Triple SMA Spread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>
/// Triple SMA strategy that trades when three moving averages are properly aligned.
/// Enters long when fast > middle > slow, enters short when fast &lt; middle &lt; slow.
/// </summary>
public class TripleSmaSpreadStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _middlePeriod;
	private readonly StrategyParam<int> _slowPeriod;

	private int _prevSignal;

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

	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	public int MiddlePeriod
	{
		get => _middlePeriod.Value;
		set => _middlePeriod.Value = value;
	}

	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	public TripleSmaSpreadStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_fastPeriod = Param(nameof(FastPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast SMA period", "Indicators");

		_middlePeriod = Param(nameof(MiddlePeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Middle Period", "Middle SMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 29)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow SMA period", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevSignal = 0;
	}

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

		_prevSignal = 0;

		var fastSma = new ExponentialMovingAverage { Length = FastPeriod };
		var slowSma = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastSma, slowSma, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var signal = 0;
		if (fast > slow && close > fast)
			signal = 1;
		else if (fast < slow && close < fast)
			signal = -1;

		if (signal == _prevSignal)
			return;

		var oldSignal = _prevSignal;
		_prevSignal = signal;

		if (signal == 1 && oldSignal <= 0)
		{
			if (Position < 0)
				BuyMarket();
			if (Position <= 0)
				BuyMarket();
		}
		else if (signal == -1 && oldSignal >= 0)
		{
			if (Position > 0)
				SellMarket();
			if (Position >= 0)
				SellMarket();
		}
	}
}

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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._fast_period = self.Param("FastPeriod", 9) \
            .SetDisplay("Fast Period", "Fast SMA period", "Indicators")
        self._middle_period = self.Param("MiddlePeriod", 14) \
            .SetDisplay("Middle Period", "Middle SMA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 29) \
            .SetDisplay("Slow Period", "Slow SMA period", "Indicators")

        self._prev_signal = 0

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

    @property
    def FastPeriod(self):
        return self._fast_period.Value

    @property
    def MiddlePeriod(self):
        return self._middle_period.Value

    @property
    def SlowPeriod(self):
        return self._slow_period.Value

    def OnReseted(self):
        super(triple_sma_spread_strategy, self).OnReseted()
        self._prev_signal = 0

    def OnStarted2(self, time):
        super(triple_sma_spread_strategy, self).OnStarted2(time)
        self._prev_signal = 0

        fast_ema = ExponentialMovingAverage()
        fast_ema.Length = self.FastPeriod
        slow_ema = ExponentialMovingAverage()
        slow_ema.Length = self.SlowPeriod

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

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

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

        close = float(candle.ClosePrice)
        fv = float(fast_value)
        sv = float(slow_value)

        signal = 0
        if fv > sv and close > fv:
            signal = 1
        elif fv < sv and close < fv:
            signal = -1

        if signal == self._prev_signal:
            return

        old_signal = self._prev_signal
        self._prev_signal = signal

        if signal == 1 and old_signal <= 0:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
        elif signal == -1 and old_signal >= 0:
            if self.Position > 0:
                self.SellMarket()
            if self.Position >= 0:
                self.SellMarket()

    def CreateClone(self):
        return triple_sma_spread_strategy()