", "RSI")
        self._stoch_k = self.Param("StochKPeriod", 6) \
            .SetGreaterThanZero() \
            .SetDisplay("%K Period", "Length of Stochastic %K", "Stochastic")
        self._stoch_d = self.Param("StochDPeriod", 3) \
            .SetGreaterThanZero() \
            .SetDisplay("%D Period", "Length of Stochastic %D", "Stochastic")
        self._stoch_upper = self.Param("StochUpperLevel", 70.0) \
            .SetDisplay("Stoch Overbought", "Upper Stochastic threshold", "Stochastic")
        self._stoch_lower = self.Param("StochLowerLevel", 30.0) \
            .SetDisplay("Stoch Oversold", "Lower Stochastic threshold", "Stochastic")
        self._ma_period = self.Param("MaPeriod", 50) \
            .SetGreaterThanZero() \
            .SetDisplay("MA Period", "Length of moving average", "Moving Average")

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def RsiPeriod(self):
        return self._rsi_period.Value
    @property
    def RsiUpperLevel(self):
        return self._rsi_upper.Value
    @property
    def RsiLowerLevel(self):
        return self._rsi_lower.Value
    @property
    def StochKPeriod(self):
        return self._stoch_k.Value
    @property
    def StochDPeriod(self):
        return self._stoch_d.Value
    @property
    def StochUpperLevel(self):
        return self._stoch_upper.Value
    @property
    def StochLowerLevel(self):
        return self._stoch_lower.Value
    @property
    def MaPeriod(self):
        return self._ma_period.Value

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

        sma = SimpleMovingAverage()
        sma.Length = self.MaPeriod
        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod
        stoch = StochasticOscillator()
        stoch.K.Length = self.StochKPeriod
        stoch.D.Length = self.StochDPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.BindEx(sma, rsi, stoch, self.process_candle).Start()

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

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

        if not sma_value.IsFinal or not rsi_value.IsFinal or not stoch_value.IsFinal:
            return

        if sma_value.IsEmpty or rsi_value.IsEmpty:
            return

        sma_val = float(sma_value)
        rsi_val = float(rsi_value)

        stoch_k = stoch_value.K
        stoch_d = stoch_value.D
        if stoch_k is None or stoch_d is None:
            return

        sk = float(stoch_k)
        sd = float(stoch_d)
        price = float(candle.ClosePrice)

        # Long: price > SMA, RSI oversold, Stoch oversold
        if (price > sma_val and rsi_val < float(self.RsiLowerLevel) and
                sk < float(self.StochLowerLevel) and sd < float(self.StochLowerLevel)):
            if self.Position <= 0:
                self.BuyMarket()
        # Short: price < SMA, RSI overbought, Stoch overbought
        elif (price < sma_val and rsi_val > float(self.RsiUpperLevel) and
                sk > float(self.StochUpperLevel) and sd > float(self.StochUpperLevel)):
            if self.Position >= 0:
                self.SellMarket()
        # Exit long: Stoch overbought
        elif self.Position > 0 and sk > float(self.StochUpperLevel):
            self.SellMarket()
        # Exit short: Stoch oversold
        elif self.Position < 0 and sk < float(self.StochLowerLevel):
            self.BuyMarket()

    def OnReseted(self):
        super(expert_rsi_stochastic_ma_strategy, self).OnReseted()

    def CreateClone(self):
        return expert_rsi_stochastic_ma_strategy()