アヌビス CCI MACD 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>
/// Anubis CCI + MACD strategy.
/// Buys when CCI crosses above 0 and MACD histogram is positive.
/// Sells when CCI crosses below 0 and MACD histogram is negative.
/// </summary>
public class AnubisCciMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevCci;
	private bool _hasPrev;

	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AnubisCciMacdStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetDisplay("CCI Period", "CCI 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();
		_prevCci = 0m;
		_hasPrev = false;
	}

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

		_hasPrev = false;

		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var macd = new MovingAverageConvergenceDivergenceSignal();

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

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

		if (!cciValue.IsFinal || !macdValue.IsFinal)
			return;

		var cci = cciValue.ToDecimal();
		var macdVal = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

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

		var histogram = macd - signal;

		if (!_hasPrev)
		{
			_prevCci = cci;
			_hasPrev = true;
			return;
		}

		// CCI crosses above 0 with bullish MACD
		if (_prevCci <= 0 && cci > 0 && histogram > 0 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// CCI crosses below 0 with bearish MACD
		else if (_prevCci >= 0 && cci < 0 && histogram < 0 && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevCci = cci;
	}
}

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 CommodityChannelIndex, MovingAverageConvergenceDivergenceSignal
from StockSharp.Algo.Strategies import Strategy


class anubis_cci_macd_strategy(Strategy):
    """Anubis CCI + MACD strategy.
    Buys when CCI crosses above 0 and MACD histogram is positive.
    Sells when CCI crosses below 0 and MACD histogram is negative."""

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

        self._cci_period = self.Param("CciPeriod", 14) \
            .SetDisplay("CCI Period", "CCI lookback period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._prev_cci = 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 CciPeriod(self):
        return self._cci_period.Value

    def OnReseted(self):
        super(anubis_cci_macd_strategy, self).OnReseted()
        self._prev_cci = 0.0
        self._has_prev = False

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

        self._has_prev = False

        cci = CommodityChannelIndex()
        cci.Length = self.CciPeriod
        macd = MovingAverageConvergenceDivergenceSignal()

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

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

        if not cci_value.IsFinal or not macd_value.IsFinal:
            return

        cci = float(cci_value)

        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

        histogram = float(macd_raw) - float(signal_raw)

        if not self._has_prev:
            self._prev_cci = cci
            self._has_prev = True
            return

        # CCI crosses above 0 with bullish MACD
        if self._prev_cci <= 0 and cci > 0 and histogram > 0 and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # CCI crosses below 0 with bearish MACD
        elif self._prev_cci >= 0 and cci < 0 and histogram < 0 and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_cci = cci

    def CreateClone(self):
        return anubis_cci_macd_strategy()