マルチロットスキャルパー戦略

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Multi Lot Scalper: MACD slope scalping with EMA filter and ATR stops.
/// </summary>
public class MultiLotScalperStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _emaFilterLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevMacd;
	private decimal _entryPrice;

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

		_fastEmaLength = Param(nameof(FastEmaLength), 12)
			.SetDisplay("Fast EMA", "Fast EMA period.", "Indicators");

		_slowEmaLength = Param(nameof(SlowEmaLength), 26)
			.SetDisplay("Slow EMA", "Slow EMA period.", "Indicators");

		_emaFilterLength = Param(nameof(EmaFilterLength), 50)
			.SetDisplay("EMA Filter", "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 FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	public int SlowEmaLength
	{
		get => _slowEmaLength.Value;
		set => _slowEmaLength.Value = value;
	}

	public int EmaFilterLength
	{
		get => _emaFilterLength.Value;
		set => _emaFilterLength.Value = value;
	}

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

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

		_prevMacd = 0;
		_entryPrice = 0;
	}

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

		_prevMacd = 0;
		_entryPrice = 0;

		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var emaFilter = new ExponentialMovingAverage { Length = EmaFilterLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

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

		var macd = fastVal - slowVal;

		if (_prevMacd == 0 || atrVal <= 0)
		{
			_prevMacd = macd;
			return;
		}

		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 2m || close <= _entryPrice - atrVal * 1.5m || macd < _prevMacd && macd < 0)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 2m || close >= _entryPrice + atrVal * 1.5m || macd > _prevMacd && macd > 0)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (macd > 0 && _prevMacd <= 0 && close > emaVal)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (macd < 0 && _prevMacd >= 0 && close < emaVal)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevMacd = macd;
	}
}

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 ExponentialMovingAverage, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy

class multi_lot_scalper_strategy(Strategy):
    """
    Multi Lot Scalper: MACD slope scalping with EMA filter and ATR stops.
    """

    def __init__(self):
        super(multi_lot_scalper_strategy, self).__init__()
        self._fast_ema = self.Param("FastEmaLength", 12).SetDisplay("Fast EMA", "Fast EMA", "Indicators")
        self._slow_ema = self.Param("SlowEmaLength", 26).SetDisplay("Slow EMA", "Slow EMA", "Indicators")
        self._ema_filter = self.Param("EmaFilterLength", 50).SetDisplay("EMA Filter", "Trend filter", "Indicators")
        self._atr_length = self.Param("AtrLength", 14).SetDisplay("ATR", "ATR period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Candles", "General")

        self._prev_macd = 0.0
        self._entry_price = 0.0

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

    def OnReseted(self):
        super(multi_lot_scalper_strategy, self).OnReseted()
        self._prev_macd = 0.0
        self._entry_price = 0.0

    def OnStarted2(self, time):
        super(multi_lot_scalper_strategy, self).OnStarted2(time)
        fast = ExponentialMovingAverage()
        fast.Length = self._fast_ema.Value
        slow = ExponentialMovingAverage()
        slow.Length = self._slow_ema.Value
        ema_filter = ExponentialMovingAverage()
        ema_filter.Length = self._ema_filter.Value
        atr = AverageTrueRange()
        atr.Length = self._atr_length.Value
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast, slow, ema_filter, atr, self._process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, ema_filter)
            self.DrawOwnTrades(area)

    def _process_candle(self, candle, fast_val, slow_val, ema_val, atr_val):
        if candle.State != CandleStates.Finished:
            return
        fast = float(fast_val)
        slow = float(slow_val)
        ema = float(ema_val)
        atr = float(atr_val)
        macd = fast - slow
        close = float(candle.ClosePrice)
        if self._prev_macd == 0 or atr <= 0:
            self._prev_macd = macd
            return
        if self.Position > 0:
            if close >= self._entry_price + atr * 2.0 or close <= self._entry_price - atr * 1.5 or (macd < self._prev_macd and macd < 0):
                self.SellMarket()
                self._entry_price = 0
        elif self.Position < 0:
            if close <= self._entry_price - atr * 2.0 or close >= self._entry_price + atr * 1.5 or (macd > self._prev_macd and macd > 0):
                self.BuyMarket()
                self._entry_price = 0
        if self.Position == 0:
            if macd > 0 and self._prev_macd <= 0 and close > ema:
                self._entry_price = close
                self.BuyMarket()
            elif macd < 0 and self._prev_macd >= 0 and close < ema:
                self._entry_price = close
                self.SellMarket()
        self._prev_macd = macd

    def CreateClone(self):
        return multi_lot_scalper_strategy()