Roman 方向転換戦略

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>
/// Roman Direction Flip strategy. Alternates direction on momentum reversals.
/// Uses Momentum indicator zero-line crossover.
/// </summary>
public class RomanDirectionFlipStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _momPeriod;
	private decimal? _prevMom;

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

	public RomanDirectionFlipStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_momPeriod = Param(nameof(MomPeriod), 12).SetGreaterThanZero().SetDisplay("Momentum Period", "Momentum lookback", "Indicators");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevMom = null;
		var mom = new Momentum { Length = MomPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(mom, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal momVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevMom = momVal; return; }
		if (_prevMom == null) { _prevMom = momVal; return; }
		if (_prevMom.Value < 100m && momVal >= 100m && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (_prevMom.Value > 100m && momVal <= 100m && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevMom = momVal;
	}
}

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 Momentum
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._mom_period = self.Param("MomPeriod", 12) \
            .SetDisplay("Momentum Period", "Momentum lookback", "Indicators")

        self._prev_mom = None

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

    def OnReseted(self):
        super(roman_direction_flip_strategy, self).OnReseted()
        self._prev_mom = None

    def OnStarted2(self, time):
        super(roman_direction_flip_strategy, self).OnStarted2(time)
        self._prev_mom = None

        mom = Momentum()
        mom.Length = self.MomPeriod

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

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

    def _on_process(self, candle, mom_value):
        if candle.State != CandleStates.Finished:
            return
        mv = float(mom_value)
        if not self.IsFormedAndOnlineAndAllowTrading():
            self._prev_mom = mv
            return
        if self._prev_mom is None:
            self._prev_mom = mv
            return
        if self._prev_mom < 100.0 and mv >= 100.0 and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif self._prev_mom > 100.0 and mv <= 100.0 and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_mom = mv

    def CreateClone(self):
        return roman_direction_flip_strategy()