Colibri グリッド マネージャー戦略

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Colibri Grid Manager: EMA crossover with RSI filter and ATR stops.
/// </summary>
public class ColibriGridManagerStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;

	public ColibriGridManagerStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");
		_fastEmaLength = Param(nameof(FastEmaLength), 10)
			.SetDisplay("Fast EMA Length", "Fast EMA period.", "Indicators");
		_slowEmaLength = Param(nameof(SlowEmaLength), 30)
			.SetDisplay("Slow EMA Length", "Slow EMA period.", "Indicators");
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period.", "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 RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }

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

		_prevFast = 0; _prevSlow = 0; _entryPrice = 0;
	}

		protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0;
		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var atr = new AverageTrueRange { Length = AtrLength };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fastEma, slowEma, rsi, atr, 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 fastVal, decimal slowVal, decimal rsiVal, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (_prevFast == 0 || _prevSlow == 0 || atrVal <= 0) { _prevFast = fastVal; _prevSlow = slowVal; return; }
		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if ((fastVal < slowVal && _prevFast >= _prevSlow) || close <= _entryPrice - atrVal * 2m) { SellMarket(); _entryPrice = 0; }
		}
		else if (Position < 0)
		{
			if ((fastVal > slowVal && _prevFast <= _prevSlow) || close >= _entryPrice + atrVal * 2m) { BuyMarket(); _entryPrice = 0; }
		}

		if (Position == 0)
		{
			if (fastVal > slowVal && _prevFast <= _prevSlow && rsiVal > 50) { _entryPrice = close; BuyMarket(); }
			else if (fastVal < slowVal && _prevFast >= _prevSlow && rsiVal < 50) { _entryPrice = close; SellMarket(); }
		}
		_prevFast = fastVal; _prevSlow = slowVal;
	}
}

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

class colibri_grid_manager_strategy(Strategy):
    """
    Colibri Grid Manager: EMA crossover with RSI filter and ATR stops.
    """

    def __init__(self):
        super(colibri_grid_manager_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Timeframe.", "General")
        self._fast_ema_length = self.Param("FastEmaLength", 10) \
            .SetDisplay("Fast EMA Length", "Fast EMA period.", "Indicators")
        self._slow_ema_length = self.Param("SlowEmaLength", 30) \
            .SetDisplay("Slow EMA Length", "Slow EMA period.", "Indicators")
        self._rsi_length = self.Param("RsiLength", 14) \
            .SetDisplay("RSI Length", "RSI period.", "Indicators")
        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period.", "Indicators")

        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0

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

    def OnReseted(self):
        super(colibri_grid_manager_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0

    def OnStarted2(self, time):
        super(colibri_grid_manager_strategy, self).OnStarted2(time)
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0

        fast_ema = ExponentialMovingAverage()
        fast_ema.Length = self._fast_ema_length.Value
        slow_ema = ExponentialMovingAverage()
        slow_ema.Length = self._slow_ema_length.Value
        rsi = RelativeStrengthIndex()
        rsi.Length = self._rsi_length.Value
        atr = AverageTrueRange()
        atr.Length = self._atr_length.Value

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast_ema, slow_ema, rsi, atr, self.on_process).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 on_process(self, candle, fast_val, slow_val, rsi_val, atr_val):
        if candle.State != CandleStates.Finished:
            return
        if self._prev_fast == 0.0 or self._prev_slow == 0.0 or atr_val <= 0:
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            return

        close = float(candle.ClosePrice)

        if self.Position > 0:
            if (fast_val < slow_val and self._prev_fast >= self._prev_slow) or close <= self._entry_price - atr_val * 2:
                self.SellMarket()
                self._entry_price = 0.0
        elif self.Position < 0:
            if (fast_val > slow_val and self._prev_fast <= self._prev_slow) or close >= self._entry_price + atr_val * 2:
                self.BuyMarket()
                self._entry_price = 0.0

        if self.Position == 0:
            if fast_val > slow_val and self._prev_fast <= self._prev_slow and rsi_val > 50:
                self._entry_price = close
                self.BuyMarket()
            elif fast_val < slow_val and self._prev_fast >= self._prev_slow and rsi_val < 50:
                self._entry_price = close
                self.SellMarket()

        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        return colibri_grid_manager_strategy()