Pipsover Chaikin Hedge 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>
/// Chaikin oscillator oversold/overbought strategy with optional reversal hedging and trailing management.
/// </summary>
public class PipsoverChaikinHedgeStrategy : Strategy
{
	private readonly StrategyParam<decimal> _openLevel;
	private readonly StrategyParam<decimal> _closeLevel;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _breakevenPips;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _maShift;
	private readonly StrategyParam<MovingAverageTypeOptions> _maType;
	private readonly StrategyParam<int> _chaikinFastPeriod;
	private readonly StrategyParam<int> _chaikinSlowPeriod;
	private readonly StrategyParam<MovingAverageTypeOptions> _chaikinMaType;
	private readonly StrategyParam<DataType> _candleType;

	private AccumulationDistributionLine _adLine = null!;
	private IIndicator _priceMa = null!;
	private IIndicator _chaikinFast = null!;
	private IIndicator _chaikinSlow = null!;

	private readonly Queue<decimal> _maValues = new();

	private decimal _pipSize;
	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takeProfitPrice;
	private decimal _prevOpen;
	private decimal _prevClose;
	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrevCandle;
	private decimal _prevChaikin;
	private bool _hasPrevChaikin;

	/// <summary>
	/// Chaikin threshold for entries.
	/// </summary>
	public decimal OpenLevel
	{
		get => _openLevel.Value;
		set => _openLevel.Value = value;
	}

	/// <summary>
	/// Chaikin threshold for hedging reversals.
	/// </summary>
	public decimal CloseLevel
	{
		get => _closeLevel.Value;
		set => _closeLevel.Value = value;
	}

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

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

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

	/// <summary>
	/// Breakeven activation distance in pips.
	/// </summary>
	public decimal BreakevenPips
	{
		get => _breakevenPips.Value;
		set => _breakevenPips.Value = value;
	}

	/// <summary>
	/// Moving average length.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Moving average shift in bars.
	/// </summary>
	public int MaShift
	{
		get => _maShift.Value;
		set => _maShift.Value = value;
	}

	/// <summary>
	/// Moving average type for price filter.
	/// </summary>
	public MovingAverageTypeOptions MaType
	{
		get => _maType.Value;
		set => _maType.Value = value;
	}

	/// <summary>
	/// Fast Chaikin moving average length.
	/// </summary>
	public int ChaikinFastPeriod
	{
		get => _chaikinFastPeriod.Value;
		set => _chaikinFastPeriod.Value = value;
	}

	/// <summary>
	/// Slow Chaikin moving average length.
	/// </summary>
	public int ChaikinSlowPeriod
	{
		get => _chaikinSlowPeriod.Value;
		set => _chaikinSlowPeriod.Value = value;
	}

	/// <summary>
	/// Moving average type used in Chaikin oscillator.
	/// </summary>
	public MovingAverageTypeOptions ChaikinMaType
	{
		get => _chaikinMaType.Value;
		set => _chaikinMaType.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="PipsoverChaikinHedgeStrategy"/> class.
	/// </summary>
	public PipsoverChaikinHedgeStrategy()
	{
		_openLevel = Param(nameof(OpenLevel), 0.01m)
		.SetGreaterThanZero()
		.SetDisplay("Open Level", "Chaikin level for entries", "Chaikin");

		_closeLevel = Param(nameof(CloseLevel), 0.02m)
		.SetGreaterThanZero()
		.SetDisplay("Close Level", "Chaikin level for hedging", "Chaikin");

		_stopLossPips = Param(nameof(StopLossPips), 65m)
		.SetDisplay("Stop Loss (pips)", "Stop-loss distance in pips", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 100m)
		.SetDisplay("Take Profit (pips)", "Take-profit distance in pips", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 30m)
		.SetDisplay("Trailing Stop (pips)", "Trailing stop distance in pips", "Risk");

		_breakevenPips = Param(nameof(BreakevenPips), 15m)
		.SetDisplay("Breakeven (pips)", "Breakeven activation distance", "Risk");

		_maPeriod = Param(nameof(MaPeriod), 20)
		.SetGreaterThanZero()
		.SetDisplay("MA Period", "Price moving average length", "Trend");

