SAR RSI MTS 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>
/// Parabolic SAR and RSI strategy translated from the original MQL implementation.
/// </summary>
public class SarRsiMtsStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<decimal> _sarStep;
	private readonly StrategyParam<decimal> _sarMax;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiNeutralLevel;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _maxPosition;

	private decimal? _previousSar;
	private decimal? _previousRsi;
	private decimal? _longTrailingStop;
	private decimal? _shortTrailingStop;
	private decimal _pipSize;
	private decimal _entryPrice;
	private DateTimeOffset _lastTradeTime;

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

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

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

	/// <summary>
	/// Trailing step distance expressed in pips.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Parabolic SAR acceleration step.
	/// </summary>
	public decimal SarStep
	{
		get => _sarStep.Value;
		set => _sarStep.Value = value;
	}

	/// <summary>
	/// Parabolic SAR maximum acceleration.
	/// </summary>
	public decimal SarMax
	{
		get => _sarMax.Value;
		set => _sarMax.Value = value;
	}

	/// <summary>
	/// RSI lookback period.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	/// <summary>
	/// RSI neutral level used for bullish or bearish confirmation.
	/// </summary>
	public decimal RsiNeutralLevel
	{
		get => _rsiNeutralLevel.Value;
		set => _rsiNeutralLevel.Value = value;
	}

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

	/// <summary>
	/// Maximum absolute net position allowed by the strategy.
	/// </summary>
	public decimal MaxPosition
	{
		get => _maxPosition.Value;
		set => _maxPosition.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="SarRsiMtsStrategy"/> class.
	/// </summary>
	public SarRsiMtsStrategy()
	{
		_stopLossPips = Param(nameof(StopLossPips), 10m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (pips)", "Stop loss distance in pips", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 40m)
			.SetNotNegative()
			.SetDisplay("Take Profit (pips)", "Take profit distance in pips", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 15m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop (pips)", "Trailing stop distance in pips", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
			.SetNotNegative()
			.SetDisplay("Trailing Step (pips)", "Trailing step distance in pips", "Risk");

		_sarStep = Param(nameof(SarStep), 0.05m)
			.SetGreaterThanZero()
			.SetDisplay("SAR Step", "Parabolic SAR acceleration step", "Indicators");

		_sarMax = Param(nameof(SarMax), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("SAR Maximum", "Parabolic SAR maximum acceleration", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Lookback period for RSI", "Indicators");

		_rsiNeutralLevel = Param(nameof(RsiNeutralLevel), 50m)
			.SetDisplay("RSI Neutral", "Neutral RSI threshold separating bullish and bearish bias", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for indicator calculations", "General");

		_maxPosition = Param(nameof(MaxPosition), 5m)
			.SetGreaterThanZero()
			.SetDisplay("Max Position", "Maximum absolute net position allowed", "Risk");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousSar = null;
		_previousRsi = null;
		_longTrailingStop = null;
		_shortTrailingStop = null;
		_pipSize = 0;
		_entryPrice = 0;
		_lastTradeTime = default;
	}

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

		_pipSize = CalculatePipSize();

		var parabolicSar = new ParabolicSar
		{
			Acceleration = SarStep,
			AccelerationStep = SarStep,
			AccelerationMax = SarMax
		};

		var rsi = new RelativeStrengthIndex
		{
			Length = RsiPeriod
		};

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

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

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

		if (ManageRisk(candle))
			return;

		if (sarValue == 0m || rsiValue == 0m)
			return;

		if (!_previousSar.HasValue || !_previousRsi.HasValue)
		{
			_previousSar = sarValue;
			_previousRsi = rsiValue;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousSar = sarValue;
			_previousRsi = rsiValue;
			return;
		}

		// Cooldown: skip if a trade was placed within the last ~240 candles (5-min candles = ~1200 min)
		if (_lastTradeTime != default && (candle.OpenTime - _lastTradeTime) < TimeSpan.FromMinutes(1200))
		{
			_previousSar = sarValue;
			_previousRsi = rsiValue;
			return;
		}

		var sarPrev = _previousSar.Value;
		var rsiPrev = _previousRsi.Value;

		var price = candle.ClosePrice;
		var buySignal = sarPrev < price
			&& !AreClose(sarPrev, price)
			&& sarValue > sarPrev
			&& rsiValue > RsiNeutralLevel
			&& rsiValue > rsiPrev
			&& !AreClose(rsiValue, rsiPrev);

