Martin 1 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>
/// Hedging martingale strategy converted from the MetaTrader script "Martin 1".
/// Adds pyramid entries in profit and opens opposite hedges with increased volume after drawdowns.
/// </summary>
public class Martin1Strategy : Strategy
{
	private sealed class PositionRecord
	{
		public decimal Volume { get; set; }
		public decimal EntryPrice { get; set; }
	}

	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<bool> _useTradingHours;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _endHour;
	private readonly StrategyParam<decimal> _lotMultiplier;
	private readonly StrategyParam<int> _maxMultiplications;
	private readonly StrategyParam<Sides> _startDirection;
	private readonly StrategyParam<decimal> _minProfit;
	private readonly StrategyParam<decimal> _initialVolume;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;

	private readonly List<PositionRecord> _longPositions = new();
	private readonly List<PositionRecord> _shortPositions = new();

	private decimal _currentVolume;
	private int _multiplicationCount;

	/// <summary>
	/// Candle type for driving the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Enable the trading hour filter.
	/// </summary>
	public bool UseTradingHours
	{
		get => _useTradingHours.Value;
		set => _useTradingHours.Value = value;
	}

	/// <summary>
	/// Inclusive hour (exchange time) when the trading window opens.
	/// </summary>
	public int StartHour
	{
		get => _startHour.Value;
		set => _startHour.Value = value;
	}

	/// <summary>
	/// Inclusive hour (exchange time) when the trading window closes.
	/// </summary>
	public int EndHour
	{
		get => _endHour.Value;
		set => _endHour.Value = value;
	}

	/// <summary>
	/// Multiplier applied to the current volume after each hedging step.
	/// </summary>
	public decimal LotMultiplier
	{
		get => _lotMultiplier.Value;
		set => _lotMultiplier.Value = value;
	}

	/// <summary>
	/// Maximum number of hedging multiplications that can be triggered.
	/// </summary>
	public int MaxMultiplications
	{
		get => _maxMultiplications.Value;
		set => _maxMultiplications.Value = value;
	}

	/// <summary>
	/// Direction of the very first position that is opened when flat.
	/// </summary>
	public Sides StartDirection
	{
		get => _startDirection.Value;
		set => _startDirection.Value = value;
	}

	/// <summary>
	/// Minimum floating profit that triggers closing all positions.
	/// </summary>
	public decimal MinProfit
	{
		get => _minProfit.Value;
		set => _minProfit.Value = value;
	}

	/// <summary>
	/// Base order volume used for the initial trade.
	/// </summary>
	public decimal InitialVolume
	{
		get => _initialVolume.Value;
		set => _initialVolume.Value = value;
	}

	/// <summary>
	/// Stop-loss distance expressed in pips.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take-profit distance expressed in pips.
	/// </summary>
	public int TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="Martin1Strategy"/> class.
	/// </summary>
	public Martin1Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used to evaluate conditions", "General");

		_useTradingHours = Param(nameof(UseTradingHours), false)
			.SetDisplay("Use Trading Hours", "Restrict entries to a time window", "General");

		_startHour = Param(nameof(StartHour), 2)
			.SetRange(0, 23)
			.SetDisplay("Start Hour", "Hour to start monitoring for new trades", "General");

		_endHour = Param(nameof(EndHour), 21)
			.SetRange(0, 23)
			.SetDisplay("End Hour", "Hour to stop opening hedges/pyramids", "General");

		_lotMultiplier = Param(nameof(LotMultiplier), 1.6m)
			.SetGreaterThanZero()
			.SetDisplay("Lot Multiplier", "Factor applied to volume after a loss", "Money Management")
			
			.SetOptimize(1.1m, 3m, 0.1m);

		_maxMultiplications = Param(nameof(MaxMultiplications), 5)
			.SetGreaterThanZero()
			.SetDisplay("Max Multiplications", "Maximum hedging steps", "Money Management")
			
			.SetOptimize(1, 10, 1);

		_startDirection = Param(nameof(StartDirection), Sides.Buy)
			.SetDisplay("Start Direction", "Side of the initial order", "Trading");

		_minProfit = Param(nameof(MinProfit), 1.5m)
			.SetDisplay("Min Profit", "Floating profit target to flatten", "Risk")
			
			.SetOptimize(0.5m, 10m, 0.5m);

		_initialVolume = Param(nameof(InitialVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Initial Volume", "Baseline order size", "Money Management");

