AMA Trader 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>
/// AMA Trader strategy. Uses Kaufman Adaptive MA with price crossover.
/// </summary>
public class AmaTraderStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _amaPeriod;
	private decimal? _prevClose;
	private decimal? _prevAma;

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

	public AmaTraderStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_amaPeriod = Param(nameof(AmaPeriod), 10).SetGreaterThanZero().SetDisplay("AMA Period", "Kaufman AMA period", "Indicators");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevClose = null; _prevAma = null;
		var ama = new KaufmanAdaptiveMovingAverage { Length = AmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ama, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, ama); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal amaVal)
	{
		if (candle.State != CandleStates.Finished) return;
		var close = candle.ClosePrice;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevClose = close; _prevAma = amaVal; return; }
		if (_prevClose == null || _prevAma == null) { _prevClose = close; _prevAma = amaVal; return; }
		if (_prevClose.Value <= _prevAma.Value && close > amaVal && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (_prevClose.Value >= _prevAma.Value && close < amaVal && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevClose = close; _prevAma = amaVal;
	}
}

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 CandleStates
from StockSharp.Algo.Indicators import KaufmanAdaptiveMovingAverage
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *

class ama_trader_strategy(Strategy):
    """
    AMA Trader strategy. Uses Kaufman Adaptive MA with price crossover.
    """

    def __init__(self):
        super(ama_trader_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", tf(60)) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._ama_period = self.Param("AmaPeriod", 10) \
            .SetGreaterThanZero() \
            .SetDisplay("AMA Period", "Kaufman AMA period", "Indicators")

        self._prev_close = None
        self._prev_ama = None

    @property
    def CandleType(self): return self._candle_type.Value
    @CandleType.setter
    def CandleType(self, v): self._candle_type.Value = v
    @property
    def AmaPeriod(self): return self._ama_period.Value
    @AmaPeriod.setter
    def AmaPeriod(self, v): self._ama_period.Value = v

    def OnReseted(self):
        super(ama_trader_strategy, self).OnReseted()
        self._prev_close = None
        self._prev_ama = None

    def OnStarted2(self, time):
        super(ama_trader_strategy, self).OnStarted2(time)
        self._prev_close = None
        self._prev_ama = None

        ama = KaufmanAdaptiveMovingAverage()
        ama.Length = self.AmaPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(ama, self.ProcessCandle).Start()

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

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

        close = float(candle.ClosePrice)

        if self._prev_close is None or self._prev_ama is None:
            self._prev_close = close
            self._prev_ama = ama_val
            return

        if self._prev_close <= self._prev_ama and close > ama_val and self.Position <= 0:


            self.BuyMarket()


        elif self._prev_close >= self._prev_ama and close < ama_val and self.Position >= 0:


            self.SellMarket()

        self._prev_close = close
        self._prev_ama = ama_val

    def CreateClone(self):
        """!! REQUIRED!! Creates a new instance of the strategy."""
        return ama_trader_strategy()