BandOsMaカスタム戦略

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy combining the MACD histogram (OsMA) with Bollinger Bands to trade reversals.
/// Similar to BandOsMa but with customizable moving average filter for exit signals.
/// </summary>
public class BandOsMaCustomStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _maPeriod;

	private BollingerBands _bollinger;
	private SMA _osmaMA;

	private decimal _prevOsma;
	private decimal _prevUpper;
	private decimal _prevLower;
	private decimal _prevMa;
	private bool _hasPrev;

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

	public int MacdFastPeriod
	{
		get => _macdFastPeriod.Value;
		set => _macdFastPeriod.Value = value;
	}

	public int MacdSlowPeriod
	{
		get => _macdSlowPeriod.Value;
		set => _macdSlowPeriod.Value = value;
	}

	public int MacdSignalPeriod
	{
		get => _macdSignalPeriod.Value;
		set => _macdSignalPeriod.Value = value;
	}

	public int BollingerPeriod
	{
		get => _bollingerPeriod.Value;
		set => _bollingerPeriod.Value = value;
	}

	public decimal BollingerDeviation
	{
		get => _bollingerDeviation.Value;
		set => _bollingerDeviation.Value = value;
	}

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

	public BandOsMaCustomStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Primary timeframe", "General");

		_macdFastPeriod = Param(nameof(MacdFastPeriod), 20)
			.SetDisplay("MACD Fast", "Fast EMA length", "Indicators");

		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 50)
			.SetDisplay("MACD Slow", "Slow EMA length", "Indicators");

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 12)
			.SetDisplay("MACD Signal", "Signal EMA length", "Indicators");

		_bollingerPeriod = Param(nameof(BollingerPeriod), 14)
			.SetDisplay("Bollinger Period", "OsMA Bollinger Bands period", "Indicators");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m)
			.SetDisplay("Bollinger Deviation", "Bollinger Bands deviation", "Indicators");

		_maPeriod = Param(nameof(MaPeriod), 10)
			.SetDisplay("MA Period", "OsMA moving average period for exit filter", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFastPeriod },
				LongMa = { Length = MacdSlowPeriod }
			},
			SignalMa = { Length = MacdSignalPeriod }
		};

		_bollinger = new BollingerBands
		{
			Length = BollingerPeriod,
			Width = BollingerDeviation
		};

		_osmaMA = new SMA { Length = MaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macd, ProcessCandle)
			.Start();

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

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

		var val = (IMovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (val.Macd is not decimal macdLine || val.Signal is not decimal signalLine)
			return;

		var osma = macdLine - signalLine;

		var bbResult = (BollingerBandsValue)_bollinger.Process(new DecimalIndicatorValue(_bollinger, osma, candle.CloseTime));
		if (bbResult.UpBand is not decimal upper || bbResult.LowBand is not decimal lower)
			return;

		var maResult = _osmaMA.Process(new DecimalIndicatorValue(_osmaMA, osma, candle.CloseTime));
		if (maResult.IsEmpty)
			return;

		var ma = maResult.GetValue<decimal>();

		if (_hasPrev)
		{
			var buySignal = _prevOsma > _prevLower && osma <= lower && osma < ma;
			var sellSignal = _prevOsma < _prevUpper && osma >= upper && osma > ma;

			if (buySignal && Position <= 0)
				BuyMarket(Position < 0 ? Math.Abs(Position) + 1 : 1);
			else if (sellSignal && Position >= 0)
				SellMarket(Position > 0 ? Math.Abs(Position) + 1 : 1);
		}

