会議のライン Stochastic 戦略

namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// Meeting Lines + Stochastic strategy.
/// Buys on bullish meeting lines with low stochastic, sells on bearish meeting lines with high stochastic.
/// </summary>
public class MeetingLinesStochasticStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<decimal> _stochLow;
	private readonly StrategyParam<decimal> _stochHigh;

	private ICandleMessage _prevCandle;
	private ICandleMessage _prevPrevCandle;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int StochPeriod { get => _stochPeriod.Value; set => _stochPeriod.Value = value; }
	public decimal StochLow { get => _stochLow.Value; set => _stochLow.Value = value; }
	public decimal StochHigh { get => _stochHigh.Value; set => _stochHigh.Value = value; }

	public MeetingLinesStochasticStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Period", "Stochastic K period", "Indicators");
		_stochLow = Param(nameof(StochLow), 30m)
			.SetDisplay("Stoch Low", "Stochastic oversold level", "Signals");
		_stochHigh = Param(nameof(StochHigh), 70m)
			.SetDisplay("Stoch High", "Stochastic overbought level", "Signals");
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevCandle = null;
		_prevPrevCandle = null;
		var stoch = new StochasticOscillator { K = { Length = StochPeriod }, D = { Length = 3 } };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(stoch, ProcessCandle).Start();
	}

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

		var stochTyped = stochValue as StochasticOscillatorValue;
		if (stochTyped?.K is not decimal kValue) { UpdateState(candle); return; }

		if (_prevCandle != null && _prevPrevCandle != null)
		{
			var avgBody = (Math.Abs(_prevCandle.ClosePrice - _prevCandle.OpenPrice) +
						   Math.Abs(_prevPrevCandle.ClosePrice - _prevPrevCandle.OpenPrice)) / 2m;

			if (avgBody > 0)
			{
				// Bullish meeting lines: prev bearish, current bullish, closes near
				var prevBearish = _prevCandle.OpenPrice > _prevCandle.ClosePrice &&
								  (_prevCandle.OpenPrice - _prevCandle.ClosePrice) > avgBody * 0.5m;
				var currBullish = candle.ClosePrice > candle.OpenPrice &&
								  (candle.ClosePrice - candle.OpenPrice) > avgBody * 0.5m;
				var closesNear = Math.Abs(candle.ClosePrice - _prevCandle.ClosePrice) < avgBody * 0.3m;

				if (prevBearish && currBullish && closesNear && kValue < StochLow && Position <= 0)
					BuyMarket();

				// Bearish meeting lines: prev bullish, current bearish, closes near
				var prevBullish = _prevCandle.ClosePrice > _prevCandle.OpenPrice &&
								  (_prevCandle.ClosePrice - _prevCandle.OpenPrice) > avgBody * 0.5m;
				var currBearish = candle.OpenPrice > candle.ClosePrice &&
								  (candle.OpenPrice - candle.ClosePrice) > avgBody * 0.5m;
				var closesNear2 = Math.Abs(candle.ClosePrice - _prevCandle.ClosePrice) < avgBody * 0.3m;

				if (prevBullish && currBearish && closesNear2 && kValue > StochHigh && Position >= 0)
					SellMarket();
			}
		}

		UpdateState(candle);
	}

	private void UpdateState(ICandleMessage candle)
	{
		_prevPrevCandle = _prevCandle;
		_prevCandle = candle;
	}
}

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 StochasticOscillator
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._stoch_period = self.Param("StochPeriod", 14)
        self._stoch_low = self.Param("StochLow", 30.0)
        self._stoch_high = self.Param("StochHigh", 70.0)

        self._prev_candle = None
        self._prev_prev_candle = None

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    @property
    def StochPeriod(self):
        return self._stoch_period.Value

    @StochPeriod.setter
    def StochPeriod(self, value):
        self._stoch_period.Value = value

    @property
    def StochLow(self):
        return self._stoch_low.Value

    @StochLow.setter
    def StochLow(self, value):
        self._stoch_low.Value = value

    @property
    def StochHigh(self):
        return self._stoch_high.Value

    @StochHigh.setter
    def StochHigh(self, value):
        self._stoch_high.Value = value

    def OnReseted(self):
        super(meeting_lines_stochastic_strategy, self).OnReseted()
        self._prev_candle = None
        self._prev_prev_candle = None

    def OnStarted2(self, time):
        super(meeting_lines_stochastic_strategy, self).OnStarted2(time)
        self._prev_candle = None
        self._prev_prev_candle = None

        stoch = StochasticOscillator()
        stoch.K.Length = self.StochPeriod
        stoch.D.Length = 3

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.BindEx(stoch, self._process_candle).Start()

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

        k_val = stoch_value.K
        if k_val is None:
            self._update_state(candle)
            return
        k_value = float(k_val)

        if self._prev_candle is not None and self._prev_prev_candle is not None:
            avg_body = (abs(float(self._prev_candle.ClosePrice) - float(self._prev_candle.OpenPrice))
                + abs(float(self._prev_prev_candle.ClosePrice) - float(self._prev_prev_candle.OpenPrice))) / 2.0

            if avg_body > 0:
                # Bullish meeting lines
                prev_bearish = (float(self._prev_candle.OpenPrice) > float(self._prev_candle.ClosePrice)
                    and (float(self._prev_candle.OpenPrice) - float(self._prev_candle.ClosePrice)) > avg_body * 0.5)
                curr_bullish = (float(candle.ClosePrice) > float(candle.OpenPrice)
                    and (float(candle.ClosePrice) - float(candle.OpenPrice)) > avg_body * 0.5)
                closes_near = abs(float(candle.ClosePrice) - float(self._prev_candle.ClosePrice)) < avg_body * 0.3

                if prev_bearish and curr_bullish and closes_near and k_value < self.StochLow and self.Position <= 0:
                    self.BuyMarket()

                # Bearish meeting lines
                prev_bullish = (float(self._prev_candle.ClosePrice) > float(self._prev_candle.OpenPrice)
                    and (float(self._prev_candle.ClosePrice) - float(self._prev_candle.OpenPrice)) > avg_body * 0.5)
                curr_bearish = (float(candle.OpenPrice) > float(candle.ClosePrice)
                    and (float(candle.OpenPrice) - float(candle.ClosePrice)) > avg_body * 0.5)
                closes_near2 = abs(float(candle.ClosePrice) - float(self._prev_candle.ClosePrice)) < avg_body * 0.3

                if prev_bullish and curr_bearish and closes_near2 and k_value > self.StochHigh and self.Position >= 0:
                    self.SellMarket()

        self._update_state(candle)

    def _update_state(self, candle):
        self._prev_prev_candle = self._prev_candle
        self._prev_candle = candle

    def CreateClone(self):
        return meeting_lines_stochastic_strategy()