		_stopLossPips = Param(nameof(StopLossPips), 400)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss (pips)", "Distance before hedging the opposite side", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 1000)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit (pips)", "Distance to pyramid in the same direction", "Risk");
	}

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

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

		_longPositions.Clear();
		_shortPositions.Clear();
		_multiplicationCount = 0;
		_currentVolume = AdjustVolume(InitialVolume);
	}

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

		if (UseTradingHours && StartHour >= EndHour)
			throw new InvalidOperationException("Start hour must be less than end hour when the filter is enabled.");

		_longPositions.Clear();
		_shortPositions.Clear();
		_multiplicationCount = 0;
		_currentVolume = AdjustVolume(InitialVolume);

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

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

		// No indicators to check.

		var closePrice = candle.ClosePrice;
		var totalProfit = CalculateOpenProfit(closePrice);
		var withinHours = !UseTradingHours || IsWithinTradingHours(candle.CloseTime);

		if (withinHours)
		{
			if (_longPositions.Count > 0)
				EvaluateLongPositions(closePrice);

			if (_shortPositions.Count > 0)
				EvaluateShortPositions(closePrice);
		}

		if (_longPositions.Count == 0 && _shortPositions.Count == 0)
		{
			ResetMartingale();
			OpenInitialPosition(closePrice);
			return;
		}

		if ((_longPositions.Count > 0 || _shortPositions.Count > 0) && totalProfit > MinProfit)
		{
			CloseAllPositions(closePrice);
			ResetMartingale();
		}
	}

	private void EvaluateLongPositions(decimal closePrice)
	{
		var takeProfitDistance = GetTakeProfitDistance();
		var stopLossDistance = GetStopLossDistance();
		var snapshot = _longPositions.ToArray();

		foreach (var position in snapshot)
		{
			var priceGain = closePrice - position.EntryPrice;
			var profit = ConvertPriceToMoney(priceGain, position.Volume);

			if (profit > 0m && priceGain > takeProfitDistance)
				ExecuteOrder(Sides.Buy, _currentVolume, closePrice);

			if (StartDirection == Sides.Buy && stopLossDistance > 0m)
			{
				var lossDistance = position.EntryPrice - closePrice;
				if (lossDistance > stopLossDistance * (_multiplicationCount + 1) &&
					_multiplicationCount + 1 <= MaxMultiplications)
				{
					var newVolume = AdjustVolume(_currentVolume * LotMultiplier);
					if (newVolume > 0m)
					{
						_multiplicationCount++;
						_currentVolume = newVolume;
						ExecuteOrder(Sides.Sell, newVolume, closePrice);
					}
				}
			}
		}
	}

	private void EvaluateShortPositions(decimal closePrice)
	{
		var takeProfitDistance = GetTakeProfitDistance();
		var stopLossDistance = GetStopLossDistance();
		var snapshot = _shortPositions.ToArray();

		foreach (var position in snapshot)
		{
			var priceGain = position.EntryPrice - closePrice;
			var profit = ConvertPriceToMoney(priceGain, position.Volume);

			if (profit > 0m && priceGain > takeProfitDistance)
				ExecuteOrder(Sides.Sell, _currentVolume, closePrice);

			if (StartDirection == Sides.Sell && stopLossDistance > 0m)
			{
				var lossDistance = closePrice - position.EntryPrice;
				if (lossDistance > stopLossDistance * (_multiplicationCount + 1) &&
					_multiplicationCount + 1 <= MaxMultiplications)
				{
					var newVolume = AdjustVolume(_currentVolume * LotMultiplier);
					if (newVolume > 0m)
					{
						_multiplicationCount++;
						_currentVolume = newVolume;
						ExecuteOrder(Sides.Buy, newVolume, closePrice);
					}
				}
			}
		}
	}

	private void OpenInitialPosition(decimal price)
	{
		var volume = _currentVolume;
		if (volume <= 0m)
			return;

		var side = StartDirection == Sides.Sell ? Sides.Sell : Sides.Buy;
		ExecuteOrder(side, volume, price);
	}

	private void CloseAllPositions(decimal price)
	{
		var longVolume = GetTotalVolume(_longPositions);
		if (longVolume > 0m)
		{
			ExecuteOrder(Sides.Sell, longVolume, price);
		}

		var shortVolume = GetTotalVolume(_shortPositions);
		if (shortVolume > 0m)
		{
			ExecuteOrder(Sides.Buy, shortVolume, price);
		}
	}

	private void ExecuteOrder(Sides side, decimal volume, decimal price)
	{
		if (volume <= 0m)
			return;

