USD/CHF CCI チャネルストップ戦略

using System;

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

namespace StockSharp.Samples.Strategies;

public class UsdChfNewStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _cooldownCandles;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;
	private int _cooldownRemaining;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int CooldownCandles { get => _cooldownCandles.Value; set => _cooldownCandles.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public UsdChfNewStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 20).SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowPeriod = Param(nameof(SlowPeriod), 80).SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
		_cooldownCandles = Param(nameof(CooldownCandles), 100).SetDisplay("Cooldown", "Candles between signals", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame()).SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = default;
		_prevSlow = default;
		_hasPrev = default;
		_cooldownRemaining = default;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
		_cooldownRemaining = 0;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_hasPrev) { _prevFast = fast; _prevSlow = slow; _hasPrev = true; return; }

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		if (_prevFast <= _prevSlow && fast > slow && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
			_cooldownRemaining = CooldownCandles;
		}
		else if (_prevFast >= _prevSlow && fast < slow && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
			_cooldownRemaining = CooldownCandles;
		}
		_prevFast = fast;
		_prevSlow = slow;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class usd_chf_new_strategy(Strategy):
    def __init__(self):
        super(usd_chf_new_strategy, self).__init__()
        self._fast_period = self.Param("FastPeriod", 20) \
            .SetDisplay("Fast EMA", "Fast EMA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 80) \
            .SetDisplay("Slow EMA", "Slow EMA period", "Indicators")
        self._cooldown_candles = self.Param("CooldownCandles", 100) \
            .SetDisplay("Cooldown", "Candles between signals", "General")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False
        self._cooldown_remaining = 0

    @property
    def fast_period(self):
        return self._fast_period.Value

    @property
    def slow_period(self):
        return self._slow_period.Value

    @property
    def cooldown_candles(self):
        return self._cooldown_candles.Value

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

    def OnReseted(self):
        super(usd_chf_new_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False
        self._cooldown_remaining = 0

    def OnStarted2(self, time):
        super(usd_chf_new_strategy, self).OnStarted2(time)
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False
        self._cooldown_remaining = 0

        fast = ExponentialMovingAverage()
        fast.Length = self.fast_period
        slow = ExponentialMovingAverage()
        slow.Length = self.slow_period

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast, slow, self.process_candle).Start()

    def process_candle(self, candle, fast, slow):
        if candle.State != CandleStates.Finished:
            return

        fast_val = float(fast)
        slow_val = float(slow)

        if not self._has_prev:
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            self._has_prev = True
            return

        if self._cooldown_remaining > 0:
            self._cooldown_remaining -= 1
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            return

        if self._prev_fast <= self._prev_slow and fast_val > slow_val and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._cooldown_remaining = self.cooldown_candles
        elif self._prev_fast >= self._prev_slow and fast_val < slow_val and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._cooldown_remaining = self.cooldown_candles

        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        return usd_chf_new_strategy()