Auto ADX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>
/// Auto ADX strategy (simplified). Uses RSI for trend strength detection
/// combined with EMA for direction, mimicking ADX directional movement logic.
/// </summary>
public class AutoAdxStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<decimal> _rsiHigh;
	private readonly StrategyParam<decimal> _rsiLow;

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

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

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public decimal RsiHigh
	{
		get => _rsiHigh.Value;
		set => _rsiHigh.Value = value;
	}

	public decimal RsiLow
	{
		get => _rsiLow.Value;
		set => _rsiLow.Value = value;
	}

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

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

		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period for direction", "Indicators");

		_rsiHigh = Param(nameof(RsiHigh), 60m)
			.SetDisplay("RSI High", "RSI threshold for bullish strength", "Logic");

		_rsiLow = Param(nameof(RsiLow), 40m)
			.SetDisplay("RSI Low", "RSI threshold for bearish weakness", "Logic");
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

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

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var close = candle.ClosePrice;

				// Strong trend up: RSI above threshold and price above EMA
				if (rsiVal > RsiHigh && close > emaVal && Position <= 0)
					BuyMarket();
				// Weak trend / bearish: RSI below threshold and price below EMA
				else if (rsiVal < RsiLow && close < emaVal && Position >= 0)
					SellMarket();
			})
			.Start();

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

			var rsiArea = CreateChartArea();
			if (rsiArea != null)
				DrawIndicator(rsiArea, rsi);
		}
	}
}

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 auto_adx_strategy(Strategy):
    def __init__(self):
        super(auto_adx_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candles", "General")
        self._rsi_length = self.Param("RsiLength", 14) \
            .SetDisplay("RSI Length", "RSI period", "Indicators")
        self._ema_length = self.Param("EmaLength", 20) \
            .SetDisplay("EMA Length", "EMA period for direction", "Indicators")
        self._rsi_high = self.Param("RsiHigh", 60.0) \
            .SetDisplay("RSI High", "RSI threshold for bullish strength", "Logic")
        self._rsi_low = self.Param("RsiLow", 40.0) \
            .SetDisplay("RSI Low", "RSI threshold for bearish weakness", "Logic")

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

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

    @property
    def EmaLength(self):
        return self._ema_length.Value

    @property
    def RsiHigh(self):
        return self._rsi_high.Value

    @property
    def RsiLow(self):
        return self._rsi_low.Value

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

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiLength
        ema = ExponentialMovingAverage()
        ema.Length = self.EmaLength

        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 > self.RsiHigh and close > ev and self.Position <= 0:
            self.BuyMarket()
        elif rv < self.RsiLow and close < ev and self.Position >= 0:
            self.SellMarket()

    def CreateClone(self):
        return auto_adx_strategy()