シンプル・ピボット戦略

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>
/// Simple pivot strategy that flips position based on the previous bar pivot.
/// </summary>
public class SimplePivotStrategy : Strategy
{
	private enum TradeDirections
	{
		None,
		Long,
		Short,
	}

	private readonly StrategyParam<DataType> _candleType;

	private TradeDirections _lastDirection = TradeDirections.None;
	private decimal _previousHigh;
	private decimal _previousLow;
	private bool _hasPreviousCandle;

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

	public SimplePivotStrategy()
	{

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "Data");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, CandleType);
	}

	protected override void OnReseted()
	{
		base.OnReseted();

		_lastDirection = TradeDirections.None;
		_previousHigh = 0m;
		_previousLow = 0m;
		_hasPreviousCandle = false;
	}

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

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

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

		if (!_hasPreviousCandle)
		{
			// Collect the very first completed candle as the seed for the pivot calculation.
			_previousHigh = candle.HighPrice;
			_previousLow = candle.LowPrice;
			_hasPreviousCandle = true;
			return;
		}

		var pivot = (_previousHigh + _previousLow) / 2m;
		var desiredDirection = TradeDirections.Long;

		// When the new open sits between the previous high and pivot we switch to a short bias.
		if (candle.OpenPrice < _previousHigh && candle.OpenPrice > pivot)
			desiredDirection = TradeDirections.Short;

		if (desiredDirection == _lastDirection && _lastDirection != TradeDirections.None)
		{
			// Keep the existing position when direction has not changed.
			_previousHigh = candle.HighPrice;
			_previousLow = candle.LowPrice;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousHigh = candle.HighPrice;
			_previousLow = candle.LowPrice;
			return;
		}

		CloseExistingPosition();

		if (desiredDirection == TradeDirections.Long)
		{
			// Enter a long position when the open is below the pivot.
			BuyMarket(Volume);
		}
		else
		{
			// Enter a short position when the open is above the pivot zone.
			SellMarket(Volume);
		}

		_lastDirection = desiredDirection;
		_previousHigh = candle.HighPrice;
		_previousLow = candle.LowPrice;
	}

	private void CloseExistingPosition()
	{
		if (Position > 0)
		{
			// Flip from long to flat before opening the opposite direction.
			SellMarket(Math.Abs(Position));
			_lastDirection = TradeDirections.None;
		}
		else if (Position < 0)
		{
			// Flip from short to flat before opening the opposite direction.
			BuyMarket(Math.Abs(Position));
			_lastDirection = TradeDirections.None;
		}
	}
}

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
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class simple_pivot_strategy(Strategy):
    def __init__(self):
        super(simple_pivot_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))).SetDisplay("Candle Type", "Type of candles", "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(simple_pivot_strategy, self).OnReseted()
        self._prev_high = 0
        self._prev_low = 0
        self._has_prev = False
        self._last_dir = 0  # 1=long, -1=short

    def OnStarted2(self, time):
        super(simple_pivot_strategy, self).OnStarted2(time)
        self._prev_high = 0
        self._prev_low = 0
        self._has_prev = False
        self._last_dir = 0

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self.OnProcess).Start()

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

        if not self._has_prev:
            self._prev_high = float(candle.HighPrice)
            self._prev_low = float(candle.LowPrice)
            self._has_prev = True
            return

        pivot = (self._prev_high + self._prev_low) / 2.0
        open_price = float(candle.OpenPrice)

        desired = 1  # long
        if open_price < self._prev_high and open_price > pivot:
            desired = -1  # short

        if desired == self._last_dir and self._last_dir != 0:
            self._prev_high = float(candle.HighPrice)
            self._prev_low = float(candle.LowPrice)
            return

        # Close existing
        if self.Position > 0:
            self.SellMarket()
        elif self.Position < 0:
            self.BuyMarket()

        if desired == 1:
            self.BuyMarket()
        else:
            self.SellMarket()

        self._last_dir = desired
        self._prev_high = float(candle.HighPrice)
        self._prev_low = float(candle.LowPrice)

    def CreateClone(self):
        return simple_pivot_strategy()