		if (buySignal)
		{
			EnterLong(candle);
		}
		else
		{
			var sellSignal = sarPrev > price
				&& !AreClose(sarPrev, price)
				&& sarValue < sarPrev
				&& rsiValue < RsiNeutralLevel
				&& rsiValue < rsiPrev
				&& !AreClose(rsiValue, rsiPrev);

			if (sellSignal)
				EnterShort(candle);
		}

		_previousSar = sarValue;
		_previousRsi = rsiValue;
	}

	private void EnterLong(ICandleMessage candle)
	{
		var tradeVolume = Volume;
		if (tradeVolume <= 0m)
			return;

		var maxPosition = MaxPosition;
		if (maxPosition <= 0m)
			return;

		var current = Position;
		var target = current < 0 ? Math.Min(maxPosition, tradeVolume) : Math.Min(maxPosition, current + tradeVolume);
		var required = target - current;
		if (required <= 0m)
			return;

		BuyMarket(required);
		_longTrailingStop = null;
		_shortTrailingStop = null;
		_lastTradeTime = candle.OpenTime;
	}

	private void EnterShort(ICandleMessage candle)
	{
		var tradeVolume = Volume;
		if (tradeVolume <= 0m)
			return;

		var maxPosition = MaxPosition;
		if (maxPosition <= 0m)
			return;

		var current = Position;
		var target = current > 0 ? -Math.Min(maxPosition, tradeVolume) : Math.Max(-maxPosition, current - tradeVolume);
		var required = current - target;
		if (required <= 0m)
			return;

		SellMarket(required);
		_longTrailingStop = null;
		_shortTrailingStop = null;
		_lastTradeTime = candle.OpenTime;
	}

	private bool ManageRisk(ICandleMessage candle)
	{
		if (Position > 0m)
		{
			var entryPrice = _entryPrice;
			if (entryPrice <= 0m)
				return false;

			var trailingTriggered = UpdateLongTrailing(candle, entryPrice);
			if (trailingTriggered)
				return true;

			var stopDistance = GetPriceOffset(StopLossPips);
			if (stopDistance > 0m)
			{
				var stopPrice = entryPrice - stopDistance;
				if (candle.LowPrice <= stopPrice)
				{
					SellMarket(Position);
					ResetTrailing();
					return true;
				}
			}

			var takeDistance = GetPriceOffset(TakeProfitPips);
			if (takeDistance > 0m)
			{
				var takePrice = entryPrice + takeDistance;
				if (candle.HighPrice >= takePrice)
				{
					SellMarket(Position);
					ResetTrailing();
					return true;
				}
			}
		}
		else if (Position < 0m)
		{
			var entryPrice = _entryPrice;
			if (entryPrice <= 0m)
				return false;

			var trailingTriggered = UpdateShortTrailing(candle, entryPrice);
			if (trailingTriggered)
				return true;

			var stopDistance = GetPriceOffset(StopLossPips);
			if (stopDistance > 0m)
			{
				var stopPrice = entryPrice + stopDistance;
				if (candle.HighPrice >= stopPrice)
				{
					BuyMarket(Math.Abs(Position));
					ResetTrailing();
					return true;
				}
			}

			var takeDistance = GetPriceOffset(TakeProfitPips);
			if (takeDistance > 0m)
			{
				var takePrice = entryPrice - takeDistance;
				if (candle.LowPrice <= takePrice)
				{
					BuyMarket(Math.Abs(Position));
					ResetTrailing();
					return true;
				}
			}
		}
		else
		{
			ResetTrailing();
		}

		return false;
	}

	private bool UpdateLongTrailing(ICandleMessage candle, decimal entryPrice)
	{
		var trailingDistance = GetPriceOffset(TrailingStopPips);
		if (trailingDistance <= 0m)
		{
			_longTrailingStop = null;
			return false;
		}

		var trailingStep = GetPriceOffset(TrailingStepPips);
		var profit = candle.ClosePrice - entryPrice;
		if (profit >= trailingDistance + trailingStep)
		{
			var candidate = candle.ClosePrice - trailingDistance;
			var threshold = candle.ClosePrice - (trailingDistance + trailingStep);
			if (!_longTrailingStop.HasValue || _longTrailingStop.Value < threshold)
				_longTrailingStop = candidate;
		}

