コンパスライン戦略

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Compass Line strategy: BB + RSI trend filter.
/// Buys when close < lower BB and RSI < 45.
/// Sells when close > upper BB and RSI > 55.
/// </summary>
public class CompassLineStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbPeriod;
	private readonly StrategyParam<int> _rsiPeriod;

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

	public int BbPeriod
	{
		get => _bbPeriod.Value;
		set => _bbPeriod.Value = value;
	}

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public CompassLineStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_bbPeriod = Param(nameof(BbPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Period", "Bollinger Bands period", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
	}

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

		var bb = new BollingerBands { Length = BbPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		decimal? prevClose = null;
		decimal? prevLower = null;
		decimal? prevUpper = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bb, rsi, (candle, bbVal, rsiVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var bbv = (BollingerBandsValue)bbVal;
				if (bbv.UpBand is not decimal upper || bbv.LowBand is not decimal lower)
					return;

				if (rsiVal.IsEmpty)
					return;

				var rsiDec = rsiVal.GetValue<decimal>();
				var close = candle.ClosePrice;

				if (prevClose.HasValue && prevLower.HasValue && prevUpper.HasValue)
				{
					var crossBelowLower = prevClose.Value > prevLower.Value && close <= lower;
					var crossAboveUpper = prevClose.Value < prevUpper.Value && close >= upper;

					if (crossBelowLower && rsiDec < 45m && Position <= 0)
						BuyMarket();
					else if (crossAboveUpper && rsiDec > 55m && Position >= 0)
						SellMarket();
				}

				prevClose = close;
				prevLower = lower;
				prevUpper = upper;
			})
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, bb);
			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 BollingerBands, RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy


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

        self._bb_period = self.Param("BbPeriod", 20) \
            .SetDisplay("BB Period", "Bollinger Bands period", "Indicators")
        self._rsi_period = self.Param("RsiPeriod", 14) \
            .SetDisplay("RSI Period", "RSI period", "Indicators")

        self._bb = None
        self._rsi = None
        self._prev_close = None
        self._prev_lower = None
        self._prev_upper = None

    @property
    def bb_period(self):
        return self._bb_period.Value

    @property
    def rsi_period(self):
        return self._rsi_period.Value

    def OnReseted(self):
        super(compass_line_strategy, self).OnReseted()
        self._bb = None
        self._rsi = None
        self._prev_close = None
        self._prev_lower = None
        self._prev_upper = None

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

        self._bb = BollingerBands()
        self._bb.Length = self.bb_period
        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = self.rsi_period

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromMinutes(30)))
        subscription.BindEx(self._bb, self._rsi, self._process_candle)
        subscription.Start()

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

        if not self._bb.IsFormed or not self._rsi.IsFormed:
            return

        upper = float(bb_value.UpBand)
        lower = float(bb_value.LowBand)
        rsi = float(rsi_value)
        close = float(candle.ClosePrice)

        if self._prev_close is not None and self._prev_lower is not None and self._prev_upper is not None:
            cross_below_lower = self._prev_close > self._prev_lower and close <= lower
            cross_above_upper = self._prev_close < self._prev_upper and close >= upper

            if cross_below_lower and rsi < 45.0 and self.Position <= 0:
                self.BuyMarket()
            elif cross_above_upper and rsi > 55.0 and self.Position >= 0:
                self.SellMarket()

        self._prev_close = close
        self._prev_lower = lower
        self._prev_upper = upper

    def CreateClone(self):
        return compass_line_strategy()