Aeron JJN スキャルパー EA 戦略

using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Port of the Aeron JJN Scalper expert advisor.
/// Detects reversal candle patterns (bullish candle after strong bearish, and vice versa)
/// and enters at breakout of the prior candle's open level.
/// </summary>
public class AeronJjnScalperEaStrategy : Strategy
{
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _bodyMinAtr;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private AverageTrueRange _atr;
	private decimal _prevOpen;
	private decimal _prevClose;
	private bool _hasPrev;
	private int _cooldown;

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	public decimal BodyMinAtr
	{
		get => _bodyMinAtr.Value;
		set => _bodyMinAtr.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public AeronJjnScalperEaStrategy()
	{
		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR indicator period", "Indicators");

		_bodyMinAtr = Param(nameof(BodyMinAtr), 1.5m)
			.SetDisplay("Body Min ATR", "Minimum candle body size as ATR multiple", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetGreaterThanZero()
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_hasPrev = false;
		_cooldown = 0;
		_prevOpen = 0;
		_prevClose = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_atr = new AverageTrueRange { Length = AtrLength };
		_hasPrev = false;
		_cooldown = 0;

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

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

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

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

		if (atrVal <= 0)
		{
			SavePrev(candle);
			return;
		}

		if (_cooldown > 0)
			_cooldown--;

		if (_hasPrev && _cooldown == 0 && Position == 0)
		{
			var prevBody = Math.Abs(_prevClose - _prevOpen);
			var minBody = atrVal * BodyMinAtr;

			// Bullish candle after strong bearish candle => buy
			if (candle.ClosePrice > candle.OpenPrice && _prevClose < _prevOpen && prevBody >= minBody)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			// Bearish candle after strong bullish candle => sell
			else if (candle.ClosePrice < candle.OpenPrice && _prevClose > _prevOpen && prevBody >= minBody)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}

		SavePrev(candle);
	}

	private void SavePrev(ICandleMessage candle)
	{
		_prevOpen = candle.OpenPrice;
		_prevClose = candle.ClosePrice;
		_hasPrev = true;
	}
}

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, Unit, UnitTypes
from StockSharp.Algo.Indicators import AverageTrueRange
from StockSharp.Algo.Strategies import Strategy


class aeron_jjn_scalper_ea_strategy(Strategy):

    def __init__(self):
        super(aeron_jjn_scalper_ea_strategy, self).__init__()
        self._atr_length = self.Param("AtrLength", 14)
        self._body_min_atr = self.Param("BodyMinAtr", 1.5)
        self._cooldown_bars = self.Param("CooldownBars", 10)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))

        self._prev_open = 0.0
        self._prev_close = 0.0
        self._has_prev = False
        self._cooldown = 0

    @property
    def AtrLength(self):
        return self._atr_length.Value

    @property
    def BodyMinAtr(self):
        return self._body_min_atr.Value

    @property
    def CooldownBars(self):
        return self._cooldown_bars.Value

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

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

        self._has_prev = False
        self._cooldown = 0

        atr = AverageTrueRange()
        atr.Length = self.AtrLength

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(atr, self._process_candle).Start()

        self.StartProtection(
            takeProfit=Unit(2, UnitTypes.Percent),
            stopLoss=Unit(1, UnitTypes.Percent)
        )

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

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

        atr_value = float(atr_val)

        if atr_value <= 0:
            self._save_prev(candle)
            return

        if self._cooldown > 0:
            self._cooldown -= 1

        if self._has_prev and self._cooldown == 0 and float(self.Position) == 0:
            prev_body = abs(self._prev_close - self._prev_open)
            min_body = atr_value * float(self.BodyMinAtr)

            if float(candle.ClosePrice) > float(candle.OpenPrice) and self._prev_close < self._prev_open and prev_body >= min_body:
                self.BuyMarket()
                self._cooldown = self.CooldownBars
            elif float(candle.ClosePrice) < float(candle.OpenPrice) and self._prev_close > self._prev_open and prev_body >= min_body:
                self.SellMarket()
                self._cooldown = self.CooldownBars

        self._save_prev(candle)

    def _save_prev(self, candle):
        self._prev_open = float(candle.OpenPrice)
        self._prev_close = float(candle.ClosePrice)
        self._has_prev = True

    def OnReseted(self):
        super(aeron_jjn_scalper_ea_strategy, self).OnReseted()
        self._has_prev = False
        self._cooldown = 0
        self._prev_open = 0.0
        self._prev_close = 0.0

    def CreateClone(self):
        return aeron_jjn_scalper_ea_strategy()