		_prevOsma = osma;
		_prevUpper = upper;
		_prevLower = lower;
		_prevMa = ma;
		_hasPrev = true;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_bollinger = null;
		_osmaMA = null;
		_prevOsma = 0;
		_prevUpper = 0;
		_prevLower = 0;
		_prevMa = 0;
		_hasPrev = false;

		base.OnReseted();
	}
}

import clr
import math

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 MovingAverageConvergenceDivergence
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._macd_fast_period = self.Param("MacdFastPeriod", 20)
        self._macd_slow_period = self.Param("MacdSlowPeriod", 50)
        self._macd_signal_period = self.Param("MacdSignalPeriod", 12)
        self._bollinger_period = self.Param("BollingerPeriod", 14)
        self._bollinger_deviation = self.Param("BollingerDeviation", 2.0)
        self._ma_period = self.Param("MaPeriod", 10)

        self._macd_history = []
        self._osma_history = []
        self._osma_ma_history = []
        self._prev_osma = None
        self._prev_upper = None
        self._prev_lower = None

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

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

    @property
    def MacdFastPeriod(self):
        return self._macd_fast_period.Value

    @MacdFastPeriod.setter
    def MacdFastPeriod(self, value):
        self._macd_fast_period.Value = value

    @property
    def MacdSlowPeriod(self):
        return self._macd_slow_period.Value

    @MacdSlowPeriod.setter
    def MacdSlowPeriod(self, value):
        self._macd_slow_period.Value = value

    @property
    def MacdSignalPeriod(self):
        return self._macd_signal_period.Value

    @MacdSignalPeriod.setter
    def MacdSignalPeriod(self, value):
        self._macd_signal_period.Value = value

    @property
    def BollingerPeriod(self):
        return self._bollinger_period.Value

    @BollingerPeriod.setter
    def BollingerPeriod(self, value):
        self._bollinger_period.Value = value

    @property
    def BollingerDeviation(self):
        return self._bollinger_deviation.Value

    @BollingerDeviation.setter
    def BollingerDeviation(self, value):
        self._bollinger_deviation.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(band_os_ma_custom_strategy, self).OnReseted()
        self._macd_history = []
        self._osma_history = []
        self._osma_ma_history = []
        self._prev_osma = None
        self._prev_upper = None
        self._prev_lower = None

    def OnStarted2(self, time):
        super(band_os_ma_custom_strategy, self).OnStarted2(time)
        self._macd_history = []
        self._osma_history = []
        self._osma_ma_history = []
        self._prev_osma = None
        self._prev_upper = None
        self._prev_lower = None

        macd = MovingAverageConvergenceDivergence()
        macd.ShortMa.Length = self.MacdFastPeriod
        macd.LongMa.Length = self.MacdSlowPeriod

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

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

        macd_val = float(macd_value)
        signal_period = self.MacdSignalPeriod
        bb_period = self.BollingerPeriod
        bb_dev = float(self.BollingerDeviation)
        ma_period = self.MaPeriod

        # Signal line
        self._macd_history.append(macd_val)
        while len(self._macd_history) > signal_period:
            self._macd_history.pop(0)
        if len(self._macd_history) < signal_period:
            return
        signal = sum(self._macd_history) / signal_period
        osma = macd_val - signal

        # BB on OsMA
        self._osma_history.append(osma)
        while len(self._osma_history) > bb_period:
            self._osma_history.pop(0)
        if len(self._osma_history) < bb_period:
            return

        mean = sum(self._osma_history) / len(self._osma_history)
        variance = sum((x - mean) ** 2 for x in self._osma_history) / len(self._osma_history)
        std_dev = math.sqrt(variance)
        upper = mean + bb_dev * std_dev
        lower = mean - bb_dev * std_dev

        # MA of OsMA
        self._osma_ma_history.append(osma)
        while len(self._osma_ma_history) > ma_period:
            self._osma_ma_history.pop(0)
        if len(self._osma_ma_history) < ma_period:
            return
        ma = sum(self._osma_ma_history) / ma_period

        if self._prev_osma is not None and self._prev_upper is not None and self._prev_lower is not None:
            buy_signal = self._prev_osma > self._prev_lower and osma <= lower and osma < ma
            sell_signal = self._prev_osma < self._prev_upper and osma >= upper and osma > ma

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

        self._prev_osma = osma
        self._prev_upper = upper
        self._prev_lower = lower

    def CreateClone(self):
        return band_os_ma_custom_strategy()