Bollinger バンドのセッションの反転

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>
/// Trades reversals from Bollinger Bands.
/// Buys when price closes below lower band and sells when price closes above upper band.
/// </summary>
public class BollingerBandsSessionReversalStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bollingerLength;
	private readonly StrategyParam<decimal> _bollingerWidth;

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

	/// <summary>
	/// Length of the Bollinger Bands moving average.
	/// </summary>
	public int BollingerLength
	{
		get => _bollingerLength.Value;
		set => _bollingerLength.Value = value;
	}

	/// <summary>
	/// Width multiplier for Bollinger Bands.
	/// </summary>
	public decimal BollingerWidth
	{
		get => _bollingerWidth.Value;
		set => _bollingerWidth.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public BollingerBandsSessionReversalStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle series", "General");

		_bollingerLength = Param(nameof(BollingerLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Length", "MA period for Bollinger Bands", "Indicators");

		_bollingerWidth = Param(nameof(BollingerWidth), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Width", "Band width multiplier", "Indicators");
	}

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

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

		var bollinger = new BollingerBands
		{
			Length = BollingerLength,
			Width = BollingerWidth
		};

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

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

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

		if (bbValue is not IBollingerBandsValue bb)
			return;

		var middle = bb.MovingAverage ?? 0m;
		var upper = bb.UpBand ?? 0m;
		var lower = bb.LowBand ?? 0m;

		if (middle == 0m || upper == 0m || lower == 0m)
			return;

		var price = candle.ClosePrice;

		// Reversal: buy when price falls below lower band
		if (price < lower && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Reversal: sell when price rises above upper band
		else if (price > upper && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}
		// Exit at middle band
		else if (Position > 0 && price >= middle)
		{
			SellMarket();
		}
		else if (Position < 0 && price <= middle)
		{
			BuyMarket();
		}
	}
}

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 BollingerBands
from StockSharp.Algo.Strategies import Strategy


class bollinger_bands_session_reversal_strategy(Strategy):

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Primary candle series", "General")
        self._bollinger_length = self.Param("BollingerLength", 20) \
            .SetGreaterThanZero() \
            .SetDisplay("Bollinger Length", "MA period for Bollinger Bands", "Indicators")
        self._bollinger_width = self.Param("BollingerWidth", 2.0) \
            .SetGreaterThanZero() \
            .SetDisplay("Bollinger Width", "Band width multiplier", "Indicators")

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

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

    @property
    def BollingerLength(self):
        return self._bollinger_length.Value

    @BollingerLength.setter
    def BollingerLength(self, value):
        self._bollinger_length.Value = value

    @property
    def BollingerWidth(self):
        return self._bollinger_width.Value

    @BollingerWidth.setter
    def BollingerWidth(self, value):
        self._bollinger_width.Value = value

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

        bollinger = BollingerBands()
        bollinger.Length = self.BollingerLength
        bollinger.Width = self.BollingerWidth

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.BindEx(bollinger, self._process_candle).Start()

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

        upper = bb_value.UpBand
        lower = bb_value.LowBand
        middle = bb_value.MovingAverage

        if upper is None or lower is None or middle is None:
            return

        up = float(upper)
        lo = float(lower)
        mid = float(middle)

        if up == 0 or lo == 0 or mid == 0:
            return

        price = float(candle.ClosePrice)

        if price < lo and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif price > up and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        elif self.Position > 0 and price >= mid:
            self.SellMarket()
        elif self.Position < 0 and price <= mid:
            self.BuyMarket()

    def CreateClone(self):
        return bollinger_bands_session_reversal_strategy()