Fibonacci の潜在的なエントリーのリトレースメント戦略

namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// Fibonacci Retracement Entries strategy: EMA trend with Fibonacci retracement levels.
/// Buys on retracement to 61.8% in uptrend, sells on retracement to 38.2% in downtrend.
/// </summary>
public class FibonacciPotentialEntriesRetracementStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _lookback;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private decimal _high;
	private decimal _low;
	private int _barCount;
	private int _candlesSinceTrade;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public int Lookback { get => _lookback.Value; set => _lookback.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public FibonacciPotentialEntriesRetracementStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_emaPeriod = Param(nameof(EmaPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "Indicators");
		_lookback = Param(nameof(Lookback), 50)
			.SetGreaterThanZero()
			.SetDisplay("Lookback", "Lookback for high/low", "General");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 6)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_high = 0;
		_low = decimal.MaxValue;
		_barCount = 0;
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_high = 0;
		_low = decimal.MaxValue;
		_barCount = 0;
		_candlesSinceTrade = SignalCooldownCandles;
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, ProcessCandle).Start();
	}

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

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		if (candle.HighPrice > _high) _high = candle.HighPrice;
		if (candle.LowPrice < _low) _low = candle.LowPrice;
		_barCount++;

		if (_barCount < 20) return;

		var range = _high - _low;
		if (range <= 0) return;

		var close = candle.ClosePrice;
		var fib618 = _high - range * 0.618m;
		var fib382 = _high - range * 0.382m;
		if (close > emaValue && close <= fib618 && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			BuyMarket();
			_candlesSinceTrade = 0;
		}
		else if (close < emaValue && close >= fib382 && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			SellMarket();
			_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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30)))
        self._ema_period = self.Param("EmaPeriod", 50)
        self._lookback = self.Param("Lookback", 50)
        self._signal_cooldown_candles = self.Param("SignalCooldownCandles", 6)

        self._high = 0.0
        self._low = float('inf')
        self._bar_count = 0
        self._candles_since_trade = 6

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

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

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

    @EmaPeriod.setter
    def EmaPeriod(self, value):
        self._ema_period.Value = value

    @property
    def Lookback(self):
        return self._lookback.Value

    @Lookback.setter
    def Lookback(self, value):
        self._lookback.Value = value

    @property
    def SignalCooldownCandles(self):
        return self._signal_cooldown_candles.Value

    @SignalCooldownCandles.setter
    def SignalCooldownCandles(self, value):
        self._signal_cooldown_candles.Value = value

    def OnReseted(self):
        super(fibonacci_potential_entries_retracement_strategy, self).OnReseted()
        self._high = 0.0
        self._low = float('inf')
        self._bar_count = 0
        self._candles_since_trade = self.SignalCooldownCandles

    def OnStarted2(self, time):
        super(fibonacci_potential_entries_retracement_strategy, self).OnStarted2(time)
        self._high = 0.0
        self._low = float('inf')
        self._bar_count = 0
        self._candles_since_trade = self.SignalCooldownCandles

        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod

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

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

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

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

        if high > self._high:
            self._high = high
        if low < self._low:
            self._low = low
        self._bar_count += 1

        if self._bar_count < 20:
            return

        range_val = self._high - self._low
        if range_val <= 0:
            return

        fib618 = self._high - range_val * 0.618
        fib382 = self._high - range_val * 0.382

        if close > ema_val and close <= fib618 and self.Position <= 0 and self._candles_since_trade >= self.SignalCooldownCandles:
            self.BuyMarket()
            self._candles_since_trade = 0
        elif close < ema_val and close >= fib382 and self.Position >= 0 and self._candles_since_trade >= self.SignalCooldownCandles:
            self.SellMarket()
            self._candles_since_trade = 0

    def CreateClone(self):
        return fibonacci_potential_entries_retracement_strategy()