		Volume = volume;

		if (side == Sides.Buy)
			BuyMarket();
		else
			SellMarket();

		UpdatePositions(side, volume, price);
	}

	private void UpdatePositions(Sides side, decimal volume, decimal price)
	{
		if (volume <= 0m)
			return;

		if (side == Sides.Buy)
		{
			var remaining = volume;
			var index = 0;
			while (remaining > 0m && index < _shortPositions.Count)
			{
				var position = _shortPositions[index];
				var qty = Math.Min(position.Volume, remaining);
				position.Volume -= qty;
				remaining -= qty;
				if (position.Volume <= 0m)
				{
					_shortPositions.RemoveAt(index);
					continue;
				}

				index++;
			}

			if (remaining > 0m)
			{
				_longPositions.Add(new PositionRecord
				{
					Volume = remaining,
					EntryPrice = price
				});
			}
		}
		else
		{
			var remaining = volume;
			var index = 0;
			while (remaining > 0m && index < _longPositions.Count)
			{
				var position = _longPositions[index];
				var qty = Math.Min(position.Volume, remaining);
				position.Volume -= qty;
				remaining -= qty;
				if (position.Volume <= 0m)
				{
					_longPositions.RemoveAt(index);
					continue;
				}

				index++;
			}

			if (remaining > 0m)
			{
				_shortPositions.Add(new PositionRecord
				{
					Volume = remaining,
					EntryPrice = price
				});
			}
		}
	}

	private decimal CalculateOpenProfit(decimal currentPrice)
	{
		var profit = 0m;

		foreach (var position in _longPositions)
		{
			var diff = currentPrice - position.EntryPrice;
			profit += ConvertPriceToMoney(diff, position.Volume);
		}

		foreach (var position in _shortPositions)
		{
			var diff = position.EntryPrice - currentPrice;
			profit += ConvertPriceToMoney(diff, position.Volume);
		}

		return profit;
	}

	private decimal ConvertPriceToMoney(decimal priceDifference, decimal volume)
	{
		var priceStep = Security?.PriceStep ?? 0m;
		var stepPrice = priceStep;

		if (priceStep <= 0m || stepPrice <= 0m)
			return priceDifference * volume;

		var steps = priceDifference / priceStep;
		return steps * stepPrice * volume;
	}

	private decimal GetStopLossDistance()
	{
		var pip = GetPipSize();
		return StopLossPips * pip;
	}

	private decimal GetTakeProfitDistance()
	{
		var pip = GetPipSize();
		return TakeProfitPips * pip;
	}

	private decimal GetPipSize()
	{
		var priceStep = Security?.PriceStep ?? 0m;
		if (priceStep <= 0m)
			return 1m;

		var step = priceStep;
		var digits = 0;
		while (step < 1m && digits < 10)
		{
			step *= 10m;
			digits++;
		}

		if (digits == 3 || digits == 5)
			return priceStep * 10m;

		return priceStep;
	}

	private decimal AdjustVolume(decimal volume)
	{
		if (volume <= 0m)
			return 0m;

		var step = Security?.VolumeStep ?? 0m;
		if (step > 0m)
		{
			volume = Math.Floor(volume / step) * step;
			if (volume < step)
				return 0m;
		}

		return volume;
	}

	private static decimal GetTotalVolume(List<PositionRecord> positions)
	{
		var total = 0m;
		foreach (var position in positions)
			total += position.Volume;
		return total;
	}

	private bool IsWithinTradingHours(DateTime time)
	{
		var hour = time.Hour;
		return hour >= StartHour && hour <= EndHour;
	}

	private void ResetMartingale()
	{
		_multiplicationCount = 0;
		_currentVolume = AdjustVolume(InitialVolume);
	}
}

import clr
import math

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 martin1_strategy(Strategy):
    """Martin 1: hedging martingale with pyramid entries on profit and opposite hedges on drawdown."""

