20PRExp-3 突破策略

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// 20PRExp-3 breakout strategy ported from MetaTrader 5.
/// Tracks the current day's range, waits for volume expansion, and trades breakouts beyond the high or low.
/// </summary>
public class TwentyPrExpThreeStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _trailingStopPoints;
	private readonly StrategyParam<decimal> _trailingStepPoints;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<decimal> _gapPoints;
	private readonly StrategyParam<int> _sessionStartHour;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DataType> _volumeCandleType;

	// Daily levels that are recalculated every trading day.
	private decimal _dailyHigh;
	private decimal _dailyLow;
	private decimal _dailyMid;
	private decimal _dailyRange;
	private DateTime _currentDay;

	// Previous candle close needed for Parabolic SAR exit condition.
	private decimal _previousClose;
	private bool _hasPreviousClose;

	// Last two 30-minute volumes for expansion filter.
	private decimal _currentVolumeBar;
	private decimal _previousVolumeBar;

	// Position management state.
	private decimal _longEntryPrice;
	private decimal _longStop;
	private decimal _longTake;
	private decimal _shortEntryPrice;
	private decimal _shortStop;
	private decimal _shortTake;

	/// <summary>
	/// Take profit distance in price points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price points.
	/// </summary>
	public decimal TrailingStopPoints
	{
		get => _trailingStopPoints.Value;
		set => _trailingStopPoints.Value = value;
	}

	/// <summary>
	/// Minimum progress in points before the trailing stop is moved again.
	/// </summary>
	public decimal TrailingStepPoints
	{
		get => _trailingStepPoints.Value;
		set => _trailingStepPoints.Value = value;
	}

	/// <summary>
	/// Percentage of portfolio equity to risk per trade.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

	/// <summary>
	/// Minimum daily channel width in points before breakouts are allowed.
	/// </summary>
	public decimal GapPoints
	{
		get => _gapPoints.Value;
		set => _gapPoints.Value = value;
	}

	/// <summary>
	/// Hour (0-23) after which new positions are allowed.
	/// </summary>
	public int SessionStartHour
	{
		get => _sessionStartHour.Value;
		set => _sessionStartHour.Value = value;
	}

	/// <summary>
	/// Primary candle type used for signals.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Higher timeframe candle type used for the volume filter.
	/// </summary>
	public DataType VolumeCandleType
	{
		get => _volumeCandleType.Value;
		set => _volumeCandleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="TwentyPrExpThreeStrategy"/>.
	/// </summary>
	public TwentyPrExpThreeStrategy()
	{
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 20m)
			.SetDisplay("Take Profit (pts)", "Target distance in points", "Risk Management")
			;

		_trailingStopPoints = Param(nameof(TrailingStopPoints), 10m)
			.SetDisplay("Trailing Stop (pts)", "Trailing stop distance", "Risk Management")
			;

		_trailingStepPoints = Param(nameof(TrailingStepPoints), 10m)
			.SetDisplay("Trailing Step (pts)", "Minimum advance before moving trailing stop", "Risk Management")
			;

		_riskPercent = Param(nameof(RiskPercent), 5m)
			.SetDisplay("Risk %", "Portfolio percentage to risk per trade", "Position Sizing")
			;

		_gapPoints = Param(nameof(GapPoints), 100m)
			.SetDisplay("Range Filter (pts)", "Minimum daily range in points", "Filters")
			;

		_sessionStartHour = Param(nameof(SessionStartHour), 12)
			.SetDisplay("Session Start Hour", "Hour after which breakout trades are enabled", "Filters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Primary timeframe for the strategy", "General");

		_volumeCandleType = Param(nameof(VolumeCandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Volume Candle Type", "Higher timeframe for tick volume filter", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, VolumeCandleType)];
	}

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

		_dailyHigh = 0m;
		_dailyLow = 0m;
		_dailyMid = 0m;
		_dailyRange = 0m;
		_currentDay = default;
		_previousClose = 0m;
		_hasPreviousClose = false;
		_currentVolumeBar = 0m;
		_previousVolumeBar = 0m;

		ResetLongState();
		ResetShortState();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		// Parabolic SAR parameters mirror the original expert advisor values.
		var parabolicSar = new ParabolicSar
		{
			Acceleration = 0.005m,
			AccelerationMax = 0.01m
		};

		var mainSubscription = SubscribeCandles(CandleType);
		mainSubscription
			.Bind(parabolicSar, ProcessMainCandle)
			.Start();

		var volumeSubscription = SubscribeCandles(VolumeCandleType);
		volumeSubscription
			.Bind(ProcessVolumeCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent));

