オープンクローズ戦略 (ID 3996)

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

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Contrarian pattern strategy converted from the MetaTrader expert "open_close".
/// Evaluates relationships between consecutive candle opens and closes.
/// Buys when a bearish candle opens above the previous open (fading the move),
/// and sells when a bullish candle opens below the previous open.
/// </summary>
public class OpenCloseStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _ema;

	private bool _hasPreviousCandle;
	private decimal _previousOpen;
	private decimal _previousClose;

	public OpenCloseStrategy()
	{
		_stopLossPoints = Param(nameof(StopLossPoints), 500m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop loss in absolute points", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 500m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take profit in absolute points", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time-frame used to evaluate the open/close pattern.", "Data");

		Volume = 1;
	}

	/// <summary>
	/// Stop loss distance in absolute points.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take profit distance in absolute points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Candle series used to evaluate the pattern.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_hasPreviousCandle = false;
		_previousOpen = 0m;
		_previousClose = 0m;
		_ema = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_ema = new ExponentialMovingAverage { Length = 20 };

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

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

		var tp = TakeProfitPoints > 0 ? new Unit(TakeProfitPoints, UnitTypes.Absolute) : null;
		var sl = StopLossPoints > 0 ? new Unit(StopLossPoints, UnitTypes.Absolute) : null;
		if (tp != null || sl != null)
			StartProtection(tp, sl);

		base.OnStarted2(time);
	}

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

		var open = candle.OpenPrice;
		var close = candle.ClosePrice;

		if (!_hasPreviousCandle)
		{
			_previousOpen = open;
			_previousClose = close;
			_hasPreviousCandle = true;
			return;
		}

		// Exit logic
		if (Position > 0)
		{
			// Close long on bearish continuation
			if (open < _previousOpen && close < _previousClose)
				SellMarket(Position);
		}
		else if (Position < 0)
		{
			// Close short on bullish continuation
			if (open > _previousOpen && close > _previousClose)
				BuyMarket(Math.Abs(Position));
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousOpen = open;
			_previousClose = close;
			return;
		}

		// Entry logic
		if (Position == 0)
		{
			// Buy: fade a bearish candle that opened above the previous open
			if (open > _previousOpen && close < _previousClose)
			{
				BuyMarket(Volume);
			}
			// Sell: fade a bullish candle that opened below the previous open
			else if (open < _previousOpen && close > _previousClose)
			{
				SellMarket(Volume);
			}
		}

		_previousOpen = open;
		_previousClose = 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, UnitTypes, Unit
from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

class open_close_strategy(Strategy):
    def __init__(self):
        super(open_close_strategy, self).__init__()
        self._sl_points = self.Param("StopLossPoints", 500.0).SetNotNegative().SetDisplay("Stop Loss", "Stop loss in absolute points", "Risk")
        self._tp_points = self.Param("TakeProfitPoints", 500.0).SetNotNegative().SetDisplay("Take Profit", "Take profit in absolute points", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))).SetDisplay("Candle Type", "Time-frame for open/close pattern.", "Data")
        self.Volume = 1

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

    def OnReseted(self):
        super(open_close_strategy, self).OnReseted()
        self._has_prev = False
        self._prev_open = 0
        self._prev_close = 0

    def OnStarted2(self, time):
        super(open_close_strategy, self).OnStarted2(time)
        self._has_prev = False
        self._prev_open = 0
        self._prev_close = 0

        ema = ExponentialMovingAverage()
        ema.Length = 20

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(ema, self.OnProcess).Start()

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

        tp = Unit(self._tp_points.Value, UnitTypes.Absolute) if self._tp_points.Value > 0 else None
        sl = Unit(self._sl_points.Value, UnitTypes.Absolute) if self._sl_points.Value > 0 else None
        if tp is not None or sl is not None:
            self.StartProtection(tp, sl)

    def OnProcess(self, candle, ema_val):
        if candle.State != CandleStates.Finished:
            return

        open_price = candle.OpenPrice
        close = candle.ClosePrice

        if not self._has_prev:
            self._prev_open = open_price
            self._prev_close = close
            self._has_prev = True
            return

        # Exit logic
        if self.Position > 0:
            if open_price < self._prev_open and close < self._prev_close:
                self.SellMarket(self.Position)
        elif self.Position < 0:
            if open_price > self._prev_open and close > self._prev_close:
                self.BuyMarket(Math.Abs(self.Position))

        # Entry logic
        if self.Position == 0:
            if open_price > self._prev_open and close < self._prev_close:
                self.BuyMarket(self.Volume)
            elif open_price < self._prev_open and close > self._prev_close:
                self.SellMarket(self.Volume)

        self._prev_open = open_price
        self._prev_close = close

    def CreateClone(self):
        return open_close_strategy()