		_maShift = Param(nameof(MaShift), 0)
		.SetDisplay("MA Shift", "Price moving average shift", "Trend");

		_maType = Param(nameof(MaType), MovingAverageTypeOptions.Simple)
		.SetDisplay("MA Type", "Price moving average type", "Trend");

		_chaikinFastPeriod = Param(nameof(ChaikinFastPeriod), 3)
		.SetGreaterThanZero()
		.SetDisplay("Chaikin Fast", "Fast Chaikin length", "Chaikin");

		_chaikinSlowPeriod = Param(nameof(ChaikinSlowPeriod), 10)
		.SetGreaterThanZero()
		.SetDisplay("Chaikin Slow", "Slow Chaikin length", "Chaikin");

		_chaikinMaType = Param(nameof(ChaikinMaType), MovingAverageTypeOptions.Exponential)
		.SetDisplay("Chaikin MA Type", "Chaikin moving average type", "Chaikin");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
		.SetDisplay("Candle Type", "Timeframe for analysis", "Data");
	}

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

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

		_maValues.Clear();
		_pipSize = 0m;
		_entryPrice = null;
		_stopPrice = null;
		_takeProfitPrice = null;
		_prevOpen = 0m;
		_prevClose = 0m;
		_prevHigh = 0m;
		_prevLow = 0m;
		_prevChaikin = 0m;
		_hasPrevCandle = false;
		_hasPrevChaikin = false;
	}

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

		_pipSize = CalculatePipSize();

		_adLine = new AccumulationDistributionLine();
		_priceMa = CreateMovingAverage(MaType, MaPeriod);
		_chaikinFast = CreateMovingAverage(ChaikinMaType, ChaikinFastPeriod);
		_chaikinSlow = CreateMovingAverage(ChaikinMaType, ChaikinSlowPeriod);

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

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

		var prevOpen = _prevOpen;
		var prevClose = _prevClose;
		var prevHigh = _prevHigh;
		var prevLow = _prevLow;
		var prevChaikin = _prevChaikin;
		var hasPrevCandle = _hasPrevCandle;
		var hasPrevChaikin = _hasPrevChaikin;

		var fastValue = _chaikinFast.Process(new DecimalIndicatorValue(_chaikinFast, adValue, candle.OpenTime) { IsFinal = true });
		var slowValue = _chaikinSlow.Process(new DecimalIndicatorValue(_chaikinSlow, adValue, candle.OpenTime) { IsFinal = true });

		if (!fastValue.IsFinal || !slowValue.IsFinal)
		{
			_prevChaikin = fastValue.ToDecimal() - slowValue.ToDecimal();
			_hasPrevChaikin = true;
			StorePreviousCandle(candle);
			return;
		}

		var chaikin = fastValue.ToDecimal() - slowValue.ToDecimal();
		var shiftedMa = UpdateShiftedMa(maValue);

		if (shiftedMa is null)
		{
			_prevChaikin = chaikin;
			_hasPrevChaikin = true;
			StorePreviousCandle(candle);
			return;
		}

		var hasPrevData = hasPrevCandle && hasPrevChaikin;
		var positionClosed = HandleStopsAndTargets(candle);
		var reversed = false;

		if (Position == 0m)
		{
			if (hasPrevData)
			{
				var bullishPrev = prevClose > prevOpen;
				var bearishPrev = prevClose < prevOpen;

				if (bullishPrev && prevLow < shiftedMa && prevChaikin < -OpenLevel)
				{
					BuyMarket(Volume);
					SetupLongTargets(candle.ClosePrice);
				}
				else if (bearishPrev && prevHigh > shiftedMa && prevChaikin > OpenLevel)
				{
					SellMarket(Volume);
					SetupShortTargets(candle.ClosePrice);
				}
			}
		}
		else if (!positionClosed)
		{
			if (hasPrevData)
			{
				var bearishPrev = prevClose < prevOpen;
				var bullishPrev = prevClose > prevOpen;

