専門家によるAML MFI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 + MFI strategy.
/// Buys on bullish meeting lines with low MFI, sells on bearish meeting lines with high MFI.
/// </summary>
public class ExpertAmlMfiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _mfiPeriod;
	private readonly StrategyParam<decimal> _mfiLow;
	private readonly StrategyParam<decimal> _mfiHigh;

	private ICandleMessage _prevCandle;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int MfiPeriod { get => _mfiPeriod.Value; set => _mfiPeriod.Value = value; }
	public decimal MfiLow { get => _mfiLow.Value; set => _mfiLow.Value = value; }
	public decimal MfiHigh { get => _mfiHigh.Value; set => _mfiHigh.Value = value; }

	public ExpertAmlMfiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_mfiPeriod = Param(nameof(MfiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("MFI Period", "MFI period", "Indicators");
		_mfiLow = Param(nameof(MfiLow), 40m)
			.SetDisplay("MFI Low", "MFI level for bullish entry", "Signals");
		_mfiHigh = Param(nameof(MfiHigh), 60m)
			.SetDisplay("MFI High", "MFI level for bearish entry", "Signals");
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevCandle = null;
		var mfi = new MoneyFlowIndex { Length = MfiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(mfi, ProcessCandle).Start();
	}

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

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

			if (avgBody > 0)
			{
				var prevBearish = _prevCandle.OpenPrice > _prevCandle.ClosePrice;
				var currBullish = candle.ClosePrice > candle.OpenPrice;
				var closesNear = Math.Abs(candle.ClosePrice - _prevCandle.ClosePrice) < avgBody * 0.3m;

				if (prevBearish && currBullish && closesNear && mfiValue < MfiLow && Position <= 0)
					BuyMarket();

				var prevBullish = _prevCandle.ClosePrice > _prevCandle.OpenPrice;
				var currBearish = candle.OpenPrice > candle.ClosePrice;
				var closesNear2 = Math.Abs(candle.ClosePrice - _prevCandle.ClosePrice) < avgBody * 0.3m;

				if (prevBullish && currBearish && closesNear2 && mfiValue > MfiHigh && Position >= 0)
					SellMarket();
			}
		}

		_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 MoneyFlowIndex
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._mfi_period = self.Param("MfiPeriod", 14)
        self._mfi_low = self.Param("MfiLow", 40.0)
        self._mfi_high = self.Param("MfiHigh", 60.0)

        self._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 MfiPeriod(self):
        return self._mfi_period.Value

    @MfiPeriod.setter
    def MfiPeriod(self, value):
        self._mfi_period.Value = value

    @property
    def MfiLow(self):
        return self._mfi_low.Value

    @MfiLow.setter
    def MfiLow(self, value):
        self._mfi_low.Value = value

    @property
    def MfiHigh(self):
        return self._mfi_high.Value

    @MfiHigh.setter
    def MfiHigh(self, value):
        self._mfi_high.Value = value

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

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

        mfi = MoneyFlowIndex()
        mfi.Length = self.MfiPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(mfi, self._process_candle).Start()

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

        mfi_val = float(mfi_value)

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

            if avg_body > 0:
                prev_bearish = float(self._prev_candle.OpenPrice) > float(self._prev_candle.ClosePrice)
                curr_bullish = float(candle.ClosePrice) > float(candle.OpenPrice)
                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 mfi_val < self.MfiLow and self.Position <= 0:
                    self.BuyMarket()

                prev_bullish = float(self._prev_candle.ClosePrice) > float(self._prev_candle.OpenPrice)
                curr_bearish = float(candle.OpenPrice) > float(candle.ClosePrice)
                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 mfi_val > self.MfiHigh and self.Position >= 0:
                    self.SellMarket()

        self._prev_candle = candle

    def CreateClone(self):
        return expert_aml_mfi_strategy()