セッションブレイクアウト戦略

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>
/// Session breakout strategy that tracks a range during first hours and trades breakouts later.
/// Accumulates high/low during range hours (0-8), then trades breakouts during active hours (8-20).
/// </summary>
public class SessionBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _rangeStartHour;
	private readonly StrategyParam<int> _rangeEndHour;
	private readonly StrategyParam<int> _tradeEndHour;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime _currentDate;
	private decimal? _rangeHigh;
	private decimal? _rangeLow;
	private bool _rangeComplete;
	private bool _tradedToday;

	public int RangeStartHour { get => _rangeStartHour.Value; set => _rangeStartHour.Value = value; }
	public int RangeEndHour { get => _rangeEndHour.Value; set => _rangeEndHour.Value = value; }
	public int TradeEndHour { get => _tradeEndHour.Value; set => _tradeEndHour.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public SessionBreakoutStrategy()
	{
		_rangeStartHour = Param(nameof(RangeStartHour), 0)
			.SetDisplay("Range Start", "Hour to start tracking range", "Sessions");

		_rangeEndHour = Param(nameof(RangeEndHour), 8)
			.SetDisplay("Range End", "Hour to stop tracking range", "Sessions");

		_tradeEndHour = Param(nameof(TradeEndHour), 20)
			.SetDisplay("Trade End", "Hour to stop trading", "Sessions");

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

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

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

		_currentDate = default;
		_rangeHigh = null;
		_rangeLow = null;
		_rangeComplete = false;
		_tradedToday = false;
	}

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

		_currentDate = default;
		_rangeHigh = null;
		_rangeLow = null;
		_rangeComplete = false;
		_tradedToday = false;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();
	}

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

		var candleDate = candle.OpenTime.Date;
		var hour = candle.OpenTime.Hour;

		// Reset on new day
		if (candleDate != _currentDate)
		{
			_currentDate = candleDate;
			_rangeHigh = null;
			_rangeLow = null;
			_rangeComplete = false;
			_tradedToday = false;
		}

		// Build range during accumulation hours
		if (hour >= RangeStartHour && hour < RangeEndHour)
		{
			if (_rangeHigh == null || candle.HighPrice > _rangeHigh)
				_rangeHigh = candle.HighPrice;
			if (_rangeLow == null || candle.LowPrice < _rangeLow)
				_rangeLow = candle.LowPrice;
			return;
		}

		// Mark range as complete
		if (!_rangeComplete && hour >= RangeEndHour && _rangeHigh != null && _rangeLow != null)
			_rangeComplete = true;

		if (!_rangeComplete || _rangeHigh == null || _rangeLow == null)
			return;

		// Trade during active hours
		if (hour >= RangeEndHour && hour < TradeEndHour)
		{
			// Breakout above range high - buy
			if (Position <= 0 && candle.ClosePrice > _rangeHigh.Value && !_tradedToday)
			{
				if (Position < 0)
					BuyMarket();
				BuyMarket();
				_tradedToday = true;
			}
			// Breakout below range low - sell
			else if (Position >= 0 && candle.ClosePrice < _rangeLow.Value && !_tradedToday)
			{
				if (Position > 0)
					SellMarket();
				SellMarket();
				_tradedToday = true;
			}
		}

		// Close at end of day
		if (hour >= TradeEndHour && Position != 0)
		{
			if (Position > 0)
				SellMarket();
			else
				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.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class session_breakout_strategy(Strategy):
    def __init__(self):
        super(session_breakout_strategy, self).__init__()
        self._range_start = self.Param("RangeStartHour", 0).SetDisplay("Range Start", "Hour to start tracking range", "Sessions")
        self._range_end = self.Param("RangeEndHour", 8).SetDisplay("Range End", "Hour to stop tracking range", "Sessions")
        self._trade_end = self.Param("TradeEndHour", 20).SetDisplay("Trade End", "Hour to stop trading", "Sessions")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))).SetDisplay("Candle Type", "Candle timeframe", "General")

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

    def OnReseted(self):
        super(session_breakout_strategy, self).OnReseted()
        self._current_date = None
        self._range_high = None
        self._range_low = None
        self._range_complete = False
        self._traded_today = False

    def OnStarted2(self, time):
        super(session_breakout_strategy, self).OnStarted2(time)
        self._current_date = None
        self._range_high = None
        self._range_low = None
        self._range_complete = False
        self._traded_today = False

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self.OnProcess).Start()

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

        candle_date = candle.OpenTime.Date
        hour = candle.OpenTime.Hour

        if self._current_date is None or candle_date != self._current_date:
            self._current_date = candle_date
            self._range_high = None
            self._range_low = None
            self._range_complete = False
            self._traded_today = False

        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)

        if hour >= self._range_start.Value and hour < self._range_end.Value:
            if self._range_high is None or high > self._range_high:
                self._range_high = high
            if self._range_low is None or low < self._range_low:
                self._range_low = low
            return

        if not self._range_complete and hour >= self._range_end.Value and self._range_high is not None and self._range_low is not None:
            self._range_complete = True

        if not self._range_complete or self._range_high is None or self._range_low is None:
            return

        if hour >= self._range_end.Value and hour < self._trade_end.Value:
            if self.Position <= 0 and close > self._range_high and not self._traded_today:
                if self.Position < 0:
                    self.BuyMarket()
                self.BuyMarket()
                self._traded_today = True
            elif self.Position >= 0 and close < self._range_low and not self._traded_today:
                if self.Position > 0:
                    self.SellMarket()
                self.SellMarket()
                self._traded_today = True

        if hour >= self._trade_end.Value and self.Position != 0:
            if self.Position > 0:
                self.SellMarket()
            else:
                self.BuyMarket()

    def CreateClone(self):
        return session_breakout_strategy()