				if (Position > 0m && bearishPrev && prevHigh > shiftedMa && prevChaikin > CloseLevel)
				{
					var size = Math.Abs(Position) + Volume;
					SellMarket(size);
					SetupShortTargets(candle.ClosePrice);
					reversed = true;
				}
				else if (Position < 0m && bullishPrev && prevLow < shiftedMa && prevChaikin < -CloseLevel)
				{
					var size = Math.Abs(Position) + Volume;
					BuyMarket(size);
					SetupLongTargets(candle.ClosePrice);
					reversed = true;
				}
			}

			if (!reversed)
			UpdateTrailing(candle);
		}

		_prevChaikin = chaikin;
		_hasPrevChaikin = true;
		StorePreviousCandle(candle);
	}
	private decimal? UpdateShiftedMa(decimal maValue)
	{
		var shift = Math.Max(0, MaShift);
		_maValues.Enqueue(maValue);

		while (_maValues.Count > shift + 1)
		_maValues.Dequeue();

		var values = _maValues.ToArray();
		if (values.Length < shift + 1)
		return null;

		return values[0];
	}

	private void StorePreviousCandle(ICandleMessage candle)
	{
		_prevOpen = candle.OpenPrice;
		_prevClose = candle.ClosePrice;
		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
		_hasPrevCandle = true;
	}

	private bool HandleStopsAndTargets(ICandleMessage candle)
	{
		if (Position > 0m)
		{
			if (_stopPrice is decimal stop && candle.LowPrice <= stop)
			{
				SellMarket(Math.Abs(Position));
				ResetPositionState();
				return true;
			}

			if (_takeProfitPrice is decimal take && candle.HighPrice >= take)
			{
				SellMarket(Math.Abs(Position));
				ResetPositionState();
				return true;
			}
		}
		else if (Position < 0m)
		{
			if (_stopPrice is decimal stop && candle.HighPrice >= stop)
			{
				BuyMarket(Math.Abs(Position));
				ResetPositionState();
				return true;
			}

			if (_takeProfitPrice is decimal take && candle.LowPrice <= take)
			{
				BuyMarket(Math.Abs(Position));
				ResetPositionState();
				return true;
			}
		}

		return false;
	}

	private void SetupLongTargets(decimal price)
	{
		_entryPrice = price;

		if (StopLossPips > 0m)
		_stopPrice = price - StopLossPips * _pipSize;
		else
		_stopPrice = null;

		if (TakeProfitPips > 0m)
		_takeProfitPrice = price + TakeProfitPips * _pipSize;
		else
		_takeProfitPrice = null;
	}

	private void SetupShortTargets(decimal price)
	{
		_entryPrice = price;

		if (StopLossPips > 0m)
		_stopPrice = price + StopLossPips * _pipSize;
		else
		_stopPrice = null;

		if (TakeProfitPips > 0m)
		_takeProfitPrice = price - TakeProfitPips * _pipSize;
		else
		_takeProfitPrice = null;
	}

	private void UpdateTrailing(ICandleMessage candle)
	{
		if (_entryPrice is not decimal entry)
		return;

		var breakevenDist = BreakevenPips > 0m ? BreakevenPips * _pipSize : 0m;
		var trailingDist = TrailingStopPips > 0m ? TrailingStopPips * _pipSize : 0m;

		if (Position > 0m)
		{
			var move = candle.ClosePrice - entry;

			if (breakevenDist > 0m && move > breakevenDist)
			{
				if (_stopPrice is null || _stopPrice < entry)
				_stopPrice = entry;
			}

			if (trailingDist > 0m)
			{
				var activation = breakevenDist + trailingDist;
				if (move > activation)
				{
					var newStop = candle.ClosePrice - trailingDist;
					if (_stopPrice is null || newStop > _stopPrice)
					_stopPrice = newStop;
				}
			}
		}
		else if (Position < 0m)
		{
			var move = entry - candle.ClosePrice;

			if (breakevenDist > 0m && move > breakevenDist)
			{
				if (_stopPrice is null || _stopPrice > entry)
				_stopPrice = entry;
			}

