自分自身を鍛える戦略

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// TrainYourself: Donchian channel breakout strategy.
/// Uses Highest/Lowest as channel, arms after price is inside channel,
/// then trades breakouts.
/// </summary>
public class TrainYourselfStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _channelLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevHighest;
	private decimal _prevLowest;
	private bool _isArmed;
	private decimal _entryPrice;

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

		_channelLength = Param(nameof(ChannelLength), 20)
			.SetDisplay("Channel Length", "Highest/Lowest period.", "Channel");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR for stop distance.", "Indicators");
	}

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

	public int ChannelLength
	{
		get => _channelLength.Value;
		set => _channelLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

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

		_prevHighest = 0;
		_prevLowest = 0;
		_isArmed = false;
		_entryPrice = 0;
	}

		protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevHighest = 0;
		_prevLowest = 0;
		_isArmed = false;
		_entryPrice = 0;

		var highest = new Highest { Length = ChannelLength };
		var lowest = new Lowest { Length = ChannelLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(highest, lowest, atr, ProcessCandle)
			.Start();

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

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

		if (_prevHighest == 0 || _prevLowest == 0 || atrVal <= 0)
		{
			_prevHighest = highVal;
			_prevLowest = lowVal;
			return;
		}

		var close = candle.ClosePrice;
		var upper = _prevHighest;
		var lower = _prevLowest;

		// Manage position: exit on channel re-entry
		if (Position > 0)
		{
			if (close < (upper + lower) / 2m)
			{
				SellMarket();
				_entryPrice = 0;
				_isArmed = false;
			}
		}
		else if (Position < 0)
		{
			if (close > (upper + lower) / 2m)
			{
				BuyMarket();
				_entryPrice = 0;
				_isArmed = false;
			}
		}

		// Arm when price is inside channel
		if (Position == 0)
		{
			if (!_isArmed)
			{
				var margin = atrVal * 0.2m;
				if (close > lower + margin && close < upper - margin)
					_isArmed = true;
			}
			else
			{
				// Breakout entry
				if (close > upper)
				{
					_entryPrice = close;
					BuyMarket();
					_isArmed = false;
				}
				else if (close < lower)
				{
					_entryPrice = close;
					SellMarket();
					_isArmed = false;
				}
			}
		}

		_prevHighest = highVal;
		_prevLowest = lowVal;
	}
}

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 Highest, Lowest, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy

class train_yourself_strategy(Strategy):
    """Donchian channel breakout: arm inside channel, trade on breakout, exit at midline."""
    def __init__(self):
        super(train_yourself_strategy, self).__init__()
        self._channel_length = self.Param("ChannelLength", 20).SetDisplay("Channel Length", "Highest/Lowest period", "Channel")
        self._atr_length = self.Param("AtrLength", 14).SetDisplay("ATR Length", "ATR for stop distance", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Timeframe", "General")

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

    def OnReseted(self):
        super(train_yourself_strategy, self).OnReseted()
        self._prev_highest = 0
        self._prev_lowest = 0
        self._is_armed = False
        self._entry_price = 0

    def OnStarted2(self, time):
        super(train_yourself_strategy, self).OnStarted2(time)
        self._prev_highest = 0
        self._prev_lowest = 0
        self._is_armed = False
        self._entry_price = 0

        highest = Highest()
        highest.Length = self._channel_length.Value
        lowest = Lowest()
        lowest.Length = self._channel_length.Value
        atr = AverageTrueRange()
        atr.Length = self._atr_length.Value

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(highest, lowest, atr, self.OnProcess).Start()

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

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

        if self._prev_highest == 0 or self._prev_lowest == 0 or atr_val <= 0:
            self._prev_highest = float(high_val)
            self._prev_lowest = float(low_val)
            return

        close = float(candle.ClosePrice)
        upper = self._prev_highest
        lower = self._prev_lowest
        mid = (upper + lower) / 2.0

        # Manage position: exit on channel re-entry
        if self.Position > 0:
            if close < mid:
                self.SellMarket()
                self._entry_price = 0
                self._is_armed = False
        elif self.Position < 0:
            if close > mid:
                self.BuyMarket()
                self._entry_price = 0
                self._is_armed = False

        # Arm when price is inside channel
        if self.Position == 0:
            if not self._is_armed:
                margin = float(atr_val) * 0.2
                if close > lower + margin and close < upper - margin:
                    self._is_armed = True
            else:
                if close > upper:
                    self._entry_price = close
                    self.BuyMarket()
                    self._is_armed = False
                elif close < lower:
                    self._entry_price = close
                    self.SellMarket()
                    self._is_armed = False

        self._prev_highest = float(high_val)
        self._prev_lowest = float(low_val)

    def CreateClone(self):
        return train_yourself_strategy()