XIT 三均线交叉策略

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Triple MA alignment strategy.
/// </summary>
public class XitThreeMaCrossStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _midPeriod;
	private readonly StrategyParam<int> _slowPeriod;

	private decimal? _prevFast;
	private decimal? _prevMid;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	public int MidPeriod
	{
		get => _midPeriod.Value;
		set => _midPeriod.Value = value;
	}

	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	public XitThreeMaCrossStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_fastPeriod = Param(nameof(FastPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast MA period", "Indicators");

		_midPeriod = Param(nameof(MidPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Mid Period", "Medium MA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow MA (trend filter)", "Indicators");

		Volume = 0.1m;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = null;
		_prevMid = null;
	}

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

		_prevFast = null;
		_prevMid = null;

		var fast = new SimpleMovingAverage { Length = FastPeriod };
		var mid = new SimpleMovingAverage { Length = MidPeriod };
		var slow = new SimpleMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, mid, slow, ProcessCandle)
			.Start();

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

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

		if (_prevFast == null || _prevMid == null)
		{
			_prevFast = fastVal;
			_prevMid = midVal;
			return;
		}

		var buySignal = fastVal > midVal && midVal > slowVal;
		var sellSignal = fastVal < midVal && midVal < slowVal;

		if (buySignal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));

			BuyMarket(Volume);
		}
		else if (sellSignal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Position);

			SellMarket(Volume);
		}

		_prevFast = fastVal;
		_prevMid = midVal;
	}
}

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 SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._fast_period = self.Param("FastPeriod", 5) \
            .SetDisplay("Fast Period", "Fast MA period", "Indicators")
        self._mid_period = self.Param("MidPeriod", 20) \
            .SetDisplay("Mid Period", "Medium MA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 50) \
            .SetDisplay("Slow Period", "Slow MA (trend filter)", "Indicators")

        self._prev_fast = None
        self._prev_mid = None

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

    @property
    def FastPeriod(self):
        return self._fast_period.Value

    @property
    def MidPeriod(self):
        return self._mid_period.Value

    @property
    def SlowPeriod(self):
        return self._slow_period.Value

    def OnReseted(self):
        super(xit_three_ma_cross_strategy, self).OnReseted()
        self._prev_fast = None
        self._prev_mid = None

    def OnStarted2(self, time):
        super(xit_three_ma_cross_strategy, self).OnStarted2(time)
        self._prev_fast = None
        self._prev_mid = None

        fast = SimpleMovingAverage()
        fast.Length = self.FastPeriod
        mid = SimpleMovingAverage()
        mid.Length = self.MidPeriod
        slow = SimpleMovingAverage()
        slow.Length = self.SlowPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast, mid, slow, self._on_process).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, fast)
            self.DrawIndicator(area, mid)
            self.DrawIndicator(area, slow)
            self.DrawOwnTrades(area)

    def _on_process(self, candle, fast_value, mid_value, slow_value):
        if candle.State != CandleStates.Finished:
            return

        fv = float(fast_value)
        mv = float(mid_value)
        sv = float(slow_value)

        if self._prev_fast is None or self._prev_mid is None:
            self._prev_fast = fv
            self._prev_mid = mv
            return

        buy_signal = fv > mv and mv > sv
        sell_signal = fv < mv and mv < sv

        if buy_signal and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif sell_signal and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_fast = fv
        self._prev_mid = mv

    def CreateClone(self):
        return xit_three_ma_cross_strategy()