未来パターン記憶戦略

using System;
using System.Collections.Generic;
using System.Text;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Pattern memory strategy that records normalized MA spread sequences,
/// tracks fractal outcomes, and trades when a recognized pattern has favorable statistics.
/// </summary>
public class FuturePatternMemoryStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastMaLength;
	private readonly StrategyParam<int> _slowMaLength;
	private readonly StrategyParam<int> _patternLength;
	private readonly StrategyParam<int> _minMatches;

	private readonly Queue<int> _patternWindow = new();
	private readonly Dictionary<string, (int buyCount, int sellCount)> _patterns = new();
	private decimal _entryPrice;
	private int _barIndex;
	private int _lastEntryBar;

	public FuturePatternMemoryStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for analysis.", "General");

		_fastMaLength = Param(nameof(FastMaLength), 6)
			.SetDisplay("Fast MA", "Fast EMA period.", "Indicators");

		_slowMaLength = Param(nameof(SlowMaLength), 24)
			.SetDisplay("Slow MA", "Slow EMA period.", "Indicators");

		_patternLength = Param(nameof(PatternLength), 5)
			.SetDisplay("Pattern Length", "Number of bars in pattern signature.", "Pattern");

		_minMatches = Param(nameof(MinMatches), 3)
			.SetDisplay("Min Matches", "Minimum pattern occurrences before trading.", "Pattern");
	}

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

	public int FastMaLength
	{
		get => _fastMaLength.Value;
		set => _fastMaLength.Value = value;
	}

	public int SlowMaLength
	{
		get => _slowMaLength.Value;
		set => _slowMaLength.Value = value;
	}

	public int PatternLength
	{
		get => _patternLength.Value;
		set => _patternLength.Value = value;
	}

	public int MinMatches
	{
		get => _minMatches.Value;
		set => _minMatches.Value = value;
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_patternWindow.Clear();
		_patterns.Clear();
		_entryPrice = 0;
		_barIndex = 0;
		_lastEntryBar = 0;
	}

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

		_patternWindow.Clear();
		_patterns.Clear();
		_entryPrice = 0;
		_barIndex = 0;
		_lastEntryBar = 0;

		var fastEma = new ExponentialMovingAverage { Length = FastMaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowMaLength };

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

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

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

		_barIndex++;
		var close = candle.ClosePrice;

		// Normalize the MA spread into a discrete value
		var spread = fastValue - slowValue;
		var normalized = spread > 0 ? 1 : (spread < 0 ? -1 : 0);

		_patternWindow.Enqueue(normalized);
		while (_patternWindow.Count > PatternLength)
			_patternWindow.Dequeue();

		if (_patternWindow.Count < PatternLength)
			return;

		var key = BuildPatternKey(_patternWindow);

		// Record outcome: if price went up, it's a buy match, otherwise sell
		if (!_patterns.TryGetValue(key, out var stats))
			stats = (0, 0);

		if (close > fastValue)
			stats = (stats.buyCount + 1, stats.sellCount);
		else if (close < fastValue)
			stats = (stats.buyCount, stats.sellCount + 1);

		_patterns[key] = stats;

		// Cooldown: minimum SlowMaLength*4 bars between any trade action
		var cooldownBars = SlowMaLength * 4;
		var cooledDown = _barIndex - _lastEntryBar >= cooldownBars;

		// Position management
		var exitedThisBar = false;
		if (Position > 0)
		{
			if (cooledDown && (spread < 0 || (_entryPrice > 0 && close < _entryPrice * 0.985m)))
			{
				SellMarket();
				_lastEntryBar = _barIndex;
				exitedThisBar = true;
			}
		}
		else if (Position < 0)
		{
			if (cooledDown && (spread > 0 || (_entryPrice > 0 && close > _entryPrice * 1.015m)))
			{
				BuyMarket();
				_lastEntryBar = _barIndex;
				exitedThisBar = true;
			}
		}

