ニーナ EA 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>
/// SuperTrend-based strategy from NinaEA.
/// Trades on SuperTrend direction flips - buy on up trend, sell on down trend.
/// </summary>
public class NinaEaStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private bool? _previousTrendUp;

	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public NinaEaStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 10)
			.SetDisplay("ATR Period", "ATR length for SuperTrend", "Indicators");

		_atrMultiplier = Param(nameof(AtrMultiplier), 1m)
			.SetDisplay("ATR Multiplier", "SuperTrend 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();
		_previousTrendUp = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_previousTrendUp = null;

		var superTrend = new SuperTrend
		{
			Length = AtrPeriod,
			Multiplier = AtrMultiplier
		};

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

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

		if (!superTrendValue.IsFinal)
			return;

		var stValue = (SuperTrendIndicatorValue)superTrendValue;
		var isUpTrend = stValue.IsUpTrend;

		if (_previousTrendUp is bool prevUp)
		{
			// Trend flipped to up - go long
			if (isUpTrend && !prevUp)
			{
				if (Position < 0)
					BuyMarket();
				if (Position <= 0)
					BuyMarket();
			}
			// Trend flipped to down - go short
			else if (!isUpTrend && prevUp)
			{
				if (Position > 0)
					SellMarket();
				if (Position >= 0)
					SellMarket();
			}
		}

		_previousTrendUp = isUpTrend;
	}
}

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 SuperTrend
from StockSharp.Algo.Strategies import Strategy


class nina_ea_strategy(Strategy):
    """SuperTrend-based strategy. Trades on SuperTrend direction flips.
    Go long on up trend, go short on down trend."""

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

        self._atr_period = self.Param("AtrPeriod", 10) \
            .SetDisplay("ATR Period", "ATR length for SuperTrend", "Indicators")
        self._atr_multiplier = self.Param("AtrMultiplier", 1.0) \
            .SetDisplay("ATR Multiplier", "SuperTrend multiplier", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._previous_trend_up = None

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

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

    @property
    def AtrPeriod(self):
        return self._atr_period.Value

    @property
    def AtrMultiplier(self):
        return self._atr_multiplier.Value

    def OnReseted(self):
        super(nina_ea_strategy, self).OnReseted()
        self._previous_trend_up = None

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

        self._previous_trend_up = None

        super_trend = SuperTrend()
        super_trend.Length = self.AtrPeriod
        super_trend.Multiplier = self.AtrMultiplier

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

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

        if not super_trend_value.IsFinal:
            return

        is_up_trend = super_trend_value.IsUpTrend if hasattr(super_trend_value, 'IsUpTrend') else None
        if is_up_trend is None:
            return

        if self._previous_trend_up is not None:
            prev_up = self._previous_trend_up

            # Trend flipped to up - go long
            if is_up_trend and not prev_up:
                if self.Position < 0:
                    self.BuyMarket()
                if self.Position <= 0:
                    self.BuyMarket()
            # Trend flipped to down - go short
            elif not is_up_trend and prev_up:
                if self.Position > 0:
                    self.SellMarket()
                if self.Position >= 0:
                    self.SellMarket()

        self._previous_trend_up = is_up_trend

    def CreateClone(self):
        return nina_ea_strategy()