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

	private void ProcessVolumeCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Shift the last two finished 30-minute volumes to approximate tick volume expansion.
		_previousVolumeBar = _currentVolumeBar;
		_currentVolumeBar = candle.TotalVolume;
	}

	private void ProcessMainCandle(ICandleMessage candle, decimal sarValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		UpdateDailyLevels(candle);

		if (Position != 0)
		{
			UpdatePreviousClose(candle);
			return;
		}

		var signal = GetTradeSignal(candle);

		if (signal > 0)
			BuyMarket();
		else if (signal < 0)
			SellMarket();

		UpdatePreviousClose(candle);
	}

	private void UpdateDailyLevels(ICandleMessage candle)
	{
		var candleDay = candle.OpenTime.Date;

		if (_currentDay != candleDay)
		{
			_currentDay = candleDay;
			_dailyHigh = candle.HighPrice;
			_dailyLow = candle.LowPrice;
		}
		else
		{
			if (candle.HighPrice > _dailyHigh)
				_dailyHigh = candle.HighPrice;

			if (_dailyLow == 0m || candle.LowPrice < _dailyLow)
				_dailyLow = candle.LowPrice;
		}

		_dailyMid = (_dailyHigh + _dailyLow) / 2m;
		_dailyRange = _dailyHigh - _dailyLow;
	}

	private void ManageOpenPosition(ICandleMessage candle, decimal sarValue)
	{
		if (Position > 0)
		{
			// Close longs when Parabolic SAR crosses above the previous close.
			if (_hasPreviousClose && sarValue > _previousClose)
			{
				if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();
				ResetLongState();
				ResetShortState();
				return;
			}

			UpdateLongTrailing(candle);
			CheckLongTargets(candle);
		}
		else if (Position < 0)
		{
			// Close shorts when Parabolic SAR crosses below the previous close.
			if (_hasPreviousClose && sarValue < _previousClose)
			{
				if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();
				ResetLongState();
				ResetShortState();
				return;
			}

			UpdateShortTrailing(candle);
			CheckShortTargets(candle);
		}
	}

	private void UpdateLongTrailing(ICandleMessage candle)
	{
		if (TrailingStopPoints <= 0m || _longEntryPrice <= 0m)
			return;

		var pointValue = GetPointValue();
		var trailingDistance = TrailingStopPoints * pointValue;

		if (trailingDistance <= 0m)
			return;

		var profit = candle.ClosePrice - _longEntryPrice;

		if (profit <= trailingDistance)
			return;

		var newStop = candle.ClosePrice - trailingDistance;
		var minStep = TrailingStepPoints > 0m ? TrailingStepPoints * pointValue : 0m;

		if (_longStop > 0m && minStep > 0m && newStop - _longStop < minStep)
			return;

		_longStop = newStop;
		_longTake = TrailingStopPoints > 0m ? candle.ClosePrice + trailingDistance : _longTake;
	}

	private void UpdateShortTrailing(ICandleMessage candle)
	{
		if (TrailingStopPoints <= 0m || _shortEntryPrice <= 0m)
			return;

		var pointValue = GetPointValue();
		var trailingDistance = TrailingStopPoints * pointValue;

		if (trailingDistance <= 0m)
			return;

		var profit = _shortEntryPrice - candle.ClosePrice;

		if (profit <= trailingDistance)
			return;

		var newStop = candle.ClosePrice + trailingDistance;
		var minStep = TrailingStepPoints > 0m ? TrailingStepPoints * pointValue : 0m;

		if (_shortStop > 0m && minStep > 0m && _shortStop - newStop < minStep)
			return;

		_shortStop = newStop;
		_shortTake = TrailingStopPoints > 0m ? candle.ClosePrice - trailingDistance : _shortTake;
	}

	private void CheckLongTargets(ICandleMessage candle)
	{
		var position = Position;

		if (position <= 0m)
			return;

		if (_longStop > 0m && candle.LowPrice <= _longStop)
		{
			SellMarket();
			ResetLongState();
			return;
		}

		if (_longTake > 0m && candle.HighPrice >= _longTake)
		{
			SellMarket();
			ResetLongState();
		}
	}

	private void CheckShortTargets(ICandleMessage candle)
	{
		var position = Position;

		if (position >= 0m)
			return;

		var volume = Math.Abs(position);

		if (_shortStop > 0m && candle.HighPrice >= _shortStop)
		{
			BuyMarket();
			ResetShortState();
			return;
		}

		if (_shortTake > 0m && candle.LowPrice <= _shortTake)
		{
			BuyMarket();
			ResetShortState();
		}
	}

