LazyBot V1 戦略

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simplified from "LazyBot V1" MetaTrader expert.
/// Daily breakout strategy using previous N-bar high/low range.
/// Buys when price breaks above previous high, sells when below previous low.
/// </summary>
public class LazyBotV1Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _lookback;

	private readonly Queue<decimal> _highs = new();
	private readonly Queue<decimal> _lows = new();

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

	public int Lookback
	{
		get => _lookback.Value;
		set => _lookback.Value = value;
	}

	public LazyBotV1Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for breakout detection", "General");

		_lookback = Param(nameof(Lookback), 30)
			.SetGreaterThanZero()
			.SetDisplay("Lookback", "Number of bars for high/low range", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_highs.Clear();
		_lows.Clear();

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

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

		// Build range from previous bars (not including current)
		if (_highs.Count >= Lookback)
		{
			var highs = _highs.ToArray();
			var lows = _lows.ToArray();
			decimal highest = decimal.MinValue;
			decimal lowest = decimal.MaxValue;
			foreach (var h in highs)
				if (h > highest) highest = h;
			foreach (var l in lows)
				if (l < lowest) lowest = l;

			var close = candle.ClosePrice;
			var volume = Volume;
			if (volume <= 0)
				volume = 1;
			var padding = (highest - lowest) * 0.05m;

			if (close > highest + padding)
			{
				if (Position <= 0)
					BuyMarket(Position < 0 ? Math.Abs(Position) + volume : volume);
			}
			else if (close < lowest - padding)
			{
				if (Position >= 0)
					SellMarket(Position > 0 ? Math.Abs(Position) + volume : volume);
			}
		}

		_highs.Enqueue(candle.HighPrice);
		_lows.Enqueue(candle.LowPrice);

		if (_highs.Count > Lookback)
		{
			_highs.Dequeue();
			_lows.Dequeue();
		}
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_highs.Clear();
		_lows.Clear();

		base.OnReseted();
	}
}

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.Strategies import Strategy

class lazy_bot_v1_strategy(Strategy):
    def __init__(self):
        super(lazy_bot_v1_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._lookback = self.Param("Lookback", 30)

        self._highs = []
        self._lows = []

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

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

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

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

    def OnReseted(self):
        super(lazy_bot_v1_strategy, self).OnReseted()
        self._highs = []
        self._lows = []

    def OnStarted2(self, time):
        super(lazy_bot_v1_strategy, self).OnStarted2(time)
        self._highs = []
        self._lows = []

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

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

        lookback = self.Lookback

        if len(self._highs) >= lookback:
            highest = max(self._highs)
            lowest = min(self._lows)
            close = float(candle.ClosePrice)
            padding = (highest - lowest) * 0.05

            if close > highest + padding:
                if self.Position <= 0:
                    self.BuyMarket()
            elif close < lowest - padding:
                if self.Position >= 0:
                    self.SellMarket()

        self._highs.append(float(candle.HighPrice))
        self._lows.append(float(candle.LowPrice))

        while len(self._highs) > lookback:
            self._highs.pop(0)
            self._lows.pop(0)

    def CreateClone(self):
        return lazy_bot_v1_strategy()