6つの指標 モメンタム戦略

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Six Indicators Momentum: RSI + EMA trend with ATR stops.
/// </summary>
public class SixIndicatorsMomentumStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevRsi;
	private decimal _entryPrice;

	public SixIndicatorsMomentumStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period.", "Indicators");
		_emaLength = Param(nameof(EmaLength), 30)
			.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();

		_prevRsi = 0; _entryPrice = 0;
	}

		protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevRsi = 0; _entryPrice = 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;
		if (_prevRsi == 0 || atrVal <= 0) { _prevRsi = rsiVal; return; }
		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 2.5m || close <= _entryPrice - atrVal * 1.5m || rsiVal > 70) { SellMarket(); _entryPrice = 0; }
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 2.5m || close >= _entryPrice + atrVal * 1.5m || rsiVal < 30) { BuyMarket(); _entryPrice = 0; }
		}

		if (Position == 0)
		{
			if (rsiVal > 55 && _prevRsi <= 55 && close > emaVal) { _entryPrice = close; BuyMarket(); }
			else if (rsiVal < 45 && _prevRsi >= 45 && close < emaVal) { _entryPrice = close; SellMarket(); }
		}
		_prevRsi = rsiVal;
	}
}

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 RelativeStrengthIndex, ExponentialMovingAverage, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy

class six_indicators_momentum_strategy(Strategy):
    def __init__(self):
        super(six_indicators_momentum_strategy, self).__init__()
        self._rsi_length = self.Param("RsiLength", 14).SetDisplay("RSI Length", "RSI period", "Indicators")
        self._ema_length = self.Param("EmaLength", 30).SetDisplay("EMA Length", "Trend filter", "Indicators")
        self._atr_length = self.Param("AtrLength", 14).SetDisplay("ATR Length", "ATR period", "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(six_indicators_momentum_strategy, self).OnReseted()
        self._prev_rsi = 0
        self._entry_price = 0

    def OnStarted2(self, time):
        super(six_indicators_momentum_strategy, self).OnStarted2(time)
        self._prev_rsi = 0
        self._entry_price = 0

        rsi = RelativeStrengthIndex()
        rsi.Length = self._rsi_length.Value
        ema = ExponentialMovingAverage()
        ema.Length = self._ema_length.Value
        atr = AverageTrueRange()
        atr.Length = self._atr_length.Value

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(rsi, ema, atr, self.OnProcess).Start()

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

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

        if self._prev_rsi == 0 or atr_val <= 0:
            self._prev_rsi = rsi_val
            return

        close = float(candle.ClosePrice)

        if self.Position > 0:
            if close >= self._entry_price + atr_val * 2.5 or close <= self._entry_price - atr_val * 1.5 or rsi_val > 70:
                self.SellMarket()
                self._entry_price = 0
        elif self.Position < 0:
            if close <= self._entry_price - atr_val * 2.5 or close >= self._entry_price + atr_val * 1.5 or rsi_val < 30:
                self.BuyMarket()
                self._entry_price = 0

        if self.Position == 0:
            if rsi_val > 55 and self._prev_rsi <= 55 and close > ema_val:
                self._entry_price = close
                self.BuyMarket()
            elif rsi_val < 45 and self._prev_rsi >= 45 and close < ema_val:
                self._entry_price = close
                self.SellMarket()

        self._prev_rsi = rsi_val

    def CreateClone(self):
        return six_indicators_momentum_strategy()