Serial MA Swing 策略 (API/2782)

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>
/// Serial moving average swing strategy converted from the MQL SerialMA EA.
/// It opens trades when the custom serial moving average flips across price.
/// </summary>
public class SerialMASwingStrategy : Strategy
{
	/// <summary>
	/// Mode describing how the strategy manages swing positions.
	/// </summary>
	public enum SerialMaOpenedModes
	{
		/// <summary>
		/// Open a new position on every signal, even if a same-direction position exists.
		/// </summary>
		AllSwing,

		/// <summary>
		/// Allow only a single swing position per direction.
		/// </summary>
		SingleSwing,
	}

	private readonly StrategyParam<SerialMaOpenedModes> _openedMode;
	private readonly StrategyParam<bool> _enableBuy;
	private readonly StrategyParam<bool> _enableSell;
	private readonly StrategyParam<bool> _reverseSignals;
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _serialMaSum;
	private int _serialMaCount;
	private decimal? _serialMaPrevDiff;
	private int _serialMaHistory;
	private bool _previousBarHadCross;
	private decimal? _previousMovingAverage;
	private decimal? _previousClose;
	private bool _previousValuesReady;
	private decimal _entryPrice;

	/// <summary>
	/// Defines how many concurrent swing trades are allowed.
	/// </summary>
	public SerialMaOpenedModes OpenedMode
	{
		get => _openedMode.Value;
		set => _openedMode.Value = value;
	}

	/// <summary>
	/// Enables long trades.
	/// </summary>
	public bool EnableBuy
	{
		get => _enableBuy.Value;
		set => _enableBuy.Value = value;
	}

	/// <summary>
	/// Enables short trades.
	/// </summary>
	public bool EnableSell
	{
		get => _enableSell.Value;
		set => _enableSell.Value = value;
	}

	/// <summary>
	/// Reverses every generated signal when set to <c>true</c>.
	/// </summary>
	public bool ReverseSignals
	{
		get => _reverseSignals.Value;
		set => _reverseSignals.Value = value;
	}

	/// <summary>
	/// Default order volume in lots.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set => _tradeVolume.Value = value;
	}

	/// <summary>
	/// Stop loss distance expressed in points (price steps).
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

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

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

	/// <summary>
	/// Initializes a new instance of <see cref="SerialMASwingStrategy"/>.
	/// </summary>
	public SerialMASwingStrategy()
	{
		_openedMode = Param(nameof(OpenedMode), SerialMaOpenedModes.SingleSwing)
			.SetDisplay("Opened Mode", "How many swing positions may coexist", "Trading");

		_enableBuy = Param(nameof(EnableBuy), true)
			.SetDisplay("Enable Buy", "Allow opening long positions", "Trading");

		_enableSell = Param(nameof(EnableSell), true)
			.SetDisplay("Enable Sell", "Allow opening short positions", "Trading");

		_reverseSignals = Param(nameof(ReverseSignals), false)
			.SetDisplay("Reverse Signals", "Invert the generated direction", "Trading");

		_tradeVolume = Param(nameof(TradeVolume), 0.01m)
			.SetGreaterThanZero()
			.SetDisplay("Trade Volume", "Default order volume", "Trading");

		_stopLossPoints = Param(nameof(StopLossPoints), 0m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (points)", "Protective stop distance in points", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 0m)
			.SetNotNegative()
			.SetDisplay("Take Profit (points)", "Target distance in points", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Data series used for calculations", "General");
	}

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

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

		_previousBarHadCross = false;
		_previousMovingAverage = null;
		_previousClose = null;
		_previousValuesReady = false;
		_serialMaSum = 0m;
		_serialMaCount = 0;
		_serialMaPrevDiff = null;
		_serialMaHistory = 0;
		_entryPrice = 0m;
	}

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

		Volume = TradeVolume;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

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

		// Process serial MA inline
		var close = candle.ClosePrice;
		_serialMaHistory++;

		if (_serialMaCount == 0)
		{
			_serialMaSum = close;
			_serialMaCount = 1;
			_serialMaPrevDiff = 0m;
			_previousClose = close;
			_previousValuesReady = _serialMaHistory > 2;
			return;
		}

