MACD + Stochastic トレンド フィルター戦略

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MACD strategy with stochastic confirmation and EMA trend filter.
/// Buy when MACD crosses above signal with stochastic K > D and price above EMA.
/// Sell when MACD crosses below signal with stochastic K < D and price below EMA.
/// </summary>
public class MacdStochasticFilterStrategy : Strategy
{
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _stochKLength;
	private readonly StrategyParam<int> _stochDLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevMacd;
	private decimal? _prevSignal;

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

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

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

	/// <summary>
	/// Trend EMA period used as directional filter.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Stochastic %K length.
	/// </summary>
	public int StochKLength
	{
		get => _stochKLength.Value;
		set => _stochKLength.Value = value;
	}

	/// <summary>
	/// Stochastic %D length.
	/// </summary>
	public int StochDLength
	{
		get => _stochDLength.Value;
		set => _stochDLength.Value = value;
	}

	/// <summary>
	/// Type of candles used by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public MacdStochasticFilterStrategy()
	{
		_macdFastPeriod = Param(nameof(MacdFastPeriod), 12)
			.SetDisplay("MACD Fast", "Fast EMA period for MACD", "Indicators");

		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 26)
			.SetDisplay("MACD Slow", "Slow EMA period for MACD", "Indicators");

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 9)
			.SetDisplay("MACD Signal", "Signal EMA period for MACD", "Indicators");

		_emaPeriod = Param(nameof(EmaPeriod), 26)
			.SetDisplay("Trend EMA", "EMA period for trend filter", "Indicators");

		_stochKLength = Param(nameof(StochKLength), 14)
			.SetDisplay("Stochastic K", "Look-back length for stochastic K", "Indicators");

		_stochDLength = Param(nameof(StochDLength), 3)
			.SetDisplay("Stochastic D", "Smoothing for D line", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for price data", "General");
	}

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

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

		_prevMacd = null;
		_prevSignal = null;
	}

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

		_prevMacd = null;
		_prevSignal = null;

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

		var stochastic = new StochasticOscillator
		{
			K = { Length = StochKLength },
			D = { Length = StochDLength }
		};

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

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

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

		if (!macdValue.IsFinal || !stochValue.IsFinal || !emaValue.IsFinal)
			return;

		if (macdValue is not MovingAverageConvergenceDivergenceSignalValue macdData)
			return;

		if (macdData.Macd is not decimal macd || macdData.Signal is not decimal signal)
			return;

		if (stochValue is not StochasticOscillatorValue stochData)
			return;

		if (stochData.K is not decimal kVal || stochData.D is not decimal dVal)
			return;

		var emaVal = emaValue.ToDecimal();

		if (_prevMacd is not decimal prevMacd || _prevSignal is not decimal prevSignal)
		{
			_prevMacd = macd;
			_prevSignal = signal;
			return;
		}

		// MACD crossover signals
		var macdBullishCross = prevMacd <= prevSignal && macd > signal;
		var macdBearishCross = prevMacd >= prevSignal && macd < signal;

		// Long: MACD bullish cross + stochastic K > D + price above EMA
		if (Position <= 0 && macdBullishCross && kVal > dVal && candle.ClosePrice > emaVal)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Short: MACD bearish cross + stochastic K < D + price below EMA
		else if (Position >= 0 && macdBearishCross && kVal < dVal && candle.ClosePrice < emaVal)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevMacd = macd;
		_prevSignal = signal;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, Math
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import (
    ExponentialMovingAverage,
    MovingAverageConvergenceDivergenceSignal,
    StochasticOscillator
)
from StockSharp.Algo.Strategies import Strategy


class macd_stochastic_filter_strategy(Strategy):
    """MACD strategy with stochastic confirmation and EMA trend filter.
    Buy when MACD crosses above signal with stochastic K > D and price above EMA.
    Sell when MACD crosses below signal with stochastic K < D and price below EMA."""

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

        self._macd_fast_period = self.Param("MacdFastPeriod", 12) \
            .SetDisplay("MACD Fast", "Fast EMA period for MACD", "Indicators")
        self._macd_slow_period = self.Param("MacdSlowPeriod", 26) \
            .SetDisplay("MACD Slow", "Slow EMA period for MACD", "Indicators")
        self._macd_signal_period = self.Param("MacdSignalPeriod", 9) \
            .SetDisplay("MACD Signal", "Signal EMA period for MACD", "Indicators")
        self._ema_period = self.Param("EmaPeriod", 26) \
            .SetDisplay("Trend EMA", "EMA period for trend filter", "Indicators")
        self._stoch_k_length = self.Param("StochKLength", 14) \
            .SetDisplay("Stochastic K", "Look-back length for stochastic K", "Indicators")
        self._stoch_d_length = self.Param("StochDLength", 3) \
            .SetDisplay("Stochastic D", "Smoothing for D line", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe for price data", "General")

        self._prev_macd = None
        self._prev_signal = 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

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

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

    @property
    def EmaPeriod(self):
        return self._ema_period.Value

    @property
    def StochKLength(self):
        return self._stoch_k_length.Value

    @property
    def StochDLength(self):
        return self._stoch_d_length.Value

    def OnReseted(self):
        super(macd_stochastic_filter_strategy, self).OnReseted()
        self._prev_macd = None
        self._prev_signal = None

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

        self._prev_macd = None
        self._prev_signal = None

        macd = MovingAverageConvergenceDivergenceSignal()
        macd.Macd.ShortMa.Length = self.MacdFastPeriod
        macd.Macd.LongMa.Length = self.MacdSlowPeriod
        macd.SignalMa.Length = self.MacdSignalPeriod

        stochastic = StochasticOscillator()
        stochastic.K.Length = self.StochKLength
        stochastic.D.Length = self.StochDLength

        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.BindEx(macd, stochastic, ema, self._process_candle).Start()

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

        if not macd_value.IsFinal or not stoch_value.IsFinal or not ema_value.IsFinal:
            return

        macd_raw = macd_value.Macd if hasattr(macd_value, 'Macd') else None
        signal_raw = macd_value.Signal if hasattr(macd_value, 'Signal') else None

        if macd_raw is None or signal_raw is None:
            return

        macd_main = float(macd_raw)
        signal_line = float(signal_raw)

        k_raw = stoch_value.K if hasattr(stoch_value, 'K') else None
        d_raw = stoch_value.D if hasattr(stoch_value, 'D') else None

        if k_raw is None or d_raw is None:
            return

        k_val = float(k_raw)
        d_val = float(d_raw)

        ema_val = float(ema_value)

        if self._prev_macd is None or self._prev_signal is None:
            self._prev_macd = macd_main
            self._prev_signal = signal_line
            return

        prev_macd = self._prev_macd
        prev_signal = self._prev_signal

        # MACD crossover signals
        macd_bullish_cross = prev_macd <= prev_signal and macd_main > signal_line
        macd_bearish_cross = prev_macd >= prev_signal and macd_main < signal_line

        close = float(candle.ClosePrice)

        # Long: MACD bullish cross + stochastic K > D + price above EMA
        if self.Position <= 0 and macd_bullish_cross and k_val > d_val and close > ema_val:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # Short: MACD bearish cross + stochastic K < D + price below EMA
        elif self.Position >= 0 and macd_bearish_cross and k_val < d_val and close < ema_val:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_macd = macd_main
        self._prev_signal = signal_line

    def CreateClone(self):
        return macd_stochastic_filter_strategy()