MA価格クロス戦略

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 "MA Price Cross" MetaTrader expert.
/// Enters when SMA crosses above/below the current close price.
/// </summary>
public class MaPriceCrossStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;

	private ExponentialMovingAverage _sma;
	private decimal? _prevAverage;
	private decimal? _prevClose;

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

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

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

		_maPeriod = Param(nameof(MaPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "SMA period", "Indicators");
	}

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

		_sma = new ExponentialMovingAverage { Length = MaPeriod };
		_prevAverage = null;
		_prevClose = null;

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

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

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

		if (!_sma.IsFormed)
		{
			_prevAverage = smaValue;
			_prevClose = candle.ClosePrice;
			return;
		}

		if (_prevAverage is null || _prevClose is null)
		{
			_prevAverage = smaValue;
			_prevClose = candle.ClosePrice;
			return;
		}

		var close = candle.ClosePrice;
		var volume = Volume;
		if (volume <= 0)
			volume = 1;

		// MA was below price, now crosses above -> sell signal (price goes under MA)
		var sellSignal = _prevClose.Value >= _prevAverage.Value && close < smaValue;
		// MA was above price, now crosses below -> buy signal (price goes above MA)
		var buySignal = _prevClose.Value <= _prevAverage.Value && close > smaValue;

		if (buySignal)
		{
			if (Position <= 0)
				BuyMarket(Position < 0 ? Math.Abs(Position) + volume : volume);
		}
		else if (sellSignal)
		{
			if (Position >= 0)
				SellMarket(Position > 0 ? Math.Abs(Position) + volume : volume);
		}

		_prevAverage = smaValue;
		_prevClose = close;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_sma = null;
		_prevAverage = null;
		_prevClose = 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
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._ma_period = self.Param("MaPeriod", 100)

        self._prev_average = None
        self._prev_close = None

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

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

    @property
    def MaPeriod(self):
        return self._ma_period.Value

    @MaPeriod.setter
    def MaPeriod(self, value):
        self._ma_period.Value = value

    def OnReseted(self):
        super(ma_price_cross_strategy, self).OnReseted()
        self._prev_average = None
        self._prev_close = None

    def OnStarted2(self, time):
        super(ma_price_cross_strategy, self).OnStarted2(time)
        self._prev_average = None
        self._prev_close = None

        sma = ExponentialMovingAverage()
        sma.Length = self.MaPeriod

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

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

        sma_val = float(sma_value)
        close = float(candle.ClosePrice)

        if self._prev_average is None or self._prev_close is None:
            self._prev_average = sma_val
            self._prev_close = close
            return

        # Price crosses above MA -> buy
        buy_signal = self._prev_close <= self._prev_average and close > sma_val
        # Price crosses below MA -> sell
        sell_signal = self._prev_close >= self._prev_average and close < sma_val

        if buy_signal:
            if self.Position <= 0:
                self.BuyMarket()
        elif sell_signal:
            if self.Position >= 0:
                self.SellMarket()

        self._prev_average = sma_val
        self._prev_close = close

    def CreateClone(self):
        return ma_price_cross_strategy()