トレンドライン・クロス・アラート戦略

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>
/// Trendline Cross Alert strategy. Uses price crossing SMA as trendline proxy.
/// </summary>
public class TrendlineCrossAlertStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;

	private decimal? _prevClose;
	private decimal? _prevMa;

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

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	public TrendlineCrossAlertStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "SMA period as trendline", "Indicators");
	}

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

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

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

		_prevClose = null;
		_prevMa = null;

		var sma = new SimpleMovingAverage { Length = MaPeriod };

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

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

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

		var close = candle.ClosePrice;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevClose = close;
			_prevMa = maVal;
			return;
		}

		if (_prevClose == null || _prevMa == null)
		{
			_prevClose = close;
			_prevMa = maVal;
			return;
		}

		if (_prevClose.Value <= _prevMa.Value && close > maVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		else if (_prevClose.Value >= _prevMa.Value && close < maVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevClose = close;
		_prevMa = maVal;
	}
}

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

class trendline_cross_alert_strategy(Strategy):
    """Price crossing SMA as trendline proxy: buy on cross above, sell on cross below."""
    def __init__(self):
        super(trendline_cross_alert_strategy, self).__init__()
        self._ma_period = self.Param("MaPeriod", 20).SetGreaterThanZero().SetDisplay("MA Period", "SMA period as trendline", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Timeframe", "General")

    @property
    def CandleType(self): return self._candle_type.Value
    @CandleType.setter
    def CandleType(self, value): self._candle_type.Value = value

    def OnReseted(self):
        super(trendline_cross_alert_strategy, self).OnReseted()
        self._prev_close = 0
        self._prev_ma = 0
        self._has_prev = False

    def OnStarted2(self, time):
        super(trendline_cross_alert_strategy, self).OnStarted2(time)
        self._prev_close = 0
        self._prev_ma = 0
        self._has_prev = False

        sma = SimpleMovingAverage()
        sma.Length = self._ma_period.Value

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

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, sub)
            self.DrawIndicator(area, sma)
            self.DrawOwnTrades(area)

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

        close = float(candle.ClosePrice)
        ma = float(ma_val)

        if not self._has_prev:
            self._prev_close = close
            self._prev_ma = ma
            self._has_prev = True
            return

        if self._prev_close <= self._prev_ma and close > ma and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()

        elif self._prev_close >= self._prev_ma and close < ma and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_close = close
        self._prev_ma = ma

    def CreateClone(self):
        return trendline_cross_alert_strategy()