FullDump BB RSI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>
/// FullDump BB RSI strategy (simplified). Uses RSI oversold/overbought
/// with EMA trend filter for mean reversion entries.
/// </summary>
public class FullDumpBbRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _emaPeriod;

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

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	public FullDumpBbRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");

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

		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "Trend filter EMA", "Indicators");
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

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

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var close = candle.ClosePrice;

				// RSI oversold => buy
				if (rsiValue < 25m && Position <= 0)
					BuyMarket();
				// RSI overbought => sell
				else if (rsiValue > 75m && Position >= 0)
					SellMarket();
				// Trend following on EMA cross
				else if (close > emaValue && rsiValue > 60m && rsiValue < 70m && Position <= 0)
					BuyMarket();
				else if (close < emaValue && rsiValue < 40m && rsiValue > 30m && Position >= 0)
					SellMarket();
			})
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema);
			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, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candles", "General")
        self._rsi_period = self.Param("RsiPeriod", 14) \
            .SetDisplay("RSI Period", "RSI averaging period", "Indicators")
        self._ema_period = self.Param("EmaPeriod", 20) \
            .SetDisplay("EMA Period", "Trend filter EMA", "Indicators")

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

    @property
    def RsiPeriod(self):
        return self._rsi_period.Value

    @property
    def EmaPeriod(self):
        return self._ema_period.Value

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

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod
        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod

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

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

    def _on_process(self, candle, rsi_value, ema_value):
        if candle.State != CandleStates.Finished:
            return
        close = float(candle.ClosePrice)
        rv = float(rsi_value)
        ev = float(ema_value)
        if rv < 25 and self.Position <= 0:
            self.BuyMarket()
        elif rv > 75 and self.Position >= 0:
            self.SellMarket()
        elif close > ev and rv > 60 and rv < 70 and self.Position <= 0:
            self.BuyMarket()
        elif close < ev and rv < 40 and rv > 30 and self.Position >= 0:
            self.SellMarket()

    def CreateClone(self):
        return full_dump_bb_rsi_strategy()