終値Fractals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>
/// Strategy converted from the MT5 "Fractals at Close prices" expert advisor.
/// Detects bullish and bearish fractal sequences built on close prices and trades trend reversals.
/// Includes configurable trading hours and manual risk management with trailing stops.
/// </summary>
public class FractalsAtClosePricesStrategy : Strategy
{
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _endHour;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _trailingStopPips;
	private readonly StrategyParam<int> _trailingStepPips;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _closeWindow = new(6);

	private decimal? _lastUpperFractal;
	private decimal? _previousUpperFractal;
	private decimal? _lastLowerFractal;
	private decimal? _previousLowerFractal;

	private decimal _pipValue;
	private decimal _stopLossDistance;
	private decimal _takeProfitDistance;
	private decimal _trailingStopDistance;
	private decimal _trailingStepDistance;

	private decimal? _entryPrice;
	private decimal? _longStop;
	private decimal? _longTake;
	private decimal? _shortStop;
	private decimal? _shortTake;

	/// <summary>
	/// Trading volume used for every market order.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// Hour when the strategy can start opening positions.
	/// </summary>
	public int StartHour
	{
		get => _startHour.Value;
		set => _startHour.Value = value;
	}

	/// <summary>
	/// Hour when the strategy stops opening positions.
	/// </summary>
	public int EndHour
	{
		get => _endHour.Value;
		set => _endHour.Value = value;
	}

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

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

	/// <summary>
	/// Trailing stop distance expressed in pips.
	/// </summary>
	public int TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Minimum price improvement required before moving the trailing stop.
	/// </summary>
	public int TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

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

	/// <summary>
	/// Initializes <see cref="FractalsAtClosePricesStrategy"/> parameters.
	/// </summary>
	public FractalsAtClosePricesStrategy()
	{
		_orderVolume = Param(nameof(OrderVolume), 0.1m)
		.SetGreaterThanZero()
		.SetDisplay("Order Volume", "Volume used for entries", "General")
		;

		_startHour = Param(nameof(StartHour), 0)
		.SetRange(0, 23)
		.SetDisplay("Start Hour", "Hour when trading can start (0-23)", "Trading Hours");

		_endHour = Param(nameof(EndHour), 0)
		.SetRange(0, 23)
		.SetDisplay("End Hour", "Hour when trading stops (0-23)", "Trading Hours");

		_stopLossPips = Param(nameof(StopLossPips), 200)
		.SetRange(0, 1000)
		.SetDisplay("Stop Loss (pips)", "Stop-loss distance in pips", "Risk Management")
		;

		_takeProfitPips = Param(nameof(TakeProfitPips), 400)
		.SetRange(0, 1000)
		.SetDisplay("Take Profit (pips)", "Take-profit distance in pips", "Risk Management")
		;

		_trailingStopPips = Param(nameof(TrailingStopPips), 15)
		.SetRange(0, 1000)
		.SetDisplay("Trailing Stop (pips)", "Base distance for the trailing stop", "Risk Management")
		;

		_trailingStepPips = Param(nameof(TrailingStepPips), 5)
		.SetRange(0, 1000)
		.SetDisplay("Trailing Step (pips)", "Additional move required before trailing", "Risk Management")
		;

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles processed by the strategy", "General");
	}

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

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

		_closeWindow.Clear();
		_lastUpperFractal = null;
		_previousUpperFractal = null;
		_lastLowerFractal = null;
		_previousLowerFractal = null;

		_pipValue = 0m;
		_stopLossDistance = 0m;
		_takeProfitDistance = 0m;
		_trailingStopDistance = 0m;
		_trailingStepDistance = 0m;

		_entryPrice = null;
		ResetRiskLevels();
	}

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

		var priceStep = Security?.PriceStep ?? 1m;
		var decimals = Security?.Decimals ?? 0;

		_pipValue = priceStep;
		if (decimals == 3 || decimals == 5)
		{
			// MT5 version multiplies point value by 10 when the symbol uses 3 or 5 decimals.
			_pipValue *= 10m;
		}

		_stopLossDistance = StopLossPips == 0 ? 0m : StopLossPips * _pipValue;
		_takeProfitDistance = TakeProfitPips == 0 ? 0m : TakeProfitPips * _pipValue;
		_trailingStopDistance = TrailingStopPips == 0 ? 0m : TrailingStopPips * _pipValue;
		_trailingStepDistance = TrailingStepPips == 0 ? 0m : TrailingStepPips * _pipValue;

