OHLC 確認ストラテジー

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>
/// OHLC check strategy. Trades based on candle structure (bullish/bearish body).
/// </summary>
public class OhlcCheckStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _confirmBars;

	private int _bullCount;
	private int _bearCount;

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

	public int ConfirmBars
	{
		get => _confirmBars.Value;
		set => _confirmBars.Value = value;
	}

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

		_confirmBars = Param(nameof(ConfirmBars), 3)
			.SetGreaterThanZero()
			.SetDisplay("Confirm Bars", "Consecutive candles to confirm direction", "Trading");
	}

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

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

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

		_bullCount = 0;
		_bearCount = 0;

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (candle.ClosePrice > candle.OpenPrice)
		{
			_bullCount++;
			_bearCount = 0;
		}
		else if (candle.ClosePrice < candle.OpenPrice)
		{
			_bearCount++;
			_bullCount = 0;
		}

		// Consecutive bullish candles → buy
		if (_bullCount >= ConfirmBars && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_bullCount = 0;
		}
		// Consecutive bearish candles → sell
		else if (_bearCount >= ConfirmBars && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_bearCount = 0;
		}
	}
}

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.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._confirm_bars = self.Param("ConfirmBars", 3) \
            .SetDisplay("Confirm Bars", "Consecutive candles to confirm direction", "Trading")

        self._bull_count = 0
        self._bear_count = 0

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

    @property
    def ConfirmBars(self):
        return self._confirm_bars.Value

    def OnReseted(self):
        super(ohlc_check_strategy, self).OnReseted()
        self._bull_count = 0
        self._bear_count = 0

    def OnStarted2(self, time):
        super(ohlc_check_strategy, self).OnStarted2(time)
        self._bull_count = 0
        self._bear_count = 0

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._on_process).Start()

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

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

        close = float(candle.ClosePrice)
        open_price = float(candle.OpenPrice)

        if close > open_price:
            self._bull_count += 1
            self._bear_count = 0
        elif close < open_price:
            self._bear_count += 1
            self._bull_count = 0

        cb = int(self.ConfirmBars)

        # Consecutive bullish candles
        if self._bull_count >= cb and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._bull_count = 0
        # Consecutive bearish candles
        elif self._bear_count >= cb and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._bear_count = 0

    def CreateClone(self):
        return ohlc_check_strategy()