2 ペア相関戦略

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Mean-reversion strategy with ATR volatility filter and drawdown control.
/// Simplified from the two-pair correlation EA to single security.
/// </summary>
public class TwoPairCorrelationStrategy : Strategy
{
	private readonly StrategyParam<decimal> _maxDrawdownPercent;
	private readonly StrategyParam<decimal> _priceDifferenceThreshold;
	private readonly StrategyParam<decimal> _minimumTotalProfit;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private AverageTrueRange _atr;
	private SimpleMovingAverage _sma;
	private decimal _atrValue;
	private decimal _entryPrice;
	private decimal _peakEquity;
	private bool _tradingPaused;

	/// <summary>
	/// Maximum drawdown percentage that pauses new entries.
	/// </summary>
	public decimal MaxDrawdownPercent
	{
		get => _maxDrawdownPercent.Value;
		set => _maxDrawdownPercent.Value = value;
	}

	/// <summary>
	/// Price deviation threshold from SMA for entry.
	/// </summary>
	public decimal PriceDifferenceThreshold
	{
		get => _priceDifferenceThreshold.Value;
		set => _priceDifferenceThreshold.Value = value;
	}

	/// <summary>
	/// Floating profit target for closing.
	/// </summary>
	public decimal MinimumTotalProfit
	{
		get => _minimumTotalProfit.Value;
		set => _minimumTotalProfit.Value = value;
	}

	/// <summary>
	/// ATR period for volatility filter.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Candle type for signals and ATR.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public TwoPairCorrelationStrategy()
	{
		_maxDrawdownPercent = Param(nameof(MaxDrawdownPercent), 20m)
			.SetGreaterThanZero()
			.SetDisplay("Max Drawdown %", "Maximum drawdown before trading is paused", "Risk")
			.SetOptimize(5m, 50m, 5m);

		_priceDifferenceThreshold = Param(nameof(PriceDifferenceThreshold), 5m)
			.SetGreaterThanZero()
			.SetDisplay("Price Deviation", "Distance from SMA required to enter", "Signals")
			.SetOptimize(1m, 20m, 1m);

		_minimumTotalProfit = Param(nameof(MinimumTotalProfit), 3m)
			.SetGreaterThanZero()
			.SetDisplay("Profit Target", "Floating profit required to close position", "Risk")
			.SetOptimize(1m, 10m, 1m);

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Number of candles for volatility filter", "Indicators")
			.SetOptimize(5, 40, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle series for signals", "Indicators");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_atr = null;
		_sma = null;
		_atrValue = 0m;
		_entryPrice = 0m;
		_peakEquity = 0m;
		_tradingPaused = false;
	}

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

		_peakEquity = Portfolio?.CurrentValue ?? Portfolio?.BeginValue ?? 0m;

		_atr = new AverageTrueRange { Length = AtrPeriod };
		_sma = new SimpleMovingAverage { Length = 20 };

		SubscribeCandles(CandleType)
			.Bind(_atr, _sma, ProcessCandle)
			.Start();
	}

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

		if (_atr == null || _sma == null || !_atr.IsFormed || !_sma.IsFormed)
			return;

		_atrValue = atrValue;
		var price = candle.ClosePrice;

		// Drawdown control
		UpdateDrawdownState();

		// Check profit target
		if (Position != 0 && _entryPrice > 0m)
		{
			var pnl = Position > 0
				? price - _entryPrice
				: _entryPrice - price;

			var profitTarget = Math.Max(MinimumTotalProfit, _atrValue * 0.5m);
			if (profitTarget > 0m && pnl >= profitTarget)
			{
				if (Position > 0)
					SellMarket(Math.Abs(Position));
				else
					BuyMarket(Math.Abs(Position));

				_entryPrice = 0m;
				return;
			}
		}

		if (_tradingPaused)
			return;

		if (Position != 0)
			return;

		var deviation = price - smaValue;
		var entryThreshold = Math.Max(PriceDifferenceThreshold, _atrValue);

		if (deviation > entryThreshold)
		{
			SellMarket();
			_entryPrice = price;
		}
		else if (deviation < -entryThreshold)
		{
			BuyMarket();
			_entryPrice = price;
		}
	}

	private void UpdateDrawdownState()
	{
		if (Portfolio == null)
			return;

		var equity = Portfolio.CurrentValue ?? Portfolio.BeginValue ?? 0m;
		if (equity <= 0m)
			return;

		if (equity > _peakEquity)
			_peakEquity = equity;

		if (MaxDrawdownPercent <= 0m || _peakEquity <= 0m)
		{
			_tradingPaused = false;
			return;
		}

		var drawdown = (_peakEquity - equity) / _peakEquity * 100m;

		if (!_tradingPaused && drawdown >= MaxDrawdownPercent)
		{
			_tradingPaused = true;
		}
		else if (_tradingPaused && drawdown < MaxDrawdownPercent * 0.5m)
		{
			_tradingPaused = false;
		}
	}
}

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 AverageTrueRange, SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1)))
        self._price_difference_threshold = self.Param("PriceDifferenceThreshold", 5.0)
        self._minimum_total_profit = self.Param("MinimumTotalProfit", 3.0)
        self._atr_period = self.Param("AtrPeriod", 14)

        self._atr_value = 0.0
        self._entry_price = 0.0

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

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

    @property
    def PriceDifferenceThreshold(self):
        return self._price_difference_threshold.Value

    @PriceDifferenceThreshold.setter
    def PriceDifferenceThreshold(self, value):
        self._price_difference_threshold.Value = value

    @property
    def MinimumTotalProfit(self):
        return self._minimum_total_profit.Value

    @MinimumTotalProfit.setter
    def MinimumTotalProfit(self, value):
        self._minimum_total_profit.Value = value

    @property
    def AtrPeriod(self):
        return self._atr_period.Value

    @AtrPeriod.setter
    def AtrPeriod(self, value):
        self._atr_period.Value = value

    def OnReseted(self):
        super(two_pair_correlation_strategy, self).OnReseted()
        self._atr_value = 0.0
        self._entry_price = 0.0

    def OnStarted2(self, time):
        super(two_pair_correlation_strategy, self).OnStarted2(time)
        self._atr_value = 0.0
        self._entry_price = 0.0

        atr = AverageTrueRange()
        atr.Length = self.AtrPeriod
        sma = SimpleMovingAverage()
        sma.Length = 20

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

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

        atr_val = float(atr_value)
        sma_val = float(sma_value)
        price = float(candle.ClosePrice)
        self._atr_value = atr_val

        # Check profit target
        if self.Position != 0 and self._entry_price > 0:
            if self.Position > 0:
                pnl = price - self._entry_price
            else:
                pnl = self._entry_price - price

            profit_target = max(float(self.MinimumTotalProfit), atr_val * 0.5)
            if profit_target > 0 and pnl >= profit_target:
                if self.Position > 0:
                    self.SellMarket()
                else:
                    self.BuyMarket()
                self._entry_price = 0.0
                return

        if self.Position != 0:
            return

        deviation = price - sma_val
        entry_threshold = max(float(self.PriceDifferenceThreshold), atr_val)

        if deviation > entry_threshold:
            self.SellMarket()
            self._entry_price = price
        elif deviation < -entry_threshold:
            self.BuyMarket()
            self._entry_price = price

    def CreateClone(self):
        return two_pair_correlation_strategy()