    def __init__(self):
        super(martin1_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe used to evaluate conditions", "General")
        self._use_trading_hours = self.Param("UseTradingHours", False) \
            .SetDisplay("Use Trading Hours", "Restrict entries to a time window", "General")
        self._start_hour = self.Param("StartHour", 2) \
            .SetDisplay("Start Hour", "Hour to start monitoring for new trades", "General")
        self._end_hour = self.Param("EndHour", 21) \
            .SetDisplay("End Hour", "Hour to stop opening hedges/pyramids", "General")
        self._lot_multiplier = self.Param("LotMultiplier", 1.6) \
            .SetGreaterThanZero() \
            .SetDisplay("Lot Multiplier", "Factor applied to volume after a loss", "Money Management")
        self._max_multiplications = self.Param("MaxMultiplications", 5) \
            .SetGreaterThanZero() \
            .SetDisplay("Max Multiplications", "Maximum hedging steps", "Money Management")
        # 0=Buy, 1=Sell
        self._start_direction = self.Param("StartDirection", 0) \
            .SetDisplay("Start Direction", "0=Buy, 1=Sell", "Trading")
        self._min_profit = self.Param("MinProfit", 1.5) \
            .SetDisplay("Min Profit", "Floating profit target to flatten", "Risk")
        self._initial_volume = self.Param("InitialVolume", 0.1) \
            .SetGreaterThanZero() \
            .SetDisplay("Initial Volume", "Baseline order size", "Money Management")
        self._stop_loss_pips = self.Param("StopLossPips", 400) \
            .SetGreaterThanZero() \
            .SetDisplay("Stop Loss (pips)", "Distance before hedging the opposite side", "Risk")
        self._take_profit_pips = self.Param("TakeProfitPips", 1000) \
            .SetGreaterThanZero() \
            .SetDisplay("Take Profit (pips)", "Distance to pyramid in same direction", "Risk")

        self._long_positions = []
        self._short_positions = []
        self._current_volume = 0.0
        self._multiplication_count = 0

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def UseTradingHours(self):
        return self._use_trading_hours.Value
    @property
    def StartHour(self):
        return int(self._start_hour.Value)
    @property
    def EndHour(self):
        return int(self._end_hour.Value)
    @property
    def LotMultiplier(self):
        return float(self._lot_multiplier.Value)
    @property
    def MaxMultiplications(self):
        return int(self._max_multiplications.Value)
    @property
    def StartDirection(self):
        return int(self._start_direction.Value)
    @property
    def MinProfit(self):
        return float(self._min_profit.Value)
    @property
    def InitialVolume(self):
        return float(self._initial_volume.Value)
    @property
    def StopLossPips(self):
        return int(self._stop_loss_pips.Value)
    @property
    def TakeProfitPips(self):
        return int(self._take_profit_pips.Value)

    def _get_pip_size(self):
        sec = self.Security
        if sec is None or sec.PriceStep is None:
            return 1.0
        step = float(sec.PriceStep)
        if step <= 0:
            return 1.0
        s = step
        digits = 0
        while s < 1.0 and digits < 10:
            s *= 10
            digits += 1
        return step * 10.0 if (digits == 3 or digits == 5) else step

    def _adjust_volume(self, volume):
        if volume <= 0:
            return 0.0
        sec = self.Security
        if sec is not None and sec.VolumeStep is not None:
            step = float(sec.VolumeStep)
            if step > 0:
                volume = math.floor(volume / step) * step
                if volume < step:
                    return 0.0
        return volume

    def OnStarted2(self, time):
        super(martin1_strategy, self).OnStarted2(time)

        self._long_positions = []
        self._short_positions = []
        self._multiplication_count = 0
        self._current_volume = self._adjust_volume(self.InitialVolume)
        self._pip_size = self._get_pip_size()

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

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

        close_price = float(candle.ClosePrice)
        total_profit = self._calc_open_profit(close_price)
        within_hours = not self.UseTradingHours or self._is_within_hours(candle.CloseTime)

        if within_hours:
            if len(self._long_positions) > 0:
                self._eval_longs(close_price)
            if len(self._short_positions) > 0:
                self._eval_shorts(close_price)

        if len(self._long_positions) == 0 and len(self._short_positions) == 0:
            self._reset_martingale()
            self._open_initial(close_price)
            return

        if (len(self._long_positions) > 0 or len(self._short_positions) > 0) and total_profit > self.MinProfit:
            self._close_all(close_price)
            self._reset_martingale()

