ダブラー ヘッジ・トレーリング戦略

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Doubler strategy using double EMA confirmation with trailing stop management.
/// Enters long when both fast and medium EMAs are above slow EMA.
/// Enters short when both fast and medium EMAs are below slow EMA.
/// </summary>
public class DoublerStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _medPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _med;
	private ExponentialMovingAverage _slow;

	private decimal _entryPrice;
	private int _cooldown;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Medium EMA period.
	/// </summary>
	public int MedPeriod
	{
		get => _medPeriod.Value;
		set => _medPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in price steps.
	/// </summary>
	public int StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take-profit distance in price steps.
	/// </summary>
	public int TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public DoublerStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Indicator");

		_medPeriod = Param(nameof(MedPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Medium Period", "Medium EMA period", "Indicator");

		_slowPeriod = Param(nameof(SlowPeriod), 200)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Indicator");

		_stopLossPoints = Param(nameof(StopLossPoints), 150)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop-loss distance in price steps", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 300)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take-profit distance in price steps", "Risk");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_fast = null;
		_med = null;
		_slow = null;
		_entryPrice = 0;
		_cooldown = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_med = new ExponentialMovingAverage { Length = MedPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _med, _slow, ProcessCandle);
		subscription.Start();
	}

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

		if (!_fast.IsFormed || !_med.IsFormed || !_slow.IsFormed)
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		// Check SL/TP
		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step)
			{
				SellMarket();
				_entryPrice = 0;
				_cooldown = 100;
				return;
			}

			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step)
			{
				SellMarket();
				_entryPrice = 0;
				_cooldown = 100;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step)
			{
				BuyMarket();
				_entryPrice = 0;
				_cooldown = 100;
				return;
			}

			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step)
			{
				BuyMarket();
				_entryPrice = 0;
				_cooldown = 100;
				return;
			}
		}

		// Double confirmation: both fast and med above slow for long
		if (fastValue > slowValue && medValue > slowValue && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();

			BuyMarket();
			_entryPrice = close;
			_cooldown = 100;
		}
		// Double confirmation: both fast and med below slow for short
		else if (fastValue < slowValue && medValue < slowValue && Position >= 0)
		{
			if (Position > 0)
				SellMarket();

			SellMarket();
			_entryPrice = close;
			_cooldown = 100;
		}
	}
}

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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


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

        self._fast_period = self.Param("FastPeriod", 20) \
            .SetDisplay("Fast Period", "Fast EMA period", "Indicator")
        self._med_period = self.Param("MedPeriod", 50) \
            .SetDisplay("Medium Period", "Medium EMA period", "Indicator")
        self._slow_period = self.Param("SlowPeriod", 200) \
            .SetDisplay("Slow Period", "Slow EMA period", "Indicator")
        self._stop_loss_points = self.Param("StopLossPoints", 150) \
            .SetDisplay("Stop Loss", "Stop-loss distance in price steps", "Risk")
        self._take_profit_points = self.Param("TakeProfitPoints", 300) \
            .SetDisplay("Take Profit", "Take-profit distance in price steps", "Risk")

        self._fast = None
        self._med = None
        self._slow = None
        self._entry_price = 0.0
        self._cooldown = 0

    @property
    def fast_period(self):
        return self._fast_period.Value

    @property
    def med_period(self):
        return self._med_period.Value

    @property
    def slow_period(self):
        return self._slow_period.Value

    @property
    def stop_loss_points(self):
        return self._stop_loss_points.Value

    @property
    def take_profit_points(self):
        return self._take_profit_points.Value

    def OnReseted(self):
        super(doubler_strategy, self).OnReseted()
        self._fast = None
        self._med = None
        self._slow = None
        self._entry_price = 0.0
        self._cooldown = 0

    def OnStarted2(self, time):
        super(doubler_strategy, self).OnStarted2(time)

        self._fast = ExponentialMovingAverage()
        self._fast.Length = self.fast_period
        self._med = ExponentialMovingAverage()
        self._med.Length = self.med_period
        self._slow = ExponentialMovingAverage()
        self._slow.Length = self.slow_period

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        subscription.Bind(self._fast, self._med, self._slow, self._process_candle)
        subscription.Start()

    def _process_candle(self, candle, fast_value, med_value, slow_value):
        if candle.State != CandleStates.Finished:
            return

        fast_val = float(fast_value)
        med_val = float(med_value)
        slow_val = float(slow_value)

        if not self._fast.IsFormed or not self._med.IsFormed or not self._slow.IsFormed:
            return

        if self._cooldown > 0:
            self._cooldown -= 1
            return

        close = float(candle.ClosePrice)
        step = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0

        # Check SL/TP
        if self.Position > 0 and self._entry_price > 0:
            if self.stop_loss_points > 0 and close <= self._entry_price - self.stop_loss_points * step:
                self.SellMarket()
                self._entry_price = 0.0
                self._cooldown = 100
                return
            if self.take_profit_points > 0 and close >= self._entry_price + self.take_profit_points * step:
                self.SellMarket()
                self._entry_price = 0.0
                self._cooldown = 100
                return
        elif self.Position < 0 and self._entry_price > 0:
            if self.stop_loss_points > 0 and close >= self._entry_price + self.stop_loss_points * step:
                self.BuyMarket()
                self._entry_price = 0.0
                self._cooldown = 100
                return
            if self.take_profit_points > 0 and close <= self._entry_price - self.take_profit_points * step:
                self.BuyMarket()
                self._entry_price = 0.0
                self._cooldown = 100
                return

        # Double confirmation: both fast and med above slow for long
        if fast_val > slow_val and med_val > slow_val and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._entry_price = close
            self._cooldown = 100
        # Double confirmation: both fast and med below slow for short
        elif fast_val < slow_val and med_val < slow_val and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._entry_price = close
            self._cooldown = 100

    def CreateClone(self):
        return doubler_strategy()