		_serialMaSum += close;
		_serialMaCount++;
		var movingAverage = _serialMaSum / _serialMaCount;
		var diff = movingAverage - close;
		var isCross = false;
		var signalFromCross = 0;

		if (_serialMaPrevDiff.HasValue && diff * _serialMaPrevDiff.Value < 0m)
		{
			isCross = true;
			signalFromCross = diff < 0m ? 1 : -1;
			movingAverage = close;
			diff = 0m;
			_serialMaSum = close;
			_serialMaCount = 1;
		}

		_serialMaPrevDiff = diff;

		if (!_previousValuesReady)
		{
			_previousBarHadCross = isCross;
			_previousMovingAverage = movingAverage;
			_previousClose = close;
			_previousValuesReady = _serialMaHistory > 2;
			return;
		}

		HandleProtectiveLevels(candle);

		var signal = signalFromCross != 0 ? signalFromCross : GetPendingSignal();
		if (signal != 0)
		{
			var openLong = signal > 0;
			var openShort = signal < 0;

			if (ReverseSignals)
			{
				(openLong, openShort) = (openShort, openLong);
			}

			if (!EnableBuy)
				openLong = false;

			if (!EnableSell)
				openShort = false;

			if (openLong)
				ExecuteLongEntry();

			if (openShort)
				ExecuteShortEntry();
		}

		_previousBarHadCross = isCross;
		_previousMovingAverage = movingAverage;
		_previousClose = close;
	}

	private void ExecuteLongEntry()
	{
		if (TradeVolume <= 0m)
			return;

		// Close short exposure before building a long swing.
		if (Position < 0m)
		{
			BuyMarket(Math.Abs(Position));
		}

		// Add a new long swing if allowed by the opening mode.
		if (OpenedMode == SerialMaOpenedModes.AllSwing || Position <= 0m)
		{
			BuyMarket(TradeVolume);
		}
	}

	private void ExecuteShortEntry()
	{
		if (TradeVolume <= 0m)
			return;

		// Close long exposure before building a short swing.
		if (Position > 0m)
		{
			SellMarket(Position);
		}

		// Add a new short swing if allowed by the opening mode.
		if (OpenedMode == SerialMaOpenedModes.AllSwing || Position >= 0m)
		{
			SellMarket(TradeVolume);
		}
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);
		if (trade?.Trade == null) return;
		if (Position != 0m && _entryPrice == 0m)
			_entryPrice = trade.Trade.Price;
		if (Position == 0m)
			_entryPrice = 0m;
	}

	private void HandleProtectiveLevels(ICandleMessage candle)
	{
		var step = Security?.PriceStep ?? 1m;
		if (step <= 0m)
			return;

		if (Position > 0m)
		{
			if (StopLossPoints > 0m)
			{
				var stopPrice = _entryPrice - StopLossPoints * step;
				// Exit on stop loss for a long position.
				if (candle.LowPrice <= stopPrice)
				{
					SellMarket(Position);
					return;
				}
			}

			if (TakeProfitPoints > 0m)
			{
				var targetPrice = _entryPrice + TakeProfitPoints * step;
				// Lock in profit once the target is reached.
				if (candle.HighPrice >= targetPrice)
				{
					SellMarket(Position);
				}
			}
		}
		else if (Position < 0m)
		{
			var absPosition = Math.Abs(Position);

			if (StopLossPoints > 0m)
			{
				var stopPrice = _entryPrice + StopLossPoints * step;
				// Exit on stop loss for a short position.
				if (candle.HighPrice >= stopPrice)
				{
					BuyMarket(absPosition);
					return;
				}
			}

			if (TakeProfitPoints > 0m)
			{
				var targetPrice = _entryPrice - TakeProfitPoints * step;
				// Capture profit when the downside target is achieved.
				if (candle.LowPrice <= targetPrice)
				{
					BuyMarket(absPosition);
				}
			}
		}
	}

	private int GetPendingSignal()
	{
		if (!_previousBarHadCross || _previousMovingAverage == null || _previousClose == null)
			return 0;

		if (_previousClose > _previousMovingAverage)
			return 1;

		if (_previousClose < _previousMovingAverage)
			return -1;