			if (trailingDist > 0m)
			{
				var activation = breakevenDist + trailingDist;
				if (move > activation)
				{
					var newStop = candle.ClosePrice + trailingDist;
					if (_stopPrice is null || newStop < _stopPrice)
					_stopPrice = newStop;
				}
			}
		}
	}

	private void ResetPositionState()
	{
		_entryPrice = null;
		_stopPrice = null;
		_takeProfitPrice = null;
	}

	private decimal CalculatePipSize()
	{
		var step = Security?.PriceStep ?? 0.0001m;
		if (step <= 0m)
		step = 0.0001m;

		var tmp = step;
		var decimals = 0;

		while (tmp < 1m && decimals < 10)
		{
			tmp *= 10m;
			decimals++;
		}

		return decimals == 3 || decimals == 5 ? step * 10m : step;
	}

	private static IIndicator CreateMovingAverage(MovingAverageTypeOptions type, int length)
	{
		return type switch
		{
			MovingAverageTypeOptions.Simple => new SimpleMovingAverage { Length = length },
			MovingAverageTypeOptions.Exponential => new ExponentialMovingAverage { Length = length },
			MovingAverageTypeOptions.Smoothed => new SmoothedMovingAverage { Length = length },
			MovingAverageTypeOptions.Weighted => new WeightedMovingAverage { Length = length },
			_ => new SimpleMovingAverage { Length = length }
		};
	}

	/// <summary>
	/// Moving average options matching the MetaTrader configuration.
	/// </summary>
	public enum MovingAverageTypeOptions
	{
		Simple,
		Exponential,
		Smoothed,
		Weighted
	}
}

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, Decimal
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import SimpleMovingAverage, ExponentialMovingAverage, AccumulationDistributionLine
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class pipsover_chaikin_hedge_strategy(Strategy):
    def __init__(self):
        super(pipsover_chaikin_hedge_strategy, self).__init__()
        self._open_level = self.Param("OpenLevel", 0.01).SetGreaterThanZero().SetDisplay("Open Level", "Chaikin level for entries", "Chaikin")
        self._close_level = self.Param("CloseLevel", 0.02).SetGreaterThanZero().SetDisplay("Close Level", "Chaikin level for hedging", "Chaikin")
        self._sl_pips = self.Param("StopLossPips", 65.0).SetDisplay("Stop Loss (pips)", "Stop-loss distance", "Risk")
        self._tp_pips = self.Param("TakeProfitPips", 100.0).SetDisplay("Take Profit (pips)", "Take-profit distance", "Risk")
        self._ma_period = self.Param("MaPeriod", 20).SetGreaterThanZero().SetDisplay("MA Period", "Price MA length", "Trend")
        self._chaikin_fast = self.Param("ChaikinFastPeriod", 3).SetGreaterThanZero().SetDisplay("Chaikin Fast", "Fast Chaikin length", "Chaikin")
        self._chaikin_slow = self.Param("ChaikinSlowPeriod", 10).SetGreaterThanZero().SetDisplay("Chaikin Slow", "Slow Chaikin length", "Chaikin")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30))).SetDisplay("Candle Type", "Timeframe", "Data")

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

    def OnReseted(self):
        super(pipsover_chaikin_hedge_strategy, self).OnReseted()
        self._pip_size = 0
        self._entry_price = None
        self._stop_price = None
        self._tp_price = None
        self._prev_open = 0
        self._prev_close = 0
        self._prev_high = 0
        self._prev_low = 0
        self._prev_chaikin = 0
        self._has_prev = False
        self._has_prev_chaikin = False

    def OnStarted2(self, time):
        super(pipsover_chaikin_hedge_strategy, self).OnStarted2(time)
        self._pip_size = self._calc_pip_size()
        self._entry_price = None
        self._stop_price = None
        self._tp_price = None
        self._prev_open = 0
        self._prev_close = 0
        self._prev_high = 0
        self._prev_low = 0
        self._prev_chaikin = 0
        self._has_prev = False
        self._has_prev_chaikin = False

        self._adl = AccumulationDistributionLine()
        self._price_ma = SimpleMovingAverage()
        self._price_ma.Length = self._ma_period.Value
        self._ema_fast = ExponentialMovingAverage()
        self._ema_fast.Length = self._chaikin_fast.Value
        self._ema_slow = ExponentialMovingAverage()
        self._ema_slow.Length = self._chaikin_slow.Value

