N7S AO 772012 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>
/// Perceptron-based strategy using Awesome Oscillator values at different lookback periods.
/// Combines weighted AO signals with price pattern confirmation for entry/exit decisions.
/// </summary>
public class N7SAo772012Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _aoPeriod;
	private readonly StrategyParam<int> _lookback;

	private readonly List<decimal> _aoHistory = new();
	private decimal _entryPrice;

	public N7SAo772012Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(2).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for analysis.", "General");

		_aoPeriod = Param(nameof(AoPeriod), 5)
			.SetDisplay("AO Period", "Period for the Awesome Oscillator.", "Indicators");

		_lookback = Param(nameof(Lookback), 3)
			.SetDisplay("Lookback", "Number of AO values to look back for signal.", "Indicators");
	}

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

	public int AoPeriod
	{
		get => _aoPeriod.Value;
		set => _aoPeriod.Value = value;
	}

	public int Lookback
	{
		get => _lookback.Value;
		set => _lookback.Value = value;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_aoHistory.Clear();
		_entryPrice = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var ao = new AwesomeOscillator();

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

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

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

		_aoHistory.Add(aoValue);
		if (_aoHistory.Count > 50)
			_aoHistory.RemoveAt(0);

		if (_aoHistory.Count < Lookback + 1)
			return;

		var close = candle.ClosePrice;
		var current = _aoHistory[_aoHistory.Count - 1];
		var prev = _aoHistory[_aoHistory.Count - 1 - Lookback];

		// AO momentum: current vs lookback periods ago
		var rising = current > prev && current > 0;
		var falling = current < prev && current < 0;

		// Manage positions
		if (Position > 0)
		{
			// Exit long if AO turns negative or stop-loss
			if (current < 0 || (_entryPrice > 0 && close < _entryPrice * 0.98m))
			{
				SellMarket();
			}
		}
		else if (Position < 0)
		{
			// Exit short if AO turns positive or stop-loss
			if (current > 0 || (_entryPrice > 0 && close > _entryPrice * 1.02m))
			{
				BuyMarket();
			}
		}

		// Entry
		if (Position == 0)
		{
			if (rising)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (falling)
			{
				_entryPrice = close;
				SellMarket();
			}
		}
	}
}

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.Strategies import Strategy
from StockSharp.Algo.Indicators import AwesomeOscillator

class n7_s_ao772012_strategy(Strategy):
    def __init__(self):
        super(n7_s_ao772012_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(2))) \
            .SetDisplay("Candle Type", "Timeframe for analysis", "General")
        self._ao_period = self.Param("AoPeriod", 5) \
            .SetDisplay("AO Period", "Period for the Awesome Oscillator", "Indicators")
        self._lookback = self.Param("Lookback", 3) \
            .SetDisplay("Lookback", "Number of AO values to look back for signal", "Indicators")

        self._ao_history = []
        self._entry_price = 0.0

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

    @property
    def AoPeriod(self):
        return self._ao_period.Value

    @property
    def Lookback(self):
        return self._lookback.Value

    def OnStarted2(self, time):
        super(n7_s_ao772012_strategy, self).OnStarted2(time)

        self._ao_history = []
        self._entry_price = 0.0

        self._ao = AwesomeOscillator()

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._ao, self.ProcessCandle).Start()

    def ProcessCandle(self, candle, ao_value):
        if candle.State != CandleStates.Finished:
            return

        ao_val = float(ao_value)
        self._ao_history.append(ao_val)
        if len(self._ao_history) > 50:
            self._ao_history.pop(0)

        lookback = self.Lookback
        if len(self._ao_history) < lookback + 1:
            return

        close = float(candle.ClosePrice)
        current = self._ao_history[-1]
        prev = self._ao_history[-1 - lookback]

        rising = current > prev and current > 0
        falling = current < prev and current < 0

        # Manage positions
        if self.Position > 0:
            if current < 0 or (self._entry_price > 0 and close < self._entry_price * 0.98):
                self.SellMarket()
        elif self.Position < 0:
            if current > 0 or (self._entry_price > 0 and close > self._entry_price * 1.02):
                self.BuyMarket()

        # Entry
        if self.Position == 0:
            if rising:
                self._entry_price = close
                self.BuyMarket()
            elif falling:
                self._entry_price = close
                self.SellMarket()

    def OnReseted(self):
        super(n7_s_ao772012_strategy, self).OnReseted()
        self._ao_history = []
        self._entry_price = 0.0

    def CreateClone(self):
        return n7_s_ao772012_strategy()