基本 CCI RSI 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>
/// Basic CCI RSI strategy. Uses CCI zero-line crossover with RSI confirmation.
/// </summary>
public class BasicCciRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cciPeriod;
	private decimal? _prevCci;

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

	public BasicCciRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_cciPeriod = Param(nameof(CciPeriod), 20).SetGreaterThanZero().SetDisplay("CCI Period", "CCI lookback", "Indicators");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevCci = null;
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(cci, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal cciVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevCci = cciVal; return; }
		if (_prevCci == null) { _prevCci = cciVal; return; }
		if (_prevCci.Value < 0m && cciVal >= 0m && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (_prevCci.Value > 0m && cciVal <= 0m && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevCci = cciVal;
	}
}

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 CommodityChannelIndex
from StockSharp.Algo.Strategies import Strategy


class basic_cci_rsi_strategy(Strategy):
    def __init__(self):
        super(basic_cci_rsi_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._cci_period = self.Param("CciPeriod", 20) \
            .SetDisplay("CCI Period", "CCI lookback", "Indicators")
        self._prev_cci = None

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

    @property
    def cci_period(self):
        return self._cci_period.Value
    @cci_period.setter
    def cci_period(self, value):
        self._cci_period.Value = value

    def OnReseted(self):
        super(basic_cci_rsi_strategy, self).OnReseted()
        self._prev_cci = None

    def OnStarted2(self, time):
        super(basic_cci_rsi_strategy, self).OnStarted2(time)
        self._prev_cci = None
        cci = CommodityChannelIndex()
        cci.Length = self.cci_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(cci, self.OnProcess).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def OnProcess(self, candle, cci_val):
        if candle.State != CandleStates.Finished:
            return
        if not self.IsFormedAndOnlineAndAllowTrading():
            self._prev_cci = float(cci_val)
            return
        if self._prev_cci is None:
            self._prev_cci = float(cci_val)
            return

        if self._prev_cci < 0 and cci_val >= 0 and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif self._prev_cci > 0 and cci_val <= 0 and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_cci = float(cci_val)

    def CreateClone(self):
        return basic_cci_rsi_strategy()