三人の兵士 Stochastic の戦略

namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Three Soldiers Stochastic strategy: detects three consecutive bullish/bearish candles
/// confirmed by RSI levels.
/// </summary>
public class ThreeSoldiersStochasticStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private int _bullCount;
	private int _bearCount;
	private int _candlesSinceTrade;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public ThreeSoldiersStochasticStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period for confirmation", "Indicators");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 6)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_bullCount = 0;
		_bearCount = 0;
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_bullCount = 0;
		_bearCount = 0;
		_candlesSinceTrade = SignalCooldownCandles;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
	}

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

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		if (candle.ClosePrice > candle.OpenPrice)
		{
			_bullCount++;
			_bearCount = 0;
		}
		else if (candle.ClosePrice < candle.OpenPrice)
		{
			_bearCount++;
			_bullCount = 0;
		}
		else
		{
			_bullCount = 0;
			_bearCount = 0;
		}

		if (_bullCount >= 3 && rsi < 65 && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			BuyMarket();
			_bullCount = 0;
			_candlesSinceTrade = 0;
		}
		else if (_bearCount >= 3 && rsi > 35 && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			SellMarket();
			_bearCount = 0;
			_candlesSinceTrade = 0;
		}
	}
}

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 RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy


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

        self._rsi_period = self.Param("RsiPeriod", 14) \
            .SetDisplay("RSI Period", "RSI period for confirmation", "Indicators")
        self._signal_cooldown = self.Param("SignalCooldownCandles", 6) \
            .SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading")

        self._rsi = None
        self._bull_count = 0
        self._bear_count = 0
        self._candles_since_trade = 0

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

    @property
    def signal_cooldown(self):
        return self._signal_cooldown.Value

    def OnReseted(self):
        super(three_soldiers_stochastic_strategy, self).OnReseted()
        self._rsi = None
        self._bull_count = 0
        self._bear_count = 0
        self._candles_since_trade = self.signal_cooldown

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

        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = self.rsi_period
        self._bull_count = 0
        self._bear_count = 0
        self._candles_since_trade = self.signal_cooldown

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        subscription.Bind(self._rsi, self._process_candle)
        subscription.Start()

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

        if not self._rsi.IsFormed:
            return

        rsi_val = float(rsi_value)

        if self._candles_since_trade < self.signal_cooldown:
            self._candles_since_trade += 1

        close = float(candle.ClosePrice)
        open_p = float(candle.OpenPrice)

        if close > open_p:
            self._bull_count += 1
            self._bear_count = 0
        elif close < open_p:
            self._bear_count += 1
            self._bull_count = 0
        else:
            self._bull_count = 0
            self._bear_count = 0

        if self._bull_count >= 3 and rsi_val < 65.0 and self.Position <= 0 and self._candles_since_trade >= self.signal_cooldown:
            self.BuyMarket()
            self._bull_count = 0
            self._candles_since_trade = 0
        elif self._bear_count >= 3 and rsi_val > 35.0 and self.Position >= 0 and self._candles_since_trade >= self.signal_cooldown:
            self.SellMarket()
            self._bear_count = 0
            self._candles_since_trade = 0

    def CreateClone(self):
        return three_soldiers_stochastic_strategy()