		return 0;
	}

}

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 datatype_extensions import *
from indicator_extensions import *

class serial_ma_swing_strategy(Strategy):
    """Serial MA swing: custom serial moving average that resets on cross, with SL/TP."""
    def __init__(self):
        super(serial_ma_swing_strategy, self).__init__()
        self._sl_points = self.Param("StopLossPoints", 0.0).SetNotNegative().SetDisplay("Stop Loss (points)", "SL distance in price steps", "Risk")
        self._tp_points = self.Param("TakeProfitPoints", 0.0).SetNotNegative().SetDisplay("Take Profit (points)", "TP distance in price steps", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))).SetDisplay("Candle Type", "Data series", "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(serial_ma_swing_strategy, self).OnReseted()
        self._ma_sum = 0
        self._ma_count = 0
        self._prev_diff = None
        self._history_count = 0
        self._prev_had_cross = False
        self._prev_ma = None
        self._prev_close = None
        self._entry_price = 0

    def OnStarted2(self, time):
        super(serial_ma_swing_strategy, self).OnStarted2(time)
        self._ma_sum = 0
        self._ma_count = 0
        self._prev_diff = None
        self._history_count = 0
        self._prev_had_cross = False
        self._prev_ma = None
        self._prev_close = None
        self._entry_price = 0
        self._step = 1.0
        if self.Security is not None and self.Security.PriceStep is not None and self.Security.PriceStep > 0:
            self._step = float(self.Security.PriceStep)

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self.OnProcess).Start()

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

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

        close = float(candle.ClosePrice)
        self._history_count += 1

        if self._ma_count == 0:
            self._ma_sum = close
            self._ma_count = 1
            self._prev_diff = 0
            self._prev_close = close
            return

        self._ma_sum += close
        self._ma_count += 1
        ma = self._ma_sum / self._ma_count
        diff = ma - close
        is_cross = False
        signal = 0

        if self._prev_diff is not None and diff * self._prev_diff < 0:
            is_cross = True
            signal = 1 if diff < 0 else -1
            ma = close
            diff = 0
            self._ma_sum = close
            self._ma_count = 1

        self._prev_diff = diff

        if self._history_count <= 2:
            self._prev_had_cross = is_cross
            self._prev_ma = ma
            self._prev_close = close
            return

        # Manage SL/TP
        self._handle_protection(candle, close)

        if signal == 0:
            signal = self._get_pending_signal()

        if signal > 0:
            if self.Position < 0:
                self.BuyMarket()
            if self.Position <= 0:
                self.BuyMarket()
                self._entry_price = close
        elif signal < 0:
            if self.Position > 0:
                self.SellMarket()
            if self.Position >= 0:
                self.SellMarket()
                self._entry_price = close

        self._prev_had_cross = is_cross
        self._prev_ma = ma
        self._prev_close = close

    def _get_pending_signal(self):
        if not self._prev_had_cross or self._prev_ma is None or self._prev_close is None:
            return 0
        if self._prev_close > self._prev_ma:
            return 1
        if self._prev_close < self._prev_ma:
            return -1
        return 0

    def _handle_protection(self, candle, close):
        step = self._step
        if self.Position > 0 and self._entry_price > 0:
            if self._sl_points.Value > 0:
                sl = self._entry_price - self._sl_points.Value * step
                if float(candle.LowPrice) <= sl:
                    self.SellMarket()
                    self._entry_price = 0
                    return
            if self._tp_points.Value > 0:
                tp = self._entry_price + self._tp_points.Value * step
                if float(candle.HighPrice) >= tp:
                    self.SellMarket()
                    self._entry_price = 0
        elif self.Position < 0 and self._entry_price > 0:
            if self._sl_points.Value > 0:
                sl = self._entry_price + self._sl_points.Value * step
                if float(candle.HighPrice) >= sl:
                    self.BuyMarket()
                    self._entry_price = 0
                    return
            if self._tp_points.Value > 0:
                tp = self._entry_price - self._tp_points.Value * step
                if float(candle.LowPrice) <= tp:
                    self.BuyMarket()
                    self._entry_price = 0

    def CreateClone(self):
        return serial_ma_swing_strategy()