		if (_longTrailingStop.HasValue && candle.LowPrice <= _longTrailingStop.Value)
		{
			SellMarket(Position);
			ResetTrailing();
			return true;
		}

		return false;
	}

	private bool UpdateShortTrailing(ICandleMessage candle, decimal entryPrice)
	{
		var trailingDistance = GetPriceOffset(TrailingStopPips);
		if (trailingDistance <= 0m)
		{
			_shortTrailingStop = null;
			return false;
		}

		var trailingStep = GetPriceOffset(TrailingStepPips);
		var profit = entryPrice - candle.ClosePrice;
		if (profit >= trailingDistance + trailingStep)
		{
			var candidate = candle.ClosePrice + trailingDistance;
			var threshold = candle.ClosePrice + (trailingDistance + trailingStep);
			if (!_shortTrailingStop.HasValue || _shortTrailingStop.Value > threshold)
				_shortTrailingStop = candidate;
		}

		if (_shortTrailingStop.HasValue && candle.HighPrice >= _shortTrailingStop.Value)
		{
			BuyMarket(Math.Abs(Position));
			ResetTrailing();
			return true;
		}

		return false;
	}

	private decimal GetPriceOffset(decimal pips)
	{
		if (pips <= 0m)
			return 0m;

		var pip = _pipSize;
		if (pip <= 0m)
			pip = Security?.PriceStep ?? 1m;

		return pip * pips;
	}

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

		var decimals = Security?.Decimals;
		var adjust = decimals == 3 || decimals == 5 ? 10m : 1m;

		return priceStep * adjust;
	}

	private void ResetTrailing()
	{
		_longTrailingStop = null;
		_shortTrailingStop = null;
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);
		if (trade?.Trade == null) return;
		if (Position != 0 && _entryPrice == 0m)
			_entryPrice = trade.Trade.Price;
		if (Position == 0)
			_entryPrice = 0m;
	}

	private bool AreClose(decimal value1, decimal value2)
	{
		var decimals = Security?.Decimals ?? 4;
		return Math.Round(value1 - value2, decimals) == 0m;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, Math
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import ParabolicSar, RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class sar_rsi_mts_strategy(Strategy):
    def __init__(self):
        super(sar_rsi_mts_strategy, self).__init__()
        self._sl_pips = self.Param("StopLossPips", 10.0).SetNotNegative().SetDisplay("Stop Loss (pips)", "SL distance", "Risk")
        self._tp_pips = self.Param("TakeProfitPips", 40.0).SetNotNegative().SetDisplay("Take Profit (pips)", "TP distance", "Risk")
        self._trailing_pips = self.Param("TrailingStopPips", 15.0).SetNotNegative().SetDisplay("Trailing Stop (pips)", "Trailing stop distance", "Risk")
        self._trailing_step_pips = self.Param("TrailingStepPips", 5.0).SetNotNegative().SetDisplay("Trailing Step (pips)", "Trailing step distance", "Risk")
        self._sar_step = self.Param("SarStep", 0.05).SetGreaterThanZero().SetDisplay("SAR Step", "Parabolic SAR acceleration step", "Indicators")
        self._sar_max = self.Param("SarMax", 0.5).SetGreaterThanZero().SetDisplay("SAR Maximum", "Parabolic SAR maximum acceleration", "Indicators")
        self._rsi_period = self.Param("RsiPeriod", 14).SetGreaterThanZero().SetDisplay("RSI Period", "Lookback period for RSI", "Indicators")
        self._rsi_neutral = self.Param("RsiNeutralLevel", 50.0).SetDisplay("RSI Neutral", "Neutral RSI threshold", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Candle type", "General")

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

    def OnReseted(self):
        super(sar_rsi_mts_strategy, self).OnReseted()
        self._prev_sar = None
        self._prev_rsi = None
        self._entry_price = 0
        self._long_trailing = None
        self._short_trailing = None

    def OnStarted2(self, time):
        super(sar_rsi_mts_strategy, self).OnStarted2(time)
        self._prev_sar = None
        self._prev_rsi = None
        self._entry_price = 0
        self._long_trailing = None
        self._short_trailing = None
        self._pip_size = 1.0
        if self.Security is not None and self.Security.PriceStep is not None and self.Security.PriceStep > 0:
            self._pip_size = float(self.Security.PriceStep)

        sar = ParabolicSar()
        sar.Acceleration = self._sar_step.Value
        sar.AccelerationStep = self._sar_step.Value
        sar.AccelerationMax = self._sar_max.Value

        rsi = RelativeStrengthIndex()
        rsi.Length = self._rsi_period.Value

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(sar, rsi, self.OnProcess).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, sub)
            self.DrawIndicator(area, sar)
            self.DrawIndicator(area, rsi)
            self.DrawOwnTrades(area)

    def OnProcess(self, candle, sar_val, rsi_val):
        if candle.State != CandleStates.Finished:
            return

        close = float(candle.ClosePrice)

