上 下 MA 再結合戦略

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>
/// Above/Below MA Rejoin strategy.
/// Buys when price is below a rising EMA (pullback in uptrend).
/// Sells when price is above a falling EMA (pullback in downtrend).
/// </summary>
public class AboveBelowMaRejoinStrategy : Strategy
{
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private decimal _prevClose;
	private bool _hasPrev;

	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AboveBelowMaRejoinStrategy()
	{
		_emaLength = Param(nameof(EmaLength), 20)
			.SetDisplay("EMA Period", "EMA 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();
		_prevEma = 0m;
		_prevClose = 0m;
		_hasPrev = false;
	}

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

		_hasPrev = false;

		var ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevEma = emaValue;
			_prevClose = close;
			_hasPrev = true;
			return;
		}

		var emaRising = emaValue > _prevEma;
		var emaFalling = emaValue < _prevEma;

		// Price rejoins from below in uptrend - buy
		if (emaRising && _prevClose < _prevEma && close >= emaValue && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Price rejoins from above in downtrend - sell
		else if (emaFalling && _prevClose > _prevEma && close <= emaValue && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevEma = emaValue;
		_prevClose = close;
	}
}

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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class above_below_ma_rejoin_strategy(Strategy):
    """Above/Below MA Rejoin strategy.
    Buys when price rejoins from below a rising EMA (pullback in uptrend).
    Sells when price rejoins from above a falling EMA (pullback in downtrend)."""

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

        self._ema_length = self.Param("EmaLength", 20) \
            .SetDisplay("EMA Period", "EMA lookback period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._prev_ema = 0.0
        self._prev_close = 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 EmaLength(self):
        return self._ema_length.Value

    def OnReseted(self):
        super(above_below_ma_rejoin_strategy, self).OnReseted()
        self._prev_ema = 0.0
        self._prev_close = 0.0
        self._has_prev = False

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

        self._has_prev = False

        ema = ExponentialMovingAverage()
        ema.Length = self.EmaLength

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

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

        close = float(candle.ClosePrice)
        ema_val = float(ema_value)

        if not self._has_prev:
            self._prev_ema = ema_val
            self._prev_close = close
            self._has_prev = True
            return

        ema_rising = ema_val > self._prev_ema
        ema_falling = ema_val < self._prev_ema

        # Price rejoins from below in uptrend - buy
        if ema_rising and self._prev_close < self._prev_ema and close >= ema_val and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # Price rejoins from above in downtrend - sell
        elif ema_falling and self._prev_close > self._prev_ema and close <= ema_val and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_ema = ema_val
        self._prev_close = close

    def CreateClone(self):
        return above_below_ma_rejoin_strategy()