プラン X 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>
/// Plan X Breakout strategy using highest high / lowest low channel breakout.
/// Buy when price breaks above the highest high of the lookback period.
/// Sell when price breaks below the lowest low of the lookback period.
/// </summary>
public class PlanXBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _lookback;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrev;

	public int Lookback { get => _lookback.Value; set => _lookback.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public PlanXBreakoutStrategy()
	{
		_lookback = Param(nameof(Lookback), 20)
			.SetDisplay("Lookback", "Channel lookback period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).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();

		_prevHigh = 0m;
		_prevLow = 0m;
		_hasPrev = false;
	}

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

		_hasPrev = false;

		var highestHigh = new Highest { Length = Lookback };
		var lowestLow = new Lowest { Length = Lookback };

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

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

		if (!_hasPrev)
		{
			_prevHigh = highest;
			_prevLow = lowest;
			_hasPrev = true;
			return;
		}

		// Breakout above previous highest high
		if (Position <= 0 && candle.ClosePrice > _prevHigh)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Breakout below previous lowest low
		else if (Position >= 0 && candle.ClosePrice < _prevLow)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevHigh = highest;
		_prevLow = lowest;
	}
}

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 Highest, Lowest
from StockSharp.Algo.Strategies import Strategy


class plan_x_breakout_strategy(Strategy):
    """Plan X Breakout strategy using highest high / lowest low channel breakout.
    Buy when price breaks above the highest high of the lookback period.
    Sell when price breaks below the lowest low of the lookback period."""

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

        self._lookback = self.Param("Lookback", 20) \
            .SetDisplay("Lookback", "Channel lookback period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False

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

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

    @property
    def Lookback(self):
        return self._lookback.Value

    def OnReseted(self):
        super(plan_x_breakout_strategy, self).OnReseted()
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False

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

        self._has_prev = False

        highest = Highest()
        highest.Length = self.Lookback
        lowest = Lowest()
        lowest.Length = self.Lookback

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(highest, lowest, self._process_candle).Start()

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

        high_val = float(highest)
        low_val = float(lowest)
        close = float(candle.ClosePrice)

        if not self._has_prev:
            self._prev_high = high_val
            self._prev_low = low_val
            self._has_prev = True
            return

        # Breakout above previous highest high
        if self.Position <= 0 and close > self._prev_high:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # Breakout below previous lowest low
        elif self.Position >= 0 and close < self._prev_low:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_high = high_val
        self._prev_low = low_val

    def CreateClone(self):
        return plan_x_breakout_strategy()