戦略 SUPERMACBOT by The Guardian Forex TV Strategy

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>
/// SUPERMACBOT strategy converted from the MQL expert by The Guardian Forex TV.
/// </summary>
public class SupermacbotByTheGuardianForexTvStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastMaPeriod;
	private readonly StrategyParam<int> _slowMaPeriod;
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<decimal> _histogramThreshold;
	private readonly StrategyParam<int> _trailingPeriod;

	/// <summary>
	/// Candle type to process.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Fast simple moving average period.
	/// </summary>
	public int FastMaPeriod
	{
		get => _fastMaPeriod.Value;
		set => _fastMaPeriod.Value = value;
	}

	/// <summary>
	/// Slow simple moving average period.
	/// </summary>
	public int SlowMaPeriod
	{
		get => _slowMaPeriod.Value;
		set => _slowMaPeriod.Value = value;
	}

	/// <summary>
	/// Fast EMA period for MACD.
	/// </summary>
	public int MacdFastPeriod
	{
		get => _macdFastPeriod.Value;
		set => _macdFastPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period for MACD.
	/// </summary>
	public int MacdSlowPeriod
	{
		get => _macdSlowPeriod.Value;
		set => _macdSlowPeriod.Value = value;
	}

	/// <summary>
	/// Signal EMA period for MACD.
	/// </summary>
	public int MacdSignalPeriod
	{
		get => _macdSignalPeriod.Value;
		set => _macdSignalPeriod.Value = value;
	}

	/// <summary>
	/// Minimal absolute histogram value required for new entries.
	/// </summary>
	public decimal HistogramThreshold
	{
		get => _histogramThreshold.Value;
		set => _histogramThreshold.Value = value;
	}

	/// <summary>
	/// Trailing simple moving average period.
	/// </summary>
	public int TrailingPeriod
	{
		get => _trailingPeriod.Value;
		set => _trailingPeriod.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="SupermacbotByTheGuardianForexTvStrategy"/>.
	/// </summary>
	public SupermacbotByTheGuardianForexTvStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to process", "General");

		_fastMaPeriod = Param(nameof(FastMaPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast SMA", "Fast SMA period", "Indicators")
			
			.SetOptimize(5, 30, 1);

		_slowMaPeriod = Param(nameof(SlowMaPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow SMA", "Slow SMA period", "Indicators")
			
			.SetOptimize(10, 60, 1);

		_macdFastPeriod = Param(nameof(MacdFastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "MACD fast EMA period", "Indicators")
			
			.SetOptimize(5, 20, 1);

		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 24)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "MACD slow EMA period", "Indicators")
			
			.SetOptimize(18, 40, 1);

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "MACD signal EMA period", "Indicators")
			
			.SetOptimize(3, 15, 1);

		_histogramThreshold = Param(nameof(HistogramThreshold), 0m)
			.SetDisplay("Histogram Threshold", "Required MACD histogram magnitude", "Logic");

		_trailingPeriod = Param(nameof(TrailingPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Trailing SMA", "Trailing SMA period", "Logic")
			
			.SetOptimize(6, 30, 1);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

	}

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

		var fastMa = new SimpleMovingAverage { Length = FastMaPeriod };
		var slowMa = new SimpleMovingAverage { Length = SlowMaPeriod };
		var trailingMa = new SimpleMovingAverage { Length = TrailingPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastMa, slowMa, trailingMa, 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, fastMa);
			DrawIndicator(area, slowMa);
			DrawOwnTrades(area);
		}
	}

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

		if (Position != 0)
			return;

		var bullishTrend = fastMa > slowMa;
		var bearishTrend = fastMa < slowMa;
		var price = candle.ClosePrice;

		if (bullishTrend && price > trailingMa)
			BuyMarket();
		else if (bearishTrend && price < trailingMa)
			SellMarket();
	}
}

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 SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy


class supermacbot_by_the_guardian_forex_tv_strategy(Strategy):

    def __init__(self):
        super(supermacbot_by_the_guardian_forex_tv_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Type of candles to process", "General")
        self._fast_ma_period = self.Param("FastMaPeriod", 12) \
            .SetGreaterThanZero() \
            .SetDisplay("Fast SMA", "Fast SMA period", "Indicators")
        self._slow_ma_period = self.Param("SlowMaPeriod", 26) \
            .SetGreaterThanZero() \
            .SetDisplay("Slow SMA", "Slow SMA period", "Indicators")
        self._macd_fast_period = self.Param("MacdFastPeriod", 12) \
            .SetGreaterThanZero() \
            .SetDisplay("MACD Fast", "MACD fast EMA period", "Indicators")
        self._macd_slow_period = self.Param("MacdSlowPeriod", 24) \
            .SetGreaterThanZero() \
            .SetDisplay("MACD Slow", "MACD slow EMA period", "Indicators")
        self._macd_signal_period = self.Param("MacdSignalPeriod", 9) \
            .SetGreaterThanZero() \
            .SetDisplay("MACD Signal", "MACD signal EMA period", "Indicators")
        self._histogram_threshold = self.Param("HistogramThreshold", 0.0) \
            .SetDisplay("Histogram Threshold", "Required MACD histogram magnitude", "Logic")
        self._trailing_period = self.Param("TrailingPeriod", 12) \
            .SetGreaterThanZero() \
            .SetDisplay("Trailing SMA", "Trailing SMA period", "Logic")

        self._is_histogram_initialized = False
        self._prev_histogram = 0.0

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

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

    @property
    def FastMaPeriod(self):
        return self._fast_ma_period.Value

    @FastMaPeriod.setter
    def FastMaPeriod(self, value):
        self._fast_ma_period.Value = value

    @property
    def SlowMaPeriod(self):
        return self._slow_ma_period.Value

    @SlowMaPeriod.setter
    def SlowMaPeriod(self, value):
        self._slow_ma_period.Value = value

    @property
    def TrailingPeriod(self):
        return self._trailing_period.Value

    @TrailingPeriod.setter
    def TrailingPeriod(self, value):
        self._trailing_period.Value = value

    def OnReseted(self):
        super(supermacbot_by_the_guardian_forex_tv_strategy, self).OnReseted()
        self._is_histogram_initialized = False
        self._prev_histogram = 0.0

    def OnStarted2(self, time):
        super(supermacbot_by_the_guardian_forex_tv_strategy, self).OnStarted2(time)

        fast_ma = SimpleMovingAverage()
        fast_ma.Length = self.FastMaPeriod
        slow_ma = SimpleMovingAverage()
        slow_ma.Length = self.SlowMaPeriod
        trailing_ma = SimpleMovingAverage()
        trailing_ma.Length = self.TrailingPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast_ma, slow_ma, trailing_ma, self._process_candle).Start()

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

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

        if self.Position != 0:
            return

        fma = float(fast_ma)
        sma_val = float(slow_ma)
        tma = float(trailing_ma)
        price = float(candle.ClosePrice)

        bullish_trend = fma > sma_val
        bearish_trend = fma < sma_val

        if bullish_trend and price > tma:
            self.BuyMarket()
        elif bearish_trend and price < tma:
            self.SellMarket()

    def CreateClone(self):
        return supermacbot_by_the_guardian_forex_tv_strategy()