Bull & Bear Candle Martingale戦略

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bull/Bear Candle Martingale strategy: Bullish/bearish candle direction + EMA filter.
/// Buys after strong bullish candle when close crosses above EMA.
/// Sells after strong bearish candle when close crosses below EMA.
/// </summary>
public class BullBearCandleMartingaleStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;

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

	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	public BullBearCandleMartingaleStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_emaPeriod = Param(nameof(EmaPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "Indicators");
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		decimal? prevClose = null;
		decimal? prevEma = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, (candle, emaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var close = candle.ClosePrice;
				var bullish = close > candle.OpenPrice;
				var bearish = close < candle.OpenPrice;
				var bodySize = Math.Abs(close - candle.OpenPrice);
				var range = candle.HighPrice - candle.LowPrice;

				// Require strong candle body (>50% of range)
				var strongCandle = range > 0 && bodySize / range > 0.5m;

				if (prevClose.HasValue && prevEma.HasValue && strongCandle)
				{
					var crossUp = prevClose.Value <= prevEma.Value && close > emaVal;
					var crossDown = prevClose.Value >= prevEma.Value && close < emaVal;

					if (bullish && crossUp && Position <= 0)
						BuyMarket();
					else if (bearish && crossDown && Position >= 0)
						SellMarket();
				}

				prevClose = close;
				prevEma = emaVal;
			})
			.Start();

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

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 bull_bear_candle_martingale_strategy(Strategy):
    def __init__(self):
        super(bull_bear_candle_martingale_strategy, self).__init__()

        self._ema_period = self.Param("EmaPeriod", 30) \
            .SetDisplay("EMA Period", "EMA period", "Indicators")

        self._ema = None
        self._prev_close = None
        self._prev_ema = None

    @property
    def ema_period(self):
        return self._ema_period.Value

    def OnReseted(self):
        super(bull_bear_candle_martingale_strategy, self).OnReseted()
        self._ema = None
        self._prev_close = None
        self._prev_ema = None

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

        self._ema = ExponentialMovingAverage()
        self._ema.Length = self.ema_period

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromHours(1)))
        subscription.Bind(self._ema, self._process_candle)
        subscription.Start()

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

        if not self._ema.IsFormed:
            return

        close = float(candle.ClosePrice)
        open_p = float(candle.OpenPrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        ema_val = float(ema_value)

        bullish = close > open_p
        bearish = close < open_p
        body_size = abs(close - open_p)
        range_size = high - low

        strong_candle = range_size > 0 and body_size / range_size > 0.5

        if self._prev_close is not None and self._prev_ema is not None and strong_candle:
            cross_up = self._prev_close <= self._prev_ema and close > ema_val
            cross_down = self._prev_close >= self._prev_ema and close < ema_val

            if bullish and cross_up and self.Position <= 0:
                self.BuyMarket()
            elif bearish and cross_down and self.Position >= 0:
                self.SellMarket()

        self._prev_close = close
        self._prev_ema = ema_val

    def CreateClone(self):
        return bull_bear_candle_martingale_strategy()