ZigZag 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>
/// ZigZag breakout strategy using highest/lowest channels.
/// Buys on breakout above recent high, sells on breakdown below recent low.
/// </summary>
public class ZigZagEAStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _depth;

	private decimal? _prevHigh;
	private decimal? _prevLow;

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

	public int Depth
	{
		get => _depth.Value;
		set => _depth.Value = value;
	}

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

		_depth = Param(nameof(Depth), 20)
			.SetGreaterThanZero()
			.SetDisplay("Depth", "Channel lookback period", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHigh = null;
		_prevLow = null;
	}

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

		_prevHigh = null;
		_prevLow = null;

		var highest = new Highest { Length = Depth };
		var lowest = new Lowest { Length = Depth };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevHigh = high;
			_prevLow = low;
			return;
		}

		if (_prevHigh == null || _prevLow == null)
		{
			_prevHigh = high;
			_prevLow = low;
			return;
		}

		var close = candle.ClosePrice;

		// Breakout above channel high
		if (close > _prevHigh.Value && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Breakdown below channel low
		else if (close < _prevLow.Value && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevHigh = high;
		_prevLow = low;
	}
}

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 Highest, Lowest
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._depth = self.Param("Depth", 20) \
            .SetDisplay("Depth", "Channel lookback period", "Indicators")

        self._prev_high = None
        self._prev_low = None

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

    @property
    def Depth(self):
        return self._depth.Value

    def OnReseted(self):
        super(zig_zag_ea_strategy, self).OnReseted()
        self._prev_high = None
        self._prev_low = None

    def OnStarted2(self, time):
        super(zig_zag_ea_strategy, self).OnStarted2(time)
        self._prev_high = None
        self._prev_low = None

        highest = Highest()
        highest.Length = self.Depth
        lowest = Lowest()
        lowest.Length = self.Depth

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

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

    def _on_process(self, candle, high_value, low_value):
        if candle.State != CandleStates.Finished:
            return

        hv = float(high_value)
        lv = float(low_value)

        if self._prev_high is None or self._prev_low is None:
            self._prev_high = hv
            self._prev_low = lv
            return

        close = float(candle.ClosePrice)

        # Breakout above channel high
        if close > self._prev_high and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # Breakdown below channel low
        elif close < self._prev_low and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_high = hv
        self._prev_low = lv

    def CreateClone(self):
        return zig_zag_ea_strategy()