Vortex インジケーターシステム戦略

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>
/// Breakout strategy based on the Vortex indicator crossover system.
/// Replicates the logic of the original MQL expert by arming entry triggers
/// on the candle where VI+ and VI- lines cross and executing when price breaks the trigger.
/// </summary>
public class VortexIndicatorSystemStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<DataType> _candleType;

	private VortexIndicator _vortex = null!;
	private decimal _previousPlus;
	private decimal _previousMinus;
	private bool _hasPrevious;
	private decimal? _pendingBuyTrigger;
	private decimal? _pendingSellTrigger;

	/// <summary>
	/// Length of the Vortex indicator.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

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

	/// <summary>
	/// Initializes parameters for the strategy.
	/// </summary>
	public VortexIndicatorSystemStrategy()
	{
		_length = Param(nameof(Length), 14)
			.SetDisplay("Vortex Length", "Period for the Vortex indicator", "General")
			.SetGreaterThanZero()
			
			.SetOptimize(7, 28, 7);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for analysis", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousPlus = 0m;
		_previousMinus = 0m;
		_hasPrevious = false;
		_pendingBuyTrigger = null;
		_pendingSellTrigger = null;
	}

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

		_vortex = new VortexIndicator
		{
			Length = Length
		};

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(_vortex, ProcessCandle)
			.Start();
	}

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

		if (!_vortex.IsFormed)
			return;

		if (vortexValue is not VortexIndicatorValue typed)
			return;

		var viPlusN = typed.PlusVi;
		var viMinusN = typed.MinusVi;
		if (viPlusN is not decimal viPlus || viMinusN is not decimal viMinus)
			return;

		if (_pendingBuyTrigger is decimal buyTrigger && candle.HighPrice > buyTrigger)
		{
			if (Position <= 0)
			{
				// Reverse existing short if present and open a new long position when price breaks the trigger.
				BuyMarket();
			}

			_pendingBuyTrigger = null;
		}
		else if (_pendingSellTrigger is decimal sellTrigger && candle.LowPrice < sellTrigger)
		{
			if (Position >= 0)
			{
				// Reverse existing long if present and open a new short position when price breaks the trigger.
				SellMarket();
			}

			_pendingSellTrigger = null;
		}

		if (!_hasPrevious)
		{
			_previousPlus = viPlus;
			_previousMinus = viMinus;
			_hasPrevious = true;
			return;
		}

		var crossedUp = _previousPlus <= _previousMinus && viPlus > viMinus;
		var crossedDown = _previousPlus >= _previousMinus && viPlus < viMinus;

		if (crossedUp)
		{
			if (Position < 0)
			{
				// Flatten existing short positions when a bullish crossover appears.
				BuyMarket();
			}

			_pendingBuyTrigger = candle.HighPrice;
			_pendingSellTrigger = null;
		}
		else if (crossedDown)
		{
			if (Position > 0)
			{
				// Flatten existing long positions when a bearish crossover appears.
				SellMarket();
			}

			_pendingSellTrigger = candle.LowPrice;
			_pendingBuyTrigger = null;
		}

		_previousPlus = viPlus;
		_previousMinus = viMinus;
	}
}

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 VortexIndicator


class vortex_indicator_system_strategy(Strategy):
    """Vortex indicator crossover breakout: arms triggers on VI+/VI- cross, executes on price breakout."""

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

        self._length = self.Param("Length", 14) \
            .SetGreaterThanZero() \
            .SetDisplay("Vortex Length", "Period for the Vortex indicator", "General")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe used for analysis", "General")

        self._previous_plus = 0.0
        self._previous_minus = 0.0
        self._has_previous = False
        self._pending_buy_trigger = None
        self._pending_sell_trigger = None

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

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

        self._previous_plus = 0.0
        self._previous_minus = 0.0
        self._has_previous = False
        self._pending_buy_trigger = None
        self._pending_sell_trigger = None

        self._vortex = VortexIndicator()
        self._vortex.Length = self.Length

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.BindEx(self._vortex, self.process_candle).Start()

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

        if not self._vortex.IsFormed:
            return

        vi_plus_n = vortex_value.PlusVi
        vi_minus_n = vortex_value.MinusVi
        if vi_plus_n is None or vi_minus_n is None:
            return

        vi_plus = float(vi_plus_n)
        vi_minus = float(vi_minus_n)
        h = float(candle.HighPrice)
        lo = float(candle.LowPrice)

        # Check pending triggers
        if self._pending_buy_trigger is not None and h > self._pending_buy_trigger:
            if self.Position <= 0:
                self.BuyMarket()
            self._pending_buy_trigger = None
        elif self._pending_sell_trigger is not None and lo < self._pending_sell_trigger:
            if self.Position >= 0:
                self.SellMarket()
            self._pending_sell_trigger = None

        if not self._has_previous:
            self._previous_plus = vi_plus
            self._previous_minus = vi_minus
            self._has_previous = True
            return

        crossed_up = self._previous_plus <= self._previous_minus and vi_plus > vi_minus
        crossed_down = self._previous_plus >= self._previous_minus and vi_plus < vi_minus

        if crossed_up:
            if self.Position < 0:
                self.BuyMarket()
            self._pending_buy_trigger = h
            self._pending_sell_trigger = None
        elif crossed_down:
            if self.Position > 0:
                self.SellMarket()
            self._pending_sell_trigger = lo
            self._pending_buy_trigger = None

        self._previous_plus = vi_plus
        self._previous_minus = vi_minus

    def OnReseted(self):
        super(vortex_indicator_system_strategy, self).OnReseted()
        self._previous_plus = 0.0
        self._previous_minus = 0.0
        self._has_previous = False
        self._pending_buy_trigger = None
        self._pending_sell_trigger = None

    def CreateClone(self):
        return vortex_indicator_system_strategy()