		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;
		}

		UpdateFractals(candle);

		if (!IsWithinTradingHours(candle.OpenTime))
		{
			CloseAllPositions();
			return;
		}

		ApplyRiskManagement(candle);

		// no bound indicators, skip IsFormedAndOnlineAndAllowTrading()

		ExecuteEntries(candle);
	}

	private void UpdateFractals(ICandleMessage candle)
	{
		// Maintain a rolling window of the five most recent closes.
		_closeWindow.Add(candle.ClosePrice);
		while (_closeWindow.Count > 5)
			_closeWindow.RemoveAt(0);

		if (_closeWindow.Count < 5)
		{
			return;
		}

		var window = _closeWindow;
		var center = window[2];

		var isUpper = center > window[0]
		&& center > window[1]
		&& center >= window[3]
		&& center >= window[4];

		if (isUpper)
		{
			_previousUpperFractal = _lastUpperFractal;
			_lastUpperFractal = center;
		}

		var isLower = center < window[0]
		&& center < window[1]
		&& center <= window[3]
		&& center <= window[4];

		if (isLower)
		{
			_previousLowerFractal = _lastLowerFractal;
			_lastLowerFractal = center;
		}
	}

	private bool IsWithinTradingHours(DateTimeOffset time)
	{
		var hour = time.Hour;

		if (StartHour == EndHour)
		{
			// Trade the entire day when start and end hours are equal.
			return true;
		}

		if (StartHour < EndHour)
		{
			return hour >= StartHour && hour < EndHour;
		}

		return hour >= StartHour || hour < EndHour;
	}

	private void ApplyRiskManagement(ICandleMessage candle)
	{
		if (Position > 0)
		{
			if (_longStop is decimal stop && candle.LowPrice <= stop)
			{
				// Close the long position if the stop-loss level is breached.
				SellMarket(Position);
				ResetRiskLevels();
				return;
			}

			if (_longTake is decimal take && candle.HighPrice >= take)
			{
				// Close the long position when the take-profit level is hit.
				SellMarket(Position);
				ResetRiskLevels();
				return;
			}

			UpdateLongTrailingStop(candle);
		}
		else if (Position < 0)
		{
			if (_shortStop is decimal stop && candle.HighPrice >= stop)
			{
				// Cover the short position if the stop-loss level is breached.
				BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
				return;
			}

			if (_shortTake is decimal take && candle.LowPrice <= take)
			{
				// Cover the short position when the take-profit level is hit.
				BuyMarket(Math.Abs(Position));
				ResetRiskLevels();
				return;
			}

			UpdateShortTrailingStop(candle);
		}
	}

	private void UpdateLongTrailingStop(ICandleMessage candle)
	{
		if (_trailingStopDistance <= 0m || _entryPrice is not decimal entry)
		{
			return;
		}

		var profitDistance = candle.ClosePrice - entry;
		if (profitDistance <= _trailingStopDistance + _trailingStepDistance)
		{
			return;
		}

		var targetStop = candle.ClosePrice - _trailingStopDistance;
		if (_longStop is decimal currentStop && currentStop >= candle.ClosePrice - (_trailingStopDistance + _trailingStepDistance))
		{
			// Skip updates until price improved by the trailing step.
			return;
		}

		_longStop = targetStop;
	}

	private void UpdateShortTrailingStop(ICandleMessage candle)
	{
		if (_trailingStopDistance <= 0m || _entryPrice is not decimal entry)
		{
			return;
		}

		var profitDistance = entry - candle.ClosePrice;
		if (profitDistance <= _trailingStopDistance + _trailingStepDistance)
		{
			return;
		}

		var targetStop = candle.ClosePrice + _trailingStopDistance;
		if (_shortStop is decimal currentStop && currentStop <= candle.ClosePrice + (_trailingStopDistance + _trailingStepDistance))
		{
			// Skip updates until price improved by the trailing step.
			return;
		}