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self._price_ma, self._adl, self.OnProcess).Start()

    def _calc_pip_size(self):
        step = 0.0001
        if self.Security is not None and self.Security.PriceStep is not None and self.Security.PriceStep > 0:
            step = float(self.Security.PriceStep)
        return step

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

        t = candle.ServerTime
        fast_res = process_float(self._ema_fast, Decimal(float(ad_val)), t, True)
        slow_res = process_float(self._ema_slow, Decimal(float(ad_val)), t, True)
        chaikin = float(fast_res.Value) - float(slow_res.Value)

        if not self._ema_fast.IsFormed or not self._ema_slow.IsFormed:
            self._prev_chaikin = chaikin
            self._has_prev_chaikin = True
            self._store_candle(candle)
            return

        has_prev_data = self._has_prev and self._has_prev_chaikin
        self._handle_stops(candle)

        if self.Position == 0 and has_prev_data:
            bullish = self._prev_close > self._prev_open
            bearish = self._prev_close < self._prev_open

            if bullish and self._prev_low < ma_val and self._prev_chaikin < -self._open_level.Value:
                self.BuyMarket()
                self._setup_long(candle.ClosePrice)
            elif bearish and self._prev_high > ma_val and self._prev_chaikin > self._open_level.Value:
                self.SellMarket()
                self._setup_short(candle.ClosePrice)
        elif self.Position != 0 and has_prev_data:
            bearish = self._prev_close < self._prev_open
            bullish = self._prev_close > self._prev_open

            if self.Position > 0 and bearish and self._prev_high > ma_val and self._prev_chaikin > self._close_level.Value:
                size = Math.Abs(self.Position) + self.Volume
                self.SellMarket(size)
                self._setup_short(candle.ClosePrice)
            elif self.Position < 0 and bullish and self._prev_low < ma_val and self._prev_chaikin < -self._close_level.Value:
                size = Math.Abs(self.Position) + self.Volume
                self.BuyMarket(size)
                self._setup_long(candle.ClosePrice)

        self._prev_chaikin = chaikin
        self._has_prev_chaikin = True
        self._store_candle(candle)

    def _store_candle(self, candle):
        self._prev_open = float(candle.OpenPrice)
        self._prev_close = float(candle.ClosePrice)
        self._prev_high = float(candle.HighPrice)
        self._prev_low = float(candle.LowPrice)
        self._has_prev = True

    def _handle_stops(self, candle):
        if self.Position > 0:
            if self._stop_price is not None and candle.LowPrice <= self._stop_price:
                self.SellMarket(Math.Abs(self.Position))
                self._reset_state()
            elif self._tp_price is not None and candle.HighPrice >= self._tp_price:
                self.SellMarket(Math.Abs(self.Position))
                self._reset_state()
        elif self.Position < 0:
            if self._stop_price is not None and candle.HighPrice >= self._stop_price:
                self.BuyMarket(Math.Abs(self.Position))
                self._reset_state()
            elif self._tp_price is not None and candle.LowPrice <= self._tp_price:
                self.BuyMarket(Math.Abs(self.Position))
                self._reset_state()

    def _setup_long(self, price):
        self._entry_price = float(price)
        self._stop_price = self._entry_price - self._sl_pips.Value * self._pip_size if self._sl_pips.Value > 0 else None
        self._tp_price = self._entry_price + self._tp_pips.Value * self._pip_size if self._tp_pips.Value > 0 else None

    def _setup_short(self, price):
        self._entry_price = float(price)
        self._stop_price = self._entry_price + self._sl_pips.Value * self._pip_size if self._sl_pips.Value > 0 else None
        self._tp_price = self._entry_price - self._tp_pips.Value * self._pip_size if self._tp_pips.Value > 0 else None

    def _reset_state(self):
        self._entry_price = None
        self._stop_price = None
        self._tp_price = None

    def CreateClone(self):
        return pipsover_chaikin_hedge_strategy()