コムフラクティ戦略

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ComFracti: Fractal detection with RSI confirmation and ATR stops.
/// </summary>
public class ComFractiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _entryPrice;
	private decimal _h1, _h2, _h3, _h4, _h5;
	private decimal _l1, _l2, _l3, _l4, _l5;
	private int _barCount;

	public ComFractiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period.", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetDisplay("EMA Length", "Trend filter.", "Indicators");

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

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

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

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

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

		_entryPrice = 0;
		_barCount = 0;
		_h1 = _h2 = _h3 = _h4 = _h5 = 0;
		_l1 = _l2 = _l3 = _l4 = _l5 = 0;
	}

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

		_entryPrice = 0;
		_barCount = 0;
		_h1 = _h2 = _h3 = _h4 = _h5 = 0;
		_l1 = _l2 = _l3 = _l4 = _l5 = 0;

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, ema, atr, ProcessCandle)
			.Start();

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

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

		_h5 = _h4; _h4 = _h3; _h3 = _h2; _h2 = _h1;
		_h1 = candle.HighPrice;
		_l5 = _l4; _l4 = _l3; _l3 = _l2; _l2 = _l1;
		_l1 = candle.LowPrice;
		_barCount++;

		if (_barCount < 5 || atrVal <= 0)
			return;

		var close = candle.ClosePrice;

		var fractalUp = _h3 > _h1 && _h3 > _h2 && _h3 > _h4 && _h3 > _h5;
		var fractalDown = _l3 < _l1 && _l3 < _l2 && _l3 < _l4 && _l3 < _l5;

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 3m || close <= _entryPrice - atrVal * 2m || (fractalUp && rsiVal > 65))
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 3m || close >= _entryPrice + atrVal * 2m || (fractalDown && rsiVal < 35))
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (fractalDown && rsiVal < 55)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (fractalUp && rsiVal > 45)
			{
				_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 RelativeStrengthIndex, ExponentialMovingAverage, AverageTrueRange

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe.", "General")
        self._rsi_length = self.Param("RsiLength", 14) \
            .SetDisplay("RSI Length", "RSI period.", "Indicators")
        self._ema_length = self.Param("EmaLength", 50) \
            .SetDisplay("EMA Length", "Trend filter.", "Indicators")
        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period.", "Indicators")

        self._entry_price = 0.0
        self._h1 = 0.0
        self._h2 = 0.0
        self._h3 = 0.0
        self._h4 = 0.0
        self._h5 = 0.0
        self._l1 = 0.0
        self._l2 = 0.0
        self._l3 = 0.0
        self._l4 = 0.0
        self._l5 = 0.0
        self._bar_count = 0

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

    @property
    def RsiLength(self):
        return self._rsi_length.Value

    @property
    def EmaLength(self):
        return self._ema_length.Value

    @property
    def AtrLength(self):
        return self._atr_length.Value

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

        self._entry_price = 0.0
        self._bar_count = 0
        self._h1 = self._h2 = self._h3 = self._h4 = self._h5 = 0.0
        self._l1 = self._l2 = self._l3 = self._l4 = self._l5 = 0.0

        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = self.RsiLength
        self._ema = ExponentialMovingAverage()
        self._ema.Length = self.EmaLength
        self._atr = AverageTrueRange()
        self._atr.Length = self.AtrLength

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._rsi, self._ema, self._atr, self.ProcessCandle).Start()

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

        rv = float(rsi_val)
        ev = float(ema_val)
        av = float(atr_val)

        self._h5 = self._h4
        self._h4 = self._h3
        self._h3 = self._h2
        self._h2 = self._h1
        self._h1 = float(candle.HighPrice)
        self._l5 = self._l4
        self._l4 = self._l3
        self._l3 = self._l2
        self._l2 = self._l1
        self._l1 = float(candle.LowPrice)
        self._bar_count += 1

        if self._bar_count < 5 or av <= 0:
            return

        close = float(candle.ClosePrice)

        fractal_up = (self._h3 > self._h1 and self._h3 > self._h2 and
                      self._h3 > self._h4 and self._h3 > self._h5)
        fractal_down = (self._l3 < self._l1 and self._l3 < self._l2 and
                        self._l3 < self._l4 and self._l3 < self._l5)

        if self.Position > 0:
            if close >= self._entry_price + av * 3.0 or close <= self._entry_price - av * 2.0 or (fractal_up and rv > 65):
                self.SellMarket()
                self._entry_price = 0.0
        elif self.Position < 0:
            if close <= self._entry_price - av * 3.0 or close >= self._entry_price + av * 2.0 or (fractal_down and rv < 35):
                self.BuyMarket()
                self._entry_price = 0.0

        if self.Position == 0:
            if fractal_down and rv < 55:
                self._entry_price = close
                self.BuyMarket()
            elif fractal_up and rv > 45:
                self._entry_price = close
                self.SellMarket()

    def OnReseted(self):
        super(com_fracti_strategy, self).OnReseted()
        self._entry_price = 0.0
        self._bar_count = 0
        self._h1 = self._h2 = self._h3 = self._h4 = self._h5 = 0.0
        self._l1 = self._l2 = self._l3 = self._l4 = self._l5 = 0.0

    def CreateClone(self):
        return com_fracti_strategy()