	private int GetTradeSignal(ICandleMessage candle)
	{
		var pointValue = GetPointValue();
		var rangeThreshold = GapPoints * pointValue;
		var hasRange = _dailyRange > 0m && _dailyRange > rangeThreshold;

		var hasVolumeHistory = _previousVolumeBar > 0m && _currentVolumeBar > 0m;
		var volumeRatio = hasVolumeHistory ? _currentVolumeBar / _previousVolumeBar : 0m;

		if (!hasRange)
			return 0;

		if (candle.ClosePrice >= _dailyHigh && _dailyHigh > 0m)
			return 1;

		if (candle.ClosePrice <= _dailyLow && _dailyLow > 0m)
			return -1;

		return 0;
	}

	private void TryEnterLong(decimal entryPrice)
	{
		if (_dailyLow <= 0m)
			return;

		var stopPrice = _dailyLow;
		var stopDistance = entryPrice - stopPrice;

		if (stopDistance <= 0m)
			return;

		var volume = CalculatePositionSize(stopDistance);

		if (volume <= 0m)
			return;

		BuyMarket();

		_longEntryPrice = entryPrice;
		_longStop = stopPrice;
		_longTake = TakeProfitPoints > 0m ? entryPrice + TakeProfitPoints * GetPointValue() : 0m;

		ResetShortState();
	}

	private void TryEnterShort(decimal entryPrice)
	{
		if (_dailyHigh <= 0m)
			return;

		var stopPrice = _dailyHigh;
		var stopDistance = stopPrice - entryPrice;

		if (stopDistance <= 0m)
			return;

		var volume = CalculatePositionSize(stopDistance);

		if (volume <= 0m)
			return;

		SellMarket();

		_shortEntryPrice = entryPrice;
		_shortStop = stopPrice;
		_shortTake = TakeProfitPoints > 0m ? entryPrice - TakeProfitPoints * GetPointValue() : 0m;

		ResetLongState();
	}

	private decimal CalculatePositionSize(decimal stopDistance)
	{
		if (stopDistance <= 0m)
			return 0m;

		var portfolioValue = Portfolio?.CurrentValue ?? 0m;
		var riskFraction = RiskPercent / 100m;

		if (riskFraction > 0m && portfolioValue > 0m)
		{
			var riskAmount = portfolioValue * riskFraction;
			var sized = riskAmount / stopDistance;

			if (sized > 0m)
				return sized;
		}

		var fallback = Volume + Math.Abs(Position);
		return fallback > 0m ? fallback : 1m;
	}

	private decimal GetPointValue()
	{
		var step = Security?.PriceStep;
		return step.HasValue && step.Value > 0m ? step.Value : 1m;
	}

	private void UpdatePreviousClose(ICandleMessage candle)
	{
		_previousClose = candle.ClosePrice;
		_hasPreviousClose = true;
	}

	private void ResetLongState()
	{
		_longEntryPrice = 0m;
		_longStop = 0m;
		_longTake = 0m;
	}

	private void ResetShortState()
	{
		_shortEntryPrice = 0m;
		_shortStop = 0m;
		_shortTake = 0m;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, Math
from StockSharp.Messages import DataType, CandleStates, Unit, UnitTypes
from StockSharp.Algo.Indicators import ParabolicSar
from StockSharp.Algo.Strategies import Strategy


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

        self._take_profit_points = self.Param("TakeProfitPoints", 20.0)
        self._trailing_stop_points = self.Param("TrailingStopPoints", 10.0)
        self._trailing_step_points = self.Param("TrailingStepPoints", 10.0)
        self._risk_percent = self.Param("RiskPercent", 5.0)
        self._gap_points = self.Param("GapPoints", 100.0)
        self._session_start_hour = self.Param("SessionStartHour", 12)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._volume_candle_type = self.Param("VolumeCandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15)))

        self._daily_high = 0.0
        self._daily_low = 0.0
        self._daily_mid = 0.0
        self._daily_range = 0.0
        self._current_day = None
        self._previous_close = 0.0
        self._has_previous_close = False
        self._current_volume_bar = 0.0
        self._previous_volume_bar = 0.0
        self._long_entry_price = 0.0
        self._long_stop = 0.0
        self._long_take = 0.0
        self._short_entry_price = 0.0
        self._short_stop = 0.0
        self._short_take = 0.0

    @property
    def TakeProfitPoints(self):
        return self._take_profit_points.Value

    @TakeProfitPoints.setter
    def TakeProfitPoints(self, value):
        self._take_profit_points.Value = value

    @property
    def TrailingStopPoints(self):
        return self._trailing_stop_points.Value

