EA Stochastic 戦略

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// EA Stochastic strategy (simplified). Uses RSI as oscillator proxy.
/// </summary>
public class EaStochasticStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _upperLevel;
	private readonly StrategyParam<decimal> _lowerLevel;

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

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public decimal UpperLevel
	{
		get => _upperLevel.Value;
		set => _upperLevel.Value = value;
	}

	public decimal LowerLevel
	{
		get => _lowerLevel.Value;
		set => _lowerLevel.Value = value;
	}

	public EaStochasticStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_upperLevel = Param(nameof(UpperLevel), 70m)
			.SetDisplay("Upper Level", "Overbought level", "Levels");

		_lowerLevel = Param(nameof(LowerLevel), 30m)
			.SetDisplay("Lower Level", "Oversold level", "Levels");
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		decimal prevRsi = 50;
		bool hasPrev = false;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, (ICandleMessage candle, decimal rsiValue) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!hasPrev)
				{
					prevRsi = rsiValue;
					hasPrev = true;
					return;
				}

				if (!IsFormedAndOnlineAndAllowTrading())
				{
					prevRsi = rsiValue;
					return;
				}

				// Cross up from oversold
				if (prevRsi < LowerLevel && rsiValue >= LowerLevel && Position <= 0)
				{
					BuyMarket();
				}
				// Cross down from overbought
				else if (prevRsi > UpperLevel && rsiValue <= UpperLevel && Position >= 0)
				{
					SellMarket();
				}

				prevRsi = rsiValue;
			})
			.Start();

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

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.Indicators import RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy


class ea_stochastic_strategy(Strategy):
    def __init__(self):
        super(ea_stochastic_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Candles", "General")
        self._rsi_length = self.Param("RsiLength", 14) \
            .SetDisplay("RSI Length", "RSI period", "Indicators")
        self._upper_level = self.Param("UpperLevel", 70.0) \
            .SetDisplay("Upper Level", "Overbought level", "Levels")
        self._lower_level = self.Param("LowerLevel", 30.0) \
            .SetDisplay("Lower Level", "Oversold level", "Levels")

        self._prev_rsi = 50.0
        self._has_prev = False

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

    @property
    def RsiLength(self):
        return self._rsi_length.Value

    @property
    def UpperLevel(self):
        return self._upper_level.Value

    @property
    def LowerLevel(self):
        return self._lower_level.Value

    def OnReseted(self):
        super(ea_stochastic_strategy, self).OnReseted()
        self._prev_rsi = 50.0
        self._has_prev = False

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

        self._prev_rsi = 50.0
        self._has_prev = False

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiLength

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(rsi, self._on_process).Start()

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

    def _on_process(self, candle, rsi_value):
        if candle.State != CandleStates.Finished:
            return
        rv = float(rsi_value)
        if not self._has_prev:
            self._prev_rsi = rv
            self._has_prev = True
            return
        if not self.IsFormedAndOnlineAndAllowTrading():
            self._prev_rsi = rv
            return
        ll = float(self.LowerLevel)
        ul = float(self.UpperLevel)
        if self._prev_rsi < ll and rv >= ll and self.Position <= 0:
            self.BuyMarket()
        elif self._prev_rsi > ul and rv <= ul and self.Position >= 0:
            self.SellMarket()
        self._prev_rsi = rv

    def CreateClone(self):
        return ea_stochastic_strategy()