    def _eval_longs(self, close_price):
        tp_dist = self.TakeProfitPips * self._pip_size
        sl_dist = self.StopLossPips * self._pip_size
        for pos in list(self._long_positions):
            price_gain = close_price - pos["entry"]
            profit = self._price_to_money(price_gain, pos["volume"])

            if profit > 0 and price_gain > tp_dist:
                self._execute_order("buy", self._current_volume, close_price)

            if self.StartDirection == 0 and sl_dist > 0:
                loss_dist = pos["entry"] - close_price
                if (loss_dist > sl_dist * (self._multiplication_count + 1)
                        and self._multiplication_count + 1 <= self.MaxMultiplications):
                    new_vol = self._adjust_volume(self._current_volume * self.LotMultiplier)
                    if new_vol > 0:
                        self._multiplication_count += 1
                        self._current_volume = new_vol
                        self._execute_order("sell", new_vol, close_price)

    def _eval_shorts(self, close_price):
        tp_dist = self.TakeProfitPips * self._pip_size
        sl_dist = self.StopLossPips * self._pip_size
        for pos in list(self._short_positions):
            price_gain = pos["entry"] - close_price
            profit = self._price_to_money(price_gain, pos["volume"])

            if profit > 0 and price_gain > tp_dist:
                self._execute_order("sell", self._current_volume, close_price)

            if self.StartDirection == 1 and sl_dist > 0:
                loss_dist = close_price - pos["entry"]
                if (loss_dist > sl_dist * (self._multiplication_count + 1)
                        and self._multiplication_count + 1 <= self.MaxMultiplications):
                    new_vol = self._adjust_volume(self._current_volume * self.LotMultiplier)
                    if new_vol > 0:
                        self._multiplication_count += 1
                        self._current_volume = new_vol
                        self._execute_order("buy", new_vol, close_price)

    def _open_initial(self, price):
        vol = self._current_volume
        if vol <= 0:
            return
        side = "sell" if self.StartDirection == 1 else "buy"
        self._execute_order(side, vol, price)

    def _close_all(self, price):
        long_vol = sum(p["volume"] for p in self._long_positions)
        if long_vol > 0:
            self._execute_order("sell", long_vol, price)
        short_vol = sum(p["volume"] for p in self._short_positions)
        if short_vol > 0:
            self._execute_order("buy", short_vol, price)

    def _execute_order(self, side, volume, price):
        if volume <= 0:
            return
        if side == "buy":
            self.BuyMarket()
        else:
            self.SellMarket()
        self._update_positions(side, volume, price)

    def _update_positions(self, side, volume, price):
        if volume <= 0:
            return
        if side == "buy":
            remaining = volume
            while remaining > 0 and len(self._short_positions) > 0:
                pos = self._short_positions[0]
                qty = min(pos["volume"], remaining)
                pos["volume"] -= qty
                remaining -= qty
                if pos["volume"] <= 0:
                    self._short_positions.pop(0)
            if remaining > 0:
                self._long_positions.append({"volume": remaining, "entry": price})
        else:
            remaining = volume
            while remaining > 0 and len(self._long_positions) > 0:
                pos = self._long_positions[0]
                qty = min(pos["volume"], remaining)
                pos["volume"] -= qty
                remaining -= qty
                if pos["volume"] <= 0:
                    self._long_positions.pop(0)
            if remaining > 0:
                self._short_positions.append({"volume": remaining, "entry": price})

    def _calc_open_profit(self, current_price):
        profit = 0.0
        for pos in self._long_positions:
            diff = current_price - pos["entry"]
            profit += self._price_to_money(diff, pos["volume"])
        for pos in self._short_positions:
            diff = pos["entry"] - current_price
            profit += self._price_to_money(diff, pos["volume"])
        return profit

    def _price_to_money(self, price_diff, volume):
        sec = self.Security
        if sec is not None and sec.PriceStep is not None:
            step = float(sec.PriceStep)
            if step > 0:
                steps = price_diff / step
                return steps * step * volume
        return price_diff * volume

    def _is_within_hours(self, time):
        hour = time.Hour
        return hour >= self.StartHour and hour <= self.EndHour

    def _reset_martingale(self):
        self._multiplication_count = 0
        self._current_volume = self._adjust_volume(self.InitialVolume)

    def OnReseted(self):
        super(martin1_strategy, self).OnReseted()
        self._long_positions = []
        self._short_positions = []
        self._current_volume = 0.0
        self._multiplication_count = 0

    def CreateClone(self):
        return martin1_strategy()