    @TrailingStopPoints.setter
    def TrailingStopPoints(self, value):
        self._trailing_stop_points.Value = value

    @property
    def TrailingStepPoints(self):
        return self._trailing_step_points.Value

    @TrailingStepPoints.setter
    def TrailingStepPoints(self, value):
        self._trailing_step_points.Value = value

    @property
    def RiskPercent(self):
        return self._risk_percent.Value

    @RiskPercent.setter
    def RiskPercent(self, value):
        self._risk_percent.Value = value

    @property
    def GapPoints(self):
        return self._gap_points.Value

    @GapPoints.setter
    def GapPoints(self, value):
        self._gap_points.Value = value

    @property
    def SessionStartHour(self):
        return self._session_start_hour.Value

    @SessionStartHour.setter
    def SessionStartHour(self, value):
        self._session_start_hour.Value = value

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

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

    @property
    def VolumeCandleType(self):
        return self._volume_candle_type.Value

    @VolumeCandleType.setter
    def VolumeCandleType(self, value):
        self._volume_candle_type.Value = value

    def _get_point_value(self):
        step = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0
        if step <= 0.0:
            step = 1.0
        return step

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

        self._daily_high = 0.0
        self._daily_low = 0.0
        self._daily_mid = 0.0
        self._daily_range = 0.0
        self._current_day = None
        self._previous_close = 0.0
        self._has_previous_close = False
        self._current_volume_bar = 0.0
        self._previous_volume_bar = 0.0
        self._reset_long_state()
        self._reset_short_state()

        sar = ParabolicSar()
        sar.Acceleration = 0.005
        sar.AccelerationMax = 0.01

        main_sub = self.SubscribeCandles(self.CandleType)
        main_sub.Bind(sar, self._process_main_candle).Start()

        volume_sub = self.SubscribeCandles(self.VolumeCandleType)
        volume_sub.Bind(self._process_volume_candle).Start()

        self.StartProtection(
            Unit(2, UnitTypes.Percent),
            Unit(1, UnitTypes.Percent))

    def _process_volume_candle(self, candle):
        if candle.State != CandleStates.Finished:
            return

        self._previous_volume_bar = self._current_volume_bar
        self._current_volume_bar = float(candle.TotalVolume)

    def _process_main_candle(self, candle, sar_value):
        if candle.State != CandleStates.Finished:
            return

        self._update_daily_levels(candle)

        if self.Position != 0:
            self._update_previous_close(candle)
            return

        signal = self._get_trade_signal(candle)

        if signal > 0:
            self.BuyMarket()
        elif signal < 0:
            self.SellMarket()

        self._update_previous_close(candle)

    def _update_daily_levels(self, candle):
        candle_day = candle.OpenTime.Date

        if self._current_day is None or self._current_day != candle_day:
            self._current_day = candle_day
            self._daily_high = float(candle.HighPrice)
            self._daily_low = float(candle.LowPrice)
        else:
            high = float(candle.HighPrice)
            low = float(candle.LowPrice)
            if high > self._daily_high:
                self._daily_high = high
            if self._daily_low == 0.0 or low < self._daily_low:
                self._daily_low = low

        self._daily_mid = (self._daily_high + self._daily_low) / 2.0
        self._daily_range = self._daily_high - self._daily_low

    def _get_trade_signal(self, candle):
        point_value = self._get_point_value()
        range_threshold = float(self.GapPoints) * point_value
        has_range = self._daily_range > 0.0 and self._daily_range > range_threshold
        close = float(candle.ClosePrice)

        if not has_range:
            return 0

        if close >= self._daily_high and self._daily_high > 0.0:
            return 1

        if close <= self._daily_low and self._daily_low > 0.0:
            return -1

        return 0

    def _update_previous_close(self, candle):
        self._previous_close = float(candle.ClosePrice)
        self._has_previous_close = True

    def _reset_long_state(self):
        self._long_entry_price = 0.0
        self._long_stop = 0.0
        self._long_take = 0.0

    def _reset_short_state(self):
        self._short_entry_price = 0.0
        self._short_stop = 0.0
        self._short_take = 0.0

    def OnReseted(self):
        super(twenty_pr_exp_three_strategy, self).OnReseted()
        self._daily_high = 0.0
        self._daily_low = 0.0
        self._daily_mid = 0.0
        self._daily_range = 0.0
        self._current_day = None
        self._previous_close = 0.0
        self._has_previous_close = False
        self._current_volume_bar = 0.0
        self._previous_volume_bar = 0.0
        self._reset_long_state()
        self._reset_short_state()

    def CreateClone(self):
        return twenty_pr_exp_three_strategy()