ペドロ MOD 戦略

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

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

/// <summary>
/// Pedro Mod mean reversion strategy using Bollinger Bands.
/// Buy when price touches the lower band, sell when price touches the upper band.
/// </summary>
public class PedroModStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerWidth;
	private readonly StrategyParam<DataType> _candleType;

	public int BollingerPeriod { get => _bollingerPeriod.Value; set => _bollingerPeriod.Value = value; }
	public decimal BollingerWidth { get => _bollingerWidth.Value; set => _bollingerWidth.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public PedroModStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetDisplay("Bollinger Period", "Bollinger Bands period", "Indicators");

		_bollingerWidth = Param(nameof(BollingerWidth), 1.5m)
			.SetDisplay("Bollinger Width", "Standard deviation multiplier", "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();
	}

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

		var bb = new BollingerBands { Length = BollingerPeriod, Width = BollingerWidth };

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

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

		if (!bbValue.IsFinal)
			return;

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower || bb.MovingAverage is not decimal middle)
			return;

		// Buy when price touches lower band (mean reversion)
		if (Position <= 0 && candle.ClosePrice <= lower)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Sell when price touches upper band
		else if (Position >= 0 && candle.ClosePrice >= upper)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}
		// Exit at middle band
		else if (Position > 0 && candle.ClosePrice >= middle)
		{
			SellMarket();
		}
		else if (Position < 0 && candle.ClosePrice <= 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, Math
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import BollingerBands
from StockSharp.Algo.Strategies import Strategy


class pedro_mod_strategy(Strategy):
    """Pedro Mod mean reversion strategy using Bollinger Bands.
    Buy when price touches the lower band, sell when price touches the upper band.
    Exit at the middle band."""

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

        self._bollinger_period = self.Param("BollingerPeriod", 20) \
            .SetDisplay("Bollinger Period", "Bollinger Bands period", "Indicators")
        self._bollinger_width = self.Param("BollingerWidth", 1.5) \
            .SetDisplay("Bollinger Width", "Standard deviation multiplier", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .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

    @property
    def BollingerPeriod(self):
        return self._bollinger_period.Value

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

    def OnReseted(self):
        super(pedro_mod_strategy, self).OnReseted()

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

        bb = BollingerBands()
        bb.Length = self.BollingerPeriod
        bb.Width = self.BollingerWidth

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

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

        if not bb_value.IsFinal:
            return

        up_band = bb_value.UpBand if hasattr(bb_value, 'UpBand') else None
        low_band = bb_value.LowBand if hasattr(bb_value, 'LowBand') else None
        mid_band = bb_value.MovingAverage if hasattr(bb_value, 'MovingAverage') else None

        if up_band is None or low_band is None or mid_band is None:
            return

        upper = float(up_band)
        lower = float(low_band)
        middle = float(mid_band)
        close = float(candle.ClosePrice)

        # Buy when price touches lower band (mean reversion)
        if self.Position <= 0 and close <= lower:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # Sell when price touches upper band
        elif self.Position >= 0 and close >= upper:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        # Exit at middle band
        elif self.Position > 0 and close >= middle:
            self.SellMarket()
        elif self.Position < 0 and close <= middle:
            self.BuyMarket()

    def CreateClone(self):
        return pedro_mod_strategy()