サイダス v1 戦略

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on the Sidus v1 expert advisor using EMA and RSI filters.
/// Buys when the fast EMA is sufficiently below the slow EMA and RSI is oversold.
/// Sells when the fast EMA is sufficiently above the slow EMA and RSI is overbought.
/// </summary>
public class SidusV1Strategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _fastEma2Length;
	private readonly StrategyParam<int> _slowEma2Length;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _rsiPeriod2;
	private readonly StrategyParam<decimal> _buyDifferenceThreshold;
	private readonly StrategyParam<decimal> _buyRsiThreshold;
	private readonly StrategyParam<decimal> _sellDifferenceThreshold;
	private readonly StrategyParam<decimal> _sellRsiThreshold;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Length of the fast EMA for buy signal calculation.
	/// </summary>
	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	/// <summary>
	/// Length of the slow EMA for buy signal calculation.
	/// </summary>
	public int SlowEmaLength
	{
		get => _slowEmaLength.Value;
		set => _slowEmaLength.Value = value;
	}

	/// <summary>
	/// Length of the fast EMA for sell signal calculation.
	/// </summary>
	public int FastEma2Length
	{
		get => _fastEma2Length.Value;
		set => _fastEma2Length.Value = value;
	}

	/// <summary>
	/// Length of the slow EMA for sell signal calculation.
	/// </summary>
	public int SlowEma2Length
	{
		get => _slowEma2Length.Value;
		set => _slowEma2Length.Value = value;
	}

	/// <summary>
	/// RSI period used for buy signals.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	/// <summary>
	/// RSI period used for sell signals.
	/// </summary>
	public int RsiPeriod2
	{
		get => _rsiPeriod2.Value;
		set => _rsiPeriod2.Value = value;
	}

	/// <summary>
	/// Threshold for EMA difference to allow buy orders (negative means fast below slow).
	/// </summary>
	public decimal BuyDifferenceThreshold
	{
		get => _buyDifferenceThreshold.Value;
		set => _buyDifferenceThreshold.Value = value;
	}

	/// <summary>
	/// RSI threshold to confirm oversold conditions.
	/// </summary>
	public decimal BuyRsiThreshold
	{
		get => _buyRsiThreshold.Value;
		set => _buyRsiThreshold.Value = value;
	}

	/// <summary>
	/// Threshold for EMA difference to allow sell orders (positive means fast above slow).
	/// </summary>
	public decimal SellDifferenceThreshold
	{
		get => _sellDifferenceThreshold.Value;
		set => _sellDifferenceThreshold.Value = value;
	}

	/// <summary>
	/// RSI threshold to confirm overbought conditions.
	/// </summary>
	public decimal SellRsiThreshold
	{
		get => _sellRsiThreshold.Value;
		set => _sellRsiThreshold.Value = value;
	}

	/// <summary>
	/// Stop loss distance in absolute price units.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Take profit distance in absolute price units.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Candle type used for indicator calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="SidusV1Strategy"/> class.
	/// </summary>
	public SidusV1Strategy()
	{
		_fastEmaLength = Param(nameof(FastEmaLength), 23)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA Length", "Length of the fast EMA for buy signals", "Indicators");

		_slowEmaLength = Param(nameof(SlowEmaLength), 62)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA Length", "Length of the slow EMA for buy signals", "Indicators");

		_fastEma2Length = Param(nameof(FastEma2Length), 18)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA Length (Sell)", "Length of the fast EMA for sell signals", "Indicators");

		_slowEma2Length = Param(nameof(SlowEma2Length), 54)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA Length (Sell)", "Length of the slow EMA for sell signals", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 67)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period used for buy signals", "Indicators");

		_rsiPeriod2 = Param(nameof(RsiPeriod2), 97)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period (Sell)", "RSI period used for sell signals", "Indicators");

		_buyDifferenceThreshold = Param(nameof(BuyDifferenceThreshold), -100m)
			.SetDisplay("Buy EMA Threshold", "Maximum fast-slow EMA difference to allow buy", "Trading Rules");

		_buyRsiThreshold = Param(nameof(BuyRsiThreshold), 45m)
			.SetDisplay("Buy RSI Threshold", "Maximum RSI level to allow buy", "Trading Rules");

		_sellDifferenceThreshold = Param(nameof(SellDifferenceThreshold), 100m)
			.SetDisplay("Sell EMA Threshold", "Minimum fast-slow EMA difference to allow sell", "Trading Rules");

		_sellRsiThreshold = Param(nameof(SellRsiThreshold), 55m)
			.SetDisplay("Sell RSI Threshold", "Minimum RSI level to allow sell", "Trading Rules");

		_stopLoss = Param(nameof(StopLoss), 500m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop loss distance in absolute price units", "Risk Management");

		_takeProfit = Param(nameof(TakeProfit), 500m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take profit distance in absolute price units", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles used for calculations", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return new[] { (Security, CandleType) };
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		var fastEma = new EMA { Length = FastEmaLength };
		var slowEma = new EMA { Length = SlowEmaLength };
		var fastEma2 = new EMA { Length = FastEma2Length };
		var slowEma2 = new EMA { Length = SlowEma2Length };
		var rsi = new RSI { Length = RsiPeriod };
		var rsi2 = new RSI { Length = RsiPeriod2 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, fastEma2, slowEma2, rsi, rsi2, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, fastEma);
			DrawIndicator(area, slowEma);
			DrawOwnTrades(area);
		}