		// Entry based on pattern statistics (cooldown between entries)
		if (!exitedThisBar && Position == 0 && cooledDown)
		{
			var total = stats.buyCount + stats.sellCount;
			if (total >= MinMatches)
			{
				if (stats.buyCount > stats.sellCount && spread > 0)
				{
					_entryPrice = close;
					_lastEntryBar = _barIndex;
					BuyMarket();
				}
				else if (stats.sellCount > stats.buyCount && spread < 0)
				{
					_entryPrice = close;
					_lastEntryBar = _barIndex;
					SellMarket();
				}
			}
		}
	}

	private static string BuildPatternKey(IEnumerable<int> values)
	{
		var sb = new StringBuilder();
		var first = true;
		foreach (var v in values)
		{
			if (!first) sb.Append('_');
			sb.Append(v);
			first = false;
		}
		return sb.ToString();
	}
}

import clr

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

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

class future_pattern_memory_strategy(Strategy):
    """
    Future Pattern Memory: records normalized MA spread sequences,
    tracks outcomes, and trades when a recognized pattern has favorable statistics.
    """

    def __init__(self):
        super(future_pattern_memory_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Timeframe for analysis", "General")
        self._fast_ma_length = self.Param("FastMaLength", 6) \
            .SetDisplay("Fast MA", "Fast EMA period", "Indicators")
        self._slow_ma_length = self.Param("SlowMaLength", 24) \
            .SetDisplay("Slow MA", "Slow EMA period", "Indicators")
        self._pattern_length = self.Param("PatternLength", 5) \
            .SetDisplay("Pattern Length", "Number of bars in pattern signature", "Pattern")
        self._min_matches = self.Param("MinMatches", 3) \
            .SetDisplay("Min Matches", "Minimum pattern occurrences before trading", "Pattern")

        self._pattern_window = deque()
        self._patterns = {}
        self._entry_price = 0.0

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

    def OnReseted(self):
        super(future_pattern_memory_strategy, self).OnReseted()
        self._pattern_window = deque()
        self._patterns = {}
        self._entry_price = 0.0

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

        self._pattern_window = deque()
        self._patterns = {}
        self._entry_price = 0.0

        fast_ema = ExponentialMovingAverage()
        fast_ema.Length = self._fast_ma_length.Value
        slow_ema = ExponentialMovingAverage()
        slow_ema.Length = self._slow_ma_length.Value

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast_ema, slow_ema, self._process_candle).Start()

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

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

        close = float(candle.ClosePrice)
        fast = float(fast_value)
        slow = float(slow_value)

        spread = fast - slow
        normalized = 1 if spread > 0 else (-1 if spread < 0 else 0)

        self._pattern_window.append(normalized)
        pat_len = self._pattern_length.Value
        while len(self._pattern_window) > pat_len:
            self._pattern_window.popleft()

        if len(self._pattern_window) < pat_len:
            return

        key = "_".join(str(v) for v in self._pattern_window)

        stats = self._patterns.get(key, (0, 0))
        buy_count, sell_count = stats

        if close > fast:
            buy_count += 1
        elif close < fast:
            sell_count += 1

        self._patterns[key] = (buy_count, sell_count)

        # Position management
        if self.Position > 0:
            if spread < 0 or (self._entry_price > 0 and close < self._entry_price * 0.985):
                self.SellMarket()
        elif self.Position < 0:
            if spread > 0 or (self._entry_price > 0 and close > self._entry_price * 1.015):
                self.BuyMarket()

        # Entry based on pattern statistics
        if self.Position == 0:
            total = buy_count + sell_count
            if total >= self._min_matches.Value:
                if buy_count > sell_count and spread > 0:
                    self._entry_price = close
                    self.BuyMarket()
                elif sell_count > buy_count and spread < 0:
                    self._entry_price = close
                    self.SellMarket()

    def CreateClone(self):
        return future_pattern_memory_strategy()