MACD ダイバーと RSI 戦略

namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// MACD Diver And RSI strategy: RSI extremes + MACD histogram crossover.
/// Buys when RSI below 30 and MACD histogram crosses above zero.
/// Sells when RSI above 70 and MACD histogram crosses below zero.
/// </summary>
public class MacdDiverAndRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;

	private decimal _prevHistogram;
	private decimal _prevRsi;
	private bool _hasPrev;

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

	public MacdDiverAndRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHistogram = 0;
		_prevRsi = 0;
		_hasPrev = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrev = false;
		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd = { ShortMa = { Length = 12 }, LongMa = { Length = 26 } },
			SignalMa = { Length = 9 }
		};
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(macd, rsi, ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue macdValue, IIndicatorValue rsiValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!macdValue.IsFinal || !rsiValue.IsFinal) return;
		if (macdValue is not MovingAverageConvergenceDivergenceSignalValue typed) return;
		if (typed.Macd is not decimal macdMain || typed.Signal is not decimal signal) return;

		var histogram = macdMain - signal;
		var rsi = rsiValue.ToDecimal();

		if (_hasPrev)
		{
			if (_prevHistogram <= 0 && histogram > 0 && _prevRsi < 35 && Position <= 0)
				BuyMarket();
			else if (_prevHistogram >= 0 && histogram < 0 && _prevRsi > 65 && Position >= 0)
				SellMarket();
		}

		_prevHistogram = histogram;
		_prevRsi = rsi;
		_hasPrev = true;
	}
}

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 MovingAverageConvergenceDivergenceSignal, RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._rsi_period = self.Param("RsiPeriod", 14)

        self._prev_histogram = 0.0
        self._prev_rsi = 0.0
        self._has_prev = False

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

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

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

    @RsiPeriod.setter
    def RsiPeriod(self, value):
        self._rsi_period.Value = value

    def OnReseted(self):
        super(macd_diver_and_rsi_strategy, self).OnReseted()
        self._prev_histogram = 0.0
        self._prev_rsi = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(macd_diver_and_rsi_strategy, self).OnStarted2(time)
        self._has_prev = False

        macd = MovingAverageConvergenceDivergenceSignal()
        macd.Macd.ShortMa.Length = 12
        macd.Macd.LongMa.Length = 26
        macd.SignalMa.Length = 9

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod

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

    def _process_candle(self, candle, macd_value, rsi_value):
        if candle.State != CandleStates.Finished:
            return
        if not macd_value.IsFinal or not rsi_value.IsFinal:
            return

        if macd_value.Macd is None or macd_value.Signal is None:
            return
        macd_main = float(macd_value.Macd)
        signal = float(macd_value.Signal)
        histogram = macd_main - signal
        rsi_val = float(rsi_value)

        if self._has_prev:
            if self._prev_histogram <= 0 and histogram > 0 and self._prev_rsi < 35 and self.Position <= 0:
                self.BuyMarket()
            elif self._prev_histogram >= 0 and histogram < 0 and self._prev_rsi > 65 and self.Position >= 0:
                self.SellMarket()

        self._prev_histogram = histogram
        self._prev_rsi = rsi_val
        self._has_prev = True

    def CreateClone(self):
        return macd_diver_and_rsi_strategy()