        # Manage risk first
        if self._manage_risk(candle, close):
            self._prev_sar = sar_val
            self._prev_rsi = rsi_val
            return

        if self._prev_sar is None or self._prev_rsi is None:
            self._prev_sar = sar_val
            self._prev_rsi = rsi_val
            return

        prev_sar = self._prev_sar
        prev_rsi = self._prev_rsi

        # Buy signal: SAR below price, SAR rising, RSI above neutral and rising
        buy_signal = (prev_sar < close
            and sar_val > prev_sar
            and rsi_val > self._rsi_neutral.Value
            and rsi_val > prev_rsi)

        if buy_signal:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
                self._entry_price = close
                self._long_trailing = None
                self._short_trailing = None
        else:
            # Sell signal: SAR above price, SAR falling, RSI below neutral and falling
            sell_signal = (prev_sar > close
                and sar_val < prev_sar
                and rsi_val < self._rsi_neutral.Value
                and rsi_val < prev_rsi)

            if sell_signal:
                if self.Position > 0:
                    self.SellMarket()
                if self.Position >= 0:
                    self.SellMarket()
                    self._entry_price = close
                    self._long_trailing = None
                    self._short_trailing = None

        self._prev_sar = sar_val
        self._prev_rsi = rsi_val

    def _manage_risk(self, candle, close):
        pip = self._pip_size

        if self.Position > 0 and self._entry_price > 0:
            # Trailing
            trail_dist = self._trailing_pips.Value * pip
            trail_step = self._trailing_step_pips.Value * pip
            if trail_dist > 0:
                profit = close - self._entry_price
                if profit >= trail_dist + trail_step:
                    candidate = close - trail_dist
                    threshold = close - (trail_dist + trail_step)
                    if self._long_trailing is None or self._long_trailing < threshold:
                        self._long_trailing = candidate
                if self._long_trailing is not None and float(candle.LowPrice) <= self._long_trailing:
                    self.SellMarket()
                    self._reset_trailing()
                    return True

            # Stop loss
            sl_dist = self._sl_pips.Value * pip
            if sl_dist > 0:
                if float(candle.LowPrice) <= self._entry_price - sl_dist:
                    self.SellMarket()
                    self._reset_trailing()
                    return True

            # Take profit
            tp_dist = self._tp_pips.Value * pip
            if tp_dist > 0:
                if float(candle.HighPrice) >= self._entry_price + tp_dist:
                    self.SellMarket()
                    self._reset_trailing()
                    return True

        elif self.Position < 0 and self._entry_price > 0:
            # Trailing
            trail_dist = self._trailing_pips.Value * pip
            trail_step = self._trailing_step_pips.Value * pip
            if trail_dist > 0:
                profit = self._entry_price - close
                if profit >= trail_dist + trail_step:
                    candidate = close + trail_dist
                    threshold = close + (trail_dist + trail_step)
                    if self._short_trailing is None or self._short_trailing > threshold:
                        self._short_trailing = candidate
                if self._short_trailing is not None and float(candle.HighPrice) >= self._short_trailing:
                    self.BuyMarket()
                    self._reset_trailing()
                    return True

            # Stop loss
            sl_dist = self._sl_pips.Value * pip
            if sl_dist > 0:
                if float(candle.HighPrice) >= self._entry_price + sl_dist:
                    self.BuyMarket()
                    self._reset_trailing()
                    return True

            # Take profit
            tp_dist = self._tp_pips.Value * pip
            if tp_dist > 0:
                if float(candle.LowPrice) <= self._entry_price - tp_dist:
                    self.BuyMarket()
                    self._reset_trailing()
                    return True
        else:
            self._reset_trailing()

        return False

    def _reset_trailing(self):
        self._long_trailing = None
        self._short_trailing = None
        self._entry_price = 0

    def CreateClone(self):
        return sar_rsi_mts_strategy()