		_shortStop = targetStop;
	}

	private void ExecuteEntries(ICandleMessage candle)
	{
		// Only trade when flat to avoid too frequent reversals.
		if (Position != 0)
			return;

		var bullishTrend = _lastLowerFractal is decimal lastLow
		&& _previousLowerFractal is decimal prevLow
		&& prevLow < lastLow;

		if (bullishTrend && OrderVolume > 0m)
		{
			BuyMarket(OrderVolume);
			_entryPrice = candle.ClosePrice;
			_longStop = _stopLossDistance > 0m ? candle.ClosePrice - _stopLossDistance : null;
			_longTake = _takeProfitDistance > 0m ? candle.ClosePrice + _takeProfitDistance : null;
			_shortStop = null;
			_shortTake = null;
			return;
		}

		var bearishTrend = _lastUpperFractal is decimal lastUp
		&& _previousUpperFractal is decimal prevUp
		&& prevUp > lastUp;

		if (bearishTrend && OrderVolume > 0m)
		{
			SellMarket(OrderVolume);
			_entryPrice = candle.ClosePrice;
			_shortStop = _stopLossDistance > 0m ? candle.ClosePrice + _stopLossDistance : null;
			_shortTake = _takeProfitDistance > 0m ? candle.ClosePrice - _takeProfitDistance : null;
			_longStop = null;
			_longTake = null;
		}
	}

	private void CloseAllPositions()
	{
		if (Position > 0)
		{
			SellMarket(Position);
		}
		else if (Position < 0)
		{
			BuyMarket(Math.Abs(Position));
		}

		ResetRiskLevels();
	}

	private void CloseLongPosition()
	{
		if (Position > 0)
		{
			SellMarket(Position);
			ResetRiskLevels();
		}
	}

	private void CloseShortPosition()
	{
		if (Position < 0)
		{
			BuyMarket(Math.Abs(Position));
			ResetRiskLevels();
		}
	}

	private void ResetRiskLevels()
	{
		_longStop = null;
		_longTake = null;
		_shortStop = null;
		_shortTake = null;
		_entryPrice = null;
	}
}

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 fractals_at_close_prices_strategy(Strategy):
    def __init__(self):
        super(fractals_at_close_prices_strategy, self).__init__()

        self._start_hour = self.Param("StartHour", 0)
        self._end_hour = self.Param("EndHour", 0)
        self._stop_loss_pips = self.Param("StopLossPips", 200)
        self._take_profit_pips = self.Param("TakeProfitPips", 400)
        self._trailing_stop_pips = self.Param("TrailingStopPips", 15)
        self._trailing_step_pips = self.Param("TrailingStepPips", 5)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))

        self._close_window = []
        self._last_upper_fractal = None
        self._prev_upper_fractal = None
        self._last_lower_fractal = None
        self._prev_lower_fractal = None

        self._pip_value = 0.0
        self._sl_dist = 0.0
        self._tp_dist = 0.0
        self._trail_dist = 0.0
        self._trail_step = 0.0

        self._entry_price = None
        self._long_stop = None
        self._long_take = None
        self._short_stop = None
        self._short_take = None

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

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

    @property
    def StartHour(self):
        return self._start_hour.Value

    @property
    def EndHour(self):
        return self._end_hour.Value

    @property
    def StopLossPips(self):
        return self._stop_loss_pips.Value

    @property
    def TakeProfitPips(self):
        return self._take_profit_pips.Value

    @property
    def TrailingStopPips(self):
        return self._trailing_stop_pips.Value

    @property
    def TrailingStepPips(self):
        return self._trailing_step_pips.Value

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

        sec = self.Security
        price_step = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None else 1.0
        decimals = sec.Decimals if sec is not None and sec.Decimals is not None else 0

        self._pip_value = price_step
        if decimals == 3 or decimals == 5:
            self._pip_value *= 10.0

        self._sl_dist = self.StopLossPips * self._pip_value if self.StopLossPips != 0 else 0.0
        self._tp_dist = self.TakeProfitPips * self._pip_value if self.TakeProfitPips != 0 else 0.0
        self._trail_dist = self.TrailingStopPips * self._pip_value if self.TrailingStopPips != 0 else 0.0
        self._trail_step = self.TrailingStepPips * self._pip_value if self.TrailingStepPips != 0 else 0.0

        self._close_window = []
        self._last_upper_fractal = None
        self._prev_upper_fractal = None
        self._last_lower_fractal = None
        self._prev_lower_fractal = None
        self._entry_price = None
        self._reset_risk_levels()

