セパレートトレード戦略

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>
/// Separate trade strategy using dual EMA crossover with ATR volatility filter.
/// Trades when fast EMA crosses slow EMA and ATR confirms adequate volatility.
/// </summary>
public class SeparateTradeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _atrPeriod;

	private decimal? _prevFast;
	private decimal? _prevSlow;

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

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

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

	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

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

		_fastPeriod = Param(nameof(FastPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 65)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Indicators");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for volatility filter", "Indicators");
	}

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

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

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

		_prevFast = null;
		_prevSlow = null;

		var fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, atr, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		if (_prevFast == null || _prevSlow == null)
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		var prevAbove = _prevFast.Value > _prevSlow.Value;
		var currAbove = fast > slow;

		_prevFast = fast;
		_prevSlow = slow;

		// Require minimum ATR relative to price
		if (atr < candle.ClosePrice * 0.0005m)
			return;

		// Golden cross
		if (!prevAbove && currAbove)
		{
			if (Position < 0)
				BuyMarket();
			if (Position <= 0)
				BuyMarket();
		}
		// Death cross
		else if (prevAbove && !currAbove)
		{
			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, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy


class separate_trade_strategy(Strategy):
    def __init__(self):
        super(separate_trade_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", 14) \
            .SetDisplay("Fast Period", "Fast EMA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 65) \
            .SetDisplay("Slow Period", "Slow EMA period", "Indicators")
        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetDisplay("ATR Period", "ATR period for volatility filter", "Indicators")

        self._prev_fast = None
        self._prev_slow = None

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

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

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

    @property
    def AtrPeriod(self):
        return self._atr_period.Value

    def OnReseted(self):
        super(separate_trade_strategy, self).OnReseted()
        self._prev_fast = None
        self._prev_slow = None

    def OnStarted2(self, time):
        super(separate_trade_strategy, self).OnStarted2(time)
        self._prev_fast = None
        self._prev_slow = None

        fast_ema = ExponentialMovingAverage()
        fast_ema.Length = self.FastPeriod
        slow_ema = ExponentialMovingAverage()
        slow_ema.Length = self.SlowPeriod
        atr = AverageTrueRange()
        atr.Length = self.AtrPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast_ema, slow_ema, atr, 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, atr_value):
        if candle.State != CandleStates.Finished:
            return

        fv = float(fast_value)
        sv = float(slow_value)

        if self._prev_fast is None or self._prev_slow is None:
            self._prev_fast = fv
            self._prev_slow = sv
            return

        prev_above = self._prev_fast > self._prev_slow
        curr_above = fv > sv

        self._prev_fast = fv
        self._prev_slow = sv

        # Require minimum ATR relative to price
        av = float(atr_value)
        close = float(candle.ClosePrice)
        if av < close * 0.0005:
            return

        # Golden cross
        if not prev_above and curr_above:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
        # Death cross
        elif prev_above and not curr_above:
            if self.Position > 0:
                self.SellMarket()
            if self.Position >= 0:
                self.SellMarket()

    def CreateClone(self):
        return separate_trade_strategy()