		// Use StartProtection for SL/TP
		var tp = TakeProfit > 0 ? new Unit(TakeProfit, UnitTypes.Absolute) : null;
		var sl = StopLoss > 0 ? new Unit(StopLoss, UnitTypes.Absolute) : null;
		StartProtection(tp, sl);

		base.OnStarted2(time);
	}

	private void ProcessCandle(ICandleMessage candle,
		decimal fastEmaValue,
		decimal slowEmaValue,
		decimal fastEma2Value,
		decimal slowEma2Value,
		decimal rsiValue,
		decimal rsi2Value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var diffBuy = fastEmaValue - slowEmaValue;
		var diffSell = fastEma2Value - slowEma2Value;

		// Buy when fast EMA is sufficiently below slow EMA and RSI is oversold
		if (diffBuy < BuyDifferenceThreshold && rsiValue < BuyRsiThreshold && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
		}
		// Sell when fast EMA is sufficiently above slow EMA and RSI is overbought
		else if (diffSell > SellDifferenceThreshold && rsi2Value > SellRsiThreshold && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Position);
			SellMarket(Volume);
		}
	}
}

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, UnitTypes, Unit
from StockSharp.Algo.Indicators import ExponentialMovingAverage, RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy

class sidus_v1_strategy(Strategy):
    def __init__(self):
        super(sidus_v1_strategy, self).__init__()
        self._fast_ema_len = self.Param("FastEmaLength", 23).SetGreaterThanZero().SetDisplay("Fast EMA", "Fast EMA for buy", "Indicators")
        self._slow_ema_len = self.Param("SlowEmaLength", 62).SetGreaterThanZero().SetDisplay("Slow EMA", "Slow EMA for buy", "Indicators")
        self._fast_ema2_len = self.Param("FastEma2Length", 18).SetGreaterThanZero().SetDisplay("Fast EMA (Sell)", "Fast EMA for sell", "Indicators")
        self._slow_ema2_len = self.Param("SlowEma2Length", 54).SetGreaterThanZero().SetDisplay("Slow EMA (Sell)", "Slow EMA for sell", "Indicators")
        self._rsi_period = self.Param("RsiPeriod", 67).SetGreaterThanZero().SetDisplay("RSI Period", "RSI for buy", "Indicators")
        self._rsi_period2 = self.Param("RsiPeriod2", 97).SetGreaterThanZero().SetDisplay("RSI Period (Sell)", "RSI for sell", "Indicators")
        self._buy_diff = self.Param("BuyDifferenceThreshold", -100.0).SetDisplay("Buy EMA Threshold", "Max fast-slow EMA diff for buy", "Trading")
        self._buy_rsi_thresh = self.Param("BuyRsiThreshold", 45.0).SetDisplay("Buy RSI Threshold", "Max RSI for buy", "Trading")
        self._sell_diff = self.Param("SellDifferenceThreshold", 100.0).SetDisplay("Sell EMA Threshold", "Min fast-slow EMA diff for sell", "Trading")
        self._sell_rsi_thresh = self.Param("SellRsiThreshold", 55.0).SetDisplay("Sell RSI Threshold", "Min RSI for sell", "Trading")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Candle type", "General")

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

    def OnStarted2(self, time):
        super(sidus_v1_strategy, self).OnStarted2(time)

        fast_ema = ExponentialMovingAverage()
        fast_ema.Length = self._fast_ema_len.Value
        slow_ema = ExponentialMovingAverage()
        slow_ema.Length = self._slow_ema_len.Value
        fast_ema2 = ExponentialMovingAverage()
        fast_ema2.Length = self._fast_ema2_len.Value
        slow_ema2 = ExponentialMovingAverage()
        slow_ema2.Length = self._slow_ema2_len.Value
        rsi = RelativeStrengthIndex()
        rsi.Length = self._rsi_period.Value
        rsi2 = RelativeStrengthIndex()
        rsi2.Length = self._rsi_period2.Value

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(fast_ema, slow_ema, fast_ema2, slow_ema2, rsi, rsi2, self.OnProcess).Start()

        tp = Unit(500.0, UnitTypes.Absolute)
        sl = Unit(500.0, UnitTypes.Absolute)
        self.StartProtection(tp, sl)

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, sub)
            self.DrawIndicator(area, fast_ema)
            self.DrawIndicator(area, slow_ema)
            self.DrawOwnTrades(area)

    def OnProcess(self, candle, fast_val, slow_val, fast2_val, slow2_val, rsi_val, rsi2_val):
        if candle.State != CandleStates.Finished:
            return

        if not self.IsFormedAndOnlineAndAllowTrading():
            return

        diff_buy = fast_val - slow_val
        diff_sell = fast2_val - slow2_val

        if diff_buy < self._buy_diff.Value and rsi_val < self._buy_rsi_thresh.Value and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket(abs(self.Position))
            self.BuyMarket(self.Volume)
        elif diff_sell > self._sell_diff.Value and rsi2_val > self._sell_rsi_thresh.Value and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket(self.Position)
            self.SellMarket(self.Volume)

    def CreateClone(self):
        return sidus_v1_strategy()