        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

        self._update_fractals(candle)

        if not self._is_within_trading_hours(candle.OpenTime):
            self._close_all()
            return

        self._apply_risk_management(candle)

        self._execute_entries(candle)

    def _update_fractals(self, candle):
        self._close_window.append(float(candle.ClosePrice))
        while len(self._close_window) > 5:
            self._close_window.pop(0)

        if len(self._close_window) < 5:
            return

        w = self._close_window
        center = w[2]

        is_upper = (center > w[0] and center > w[1] and
                    center >= w[3] and center >= w[4])
        if is_upper:
            self._prev_upper_fractal = self._last_upper_fractal
            self._last_upper_fractal = center

        is_lower = (center < w[0] and center < w[1] and
                    center <= w[3] and center <= w[4])
        if is_lower:
            self._prev_lower_fractal = self._last_lower_fractal
            self._last_lower_fractal = center

    def _is_within_trading_hours(self, time):
        hour = time.Hour
        if self.StartHour == self.EndHour:
            return True
        if self.StartHour < self.EndHour:
            return hour >= self.StartHour and hour < self.EndHour
        return hour >= self.StartHour or hour < self.EndHour

    def _apply_risk_management(self, candle):
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)

        if self.Position > 0:
            if self._long_stop is not None and low <= self._long_stop:
                self.SellMarket()
                self._reset_risk_levels()
                return
            if self._long_take is not None and high >= self._long_take:
                self.SellMarket()
                self._reset_risk_levels()
                return
            self._update_long_trailing(candle)

        elif self.Position < 0:
            if self._short_stop is not None and high >= self._short_stop:
                self.BuyMarket()
                self._reset_risk_levels()
                return
            if self._short_take is not None and low <= self._short_take:
                self.BuyMarket()
                self._reset_risk_levels()
                return
            self._update_short_trailing(candle)

    def _update_long_trailing(self, candle):
        if self._trail_dist <= 0 or self._entry_price is None:
            return
        close = float(candle.ClosePrice)
        profit_dist = close - self._entry_price
        if profit_dist <= self._trail_dist + self._trail_step:
            return
        target_stop = close - self._trail_dist
        if self._long_stop is not None and self._long_stop >= close - (self._trail_dist + self._trail_step):
            return
        self._long_stop = target_stop

    def _update_short_trailing(self, candle):
        if self._trail_dist <= 0 or self._entry_price is None:
            return
        close = float(candle.ClosePrice)
        profit_dist = self._entry_price - close
        if profit_dist <= self._trail_dist + self._trail_step:
            return
        target_stop = close + self._trail_dist
        if self._short_stop is not None and self._short_stop <= close + (self._trail_dist + self._trail_step):
            return
        self._short_stop = target_stop

    def _execute_entries(self, candle):
        if self.Position != 0:
            return

        close = float(candle.ClosePrice)

        bullish_trend = (self._last_lower_fractal is not None and
                         self._prev_lower_fractal is not None and
                         self._prev_lower_fractal < self._last_lower_fractal)

        if bullish_trend:
            self.BuyMarket()
            self._entry_price = close
            self._long_stop = close - self._sl_dist if self._sl_dist > 0 else None
            self._long_take = close + self._tp_dist if self._tp_dist > 0 else None
            self._short_stop = None
            self._short_take = None
            return

        bearish_trend = (self._last_upper_fractal is not None and
                         self._prev_upper_fractal is not None and
                         self._prev_upper_fractal > self._last_upper_fractal)

        if bearish_trend:
            self.SellMarket()
            self._entry_price = close
            self._short_stop = close + self._sl_dist if self._sl_dist > 0 else None
            self._short_take = close - self._tp_dist if self._tp_dist > 0 else None
            self._long_stop = None
            self._long_take = None

    def _close_all(self):
        if self.Position > 0:
            self.SellMarket()
        elif self.Position < 0:
            self.BuyMarket()
        self._reset_risk_levels()

    def _reset_risk_levels(self):
        self._long_stop = None
        self._long_take = None
        self._short_stop = None
        self._short_take = None
        self._entry_price = None

    def OnReseted(self):
        super(fractals_at_close_prices_strategy, self).OnReseted()
        self._close_window = []
        self._last_upper_fractal = None
        self._prev_upper_fractal = None
        self._last_lower_fractal = None
        self._prev_lower_fractal = None
        self._pip_value = 0.0
        self._sl_dist = 0.0
        self._tp_dist = 0.0
        self._trail_dist = 0.0
        self._trail_step = 0.0
        self._entry_price = None
        self._reset_risk_levels()

    def CreateClone(self):
        return fractals_at_close_prices_strategy()