CCI MACD ダフ屋

using System;
using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simplified from "CCI MACD Scalper" MetaTrader expert.
/// Uses CCI zero-line crossover with EMA trend filter for scalping entries.
/// </summary>
public class CciMacdScalperStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _cciPeriod;

	private ExponentialMovingAverage _ema;
	private CommodityChannelIndex _cci;
	private decimal? _prevCci;

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

	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	public CciMacdScalperStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for scalping", "General");

		_emaPeriod = Param(nameof(EmaPeriod), 21)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA trend filter period", "Indicators");

		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "CCI period for zero-line crosses", "Indicators");
	}

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

		_prevCci = null;
		_ema = new ExponentialMovingAverage { Length = EmaPeriod };
		_cci = new CommodityChannelIndex { Length = CciPeriod };

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

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

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

		if (!_ema.IsFormed || !_cci.IsFormed)
		{
			_prevCci = cciValue;
			return;
		}

		if (_prevCci is null)
		{
			_prevCci = cciValue;
			return;
		}

		var volume = Volume;
		if (volume <= 0)
			volume = 1;

		var close = candle.ClosePrice;

		// CCI crosses back above the oversold zone with trend confirmation -> buy
		var cciCrossUp = _prevCci.Value <= -50m && cciValue > -50m;
		// CCI crosses back below the overbought zone with trend confirmation -> sell
		var cciCrossDown = _prevCci.Value >= 50m && cciValue < 50m;

		if (cciCrossUp && close > emaValue)
		{
			if (Position <= 0)
				BuyMarket(Position < 0 ? Math.Abs(Position) + volume : volume);
		}
		else if (cciCrossDown && close < emaValue)
		{
			if (Position >= 0)
				SellMarket(Position > 0 ? Math.Abs(Position) + volume : volume);
		}

		_prevCci = cciValue;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_ema = null;
		_cci = null;
		_prevCci = null;

		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.Indicators import ExponentialMovingAverage, CommodityChannelIndex
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30)))
        self._ema_period = self.Param("EmaPeriod", 21)
        self._cci_period = self.Param("CciPeriod", 14)

        self._prev_cci = None

    @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 CciPeriod(self):
        return self._cci_period.Value

    @CciPeriod.setter
    def CciPeriod(self, value):
        self._cci_period.Value = value

    def OnReseted(self):
        super(cci_macd_scalper_strategy, self).OnReseted()
        self._prev_cci = None

    def OnStarted2(self, time):
        super(cci_macd_scalper_strategy, self).OnStarted2(time)
        self._prev_cci = None

        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod
        cci = CommodityChannelIndex()
        cci.Length = self.CciPeriod

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

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

        ema_val = float(ema_value)
        cci_val = float(cci_value)
        close = float(candle.ClosePrice)

        if self._prev_cci is None:
            self._prev_cci = cci_val
            return

        # CCI crosses back above oversold zone with trend confirmation -> buy
        cci_cross_up = self._prev_cci <= -50.0 and cci_val > -50.0
        # CCI crosses back below overbought zone with trend confirmation -> sell
        cci_cross_down = self._prev_cci >= 50.0 and cci_val < 50.0

        if cci_cross_up and close > ema_val:
            if self.Position <= 0:
                self.BuyMarket()
        elif cci_cross_down and close < ema_val:
            if self.Position >= 0:
                self.SellMarket()

        self._prev_cci = cci_val

    def CreateClone(self):
        return cci_macd_scalper_strategy()