長方形のテスト戦略

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

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

/// <summary>
/// Rectangle breakout strategy: detects tight consolidation ranges and trades breakouts
/// using EMA/SMA trend direction as a filter.
/// </summary>
public class RectangleTestStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<int> _rangeCandles;
	private readonly StrategyParam<decimal> _rectangleSizePercent;
	private readonly StrategyParam<DataType> _candleType;

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

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

	public int SmaPeriod
	{
		get => _smaPeriod.Value;
		set => _smaPeriod.Value = value;
	}

	public int RangeCandles
	{
		get => _rangeCandles.Value;
		set => _rangeCandles.Value = value;
	}

	public decimal RectangleSizePercent
	{
		get => _rectangleSizePercent.Value;
		set => _rectangleSizePercent.Value = value;
	}

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

	public RectangleTestStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetDisplay("Fast EMA Period", "Length of the fast EMA", "Indicators");

		_smaPeriod = Param(nameof(SmaPeriod), 50)
			.SetDisplay("Slow SMA Period", "Length of the slow SMA", "Indicators");

		_rangeCandles = Param(nameof(RangeCandles), 10)
			.SetDisplay("Rectangle Candles", "Number of candles for range detection", "Logic");

		_rectangleSizePercent = Param(nameof(RectangleSizePercent), 10m)
			.SetDisplay("Rectangle Size (%)", "Maximum range height in percent", "Logic");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle source", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var sma = new SimpleMovingAverage { Length = SmaPeriod };

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

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent));

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

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

		if (_highs.Count >= RangeCandles)
		{
			// Use PREVIOUS window (excluding current candle) for rectangle detection
			var highestValue = decimal.MinValue;
			var lowestValue = decimal.MaxValue;
			var startIdx = _highs.Count - RangeCandles;
			for (var i = startIdx; i < _highs.Count; i++)
			{
				if (_highs[i] > highestValue) highestValue = _highs[i];
				if (_lows[i] < lowestValue) lowestValue = _lows[i];
			}

			if (highestValue > 0m && lowestValue > 0m)
			{
				var rangePercent = (highestValue - lowestValue) / highestValue * 100m;
				if (rangePercent > 0 && rangePercent < RectangleSizePercent)
				{
					var close = candle.ClosePrice;

					// Breakout above rectangle with bullish trend (EMA > SMA)
					if (close > highestValue && emaValue > smaValue && Position == 0)
					{
						BuyMarket();
					}
					// Breakout below rectangle with bearish trend (EMA < SMA)
					else if (close < lowestValue && emaValue < smaValue && Position == 0)
					{
						SellMarket();
					}
				}
			}
		}

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

		if (_highs.Count > RangeCandles + 1)
		{
			_highs.RemoveAt(0);
			_lows.RemoveAt(0);
		}
	}

	/// <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, Unit, UnitTypes
from StockSharp.Algo.Indicators import ExponentialMovingAverage, SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._ema_period = self.Param("EmaPeriod", 20)
        self._sma_period = self.Param("SmaPeriod", 50)
        self._range_candles = self.Param("RangeCandles", 10)
        self._rectangle_size_percent = self.Param("RectangleSizePercent", 10.0)

        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 EmaPeriod(self):
        return self._ema_period.Value

    @EmaPeriod.setter
    def EmaPeriod(self, value):
        self._ema_period.Value = value

    @property
    def SmaPeriod(self):
        return self._sma_period.Value

    @SmaPeriod.setter
    def SmaPeriod(self, value):
        self._sma_period.Value = value

    @property
    def RangeCandles(self):
        return self._range_candles.Value

    @RangeCandles.setter
    def RangeCandles(self, value):
        self._range_candles.Value = value

    @property
    def RectangleSizePercent(self):
        return self._rectangle_size_percent.Value

    @RectangleSizePercent.setter
    def RectangleSizePercent(self, value):
        self._rectangle_size_percent.Value = value

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

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

        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod
        sma = SimpleMovingAverage()
        sma.Length = self.SmaPeriod

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

        self.StartProtection(
            takeProfit=Unit(2, UnitTypes.Percent),
            stopLoss=Unit(1, UnitTypes.Percent))

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

        ema_val = float(ema_value)
        sma_val = float(sma_value)
        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        range_candles = self.RangeCandles

        if len(self._highs) >= range_candles:
            start_idx = len(self._highs) - range_candles
            highest = max(self._highs[start_idx:])
            lowest = min(self._lows[start_idx:])

            if highest > 0 and lowest > 0:
                range_pct = (highest - lowest) / highest * 100.0
                rect_size = float(self.RectangleSizePercent)

                if 0 < range_pct < rect_size:
                    # Breakout above rectangle with bullish trend
                    if close > highest and ema_val > sma_val and self.Position == 0:
                        self.BuyMarket()
                    # Breakout below rectangle with bearish trend
                    elif close < lowest and ema_val < sma_val and self.Position == 0:
                        self.SellMarket()

        self._highs.append(high)
        self._lows.append(low)

        while len(self._highs) > range_candles + 1:
            self._highs.pop(0)
            self._lows.pop(0)

    def CreateClone(self):
        return rectangle_test_strategy()