Exp Skyscraper Fix Color AML MMRec 策略

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

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

public class ExpSkyscraperFixColorAmlMmrecStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _trendPeriod;
	private readonly StrategyParam<int> _filterPeriod;
	private readonly StrategyParam<decimal> _upperLevel;
	private readonly StrategyParam<decimal> _lowerLevel;

	private decimal? _previousTrend;
	private decimal? _previousClose;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int TrendPeriod { get => _trendPeriod.Value; set => _trendPeriod.Value = value; }
	public int FilterPeriod { get => _filterPeriod.Value; set => _filterPeriod.Value = value; }
	public decimal UpperLevel { get => _upperLevel.Value; set => _upperLevel.Value = value; }
	public decimal LowerLevel { get => _lowerLevel.Value; set => _lowerLevel.Value = value; }

	public ExpSkyscraperFixColorAmlMmrecStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_trendPeriod = Param(nameof(TrendPeriod), 18).SetGreaterThanZero().SetDisplay("Trend Period", "Trend WMA period", "Indicators");
		_filterPeriod = Param(nameof(FilterPeriod), 12).SetGreaterThanZero().SetDisplay("Filter Period", "DeMarker period", "Indicators");
		_upperLevel = Param(nameof(UpperLevel), 0.55m).SetDisplay("Upper Level", "Buy filter level", "Signals");
		_lowerLevel = Param(nameof(LowerLevel), 0.45m).SetDisplay("Lower Level", "Sell filter level", "Signals");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_previousTrend = null;
		_previousClose = null;

		var trend = new WeightedMovingAverage { Length = TrendPeriod };
		var filter = new DeMarker { Length = FilterPeriod };
		var subscription = SubscribeCandles(CandleType);

		subscription.Bind(trend, filter, ProcessCandle).Start();
	}

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

		var previousClose = _previousClose;
		var previousTrend = _previousTrend;

		_previousClose = candle.ClosePrice;
		_previousTrend = trendValue;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (previousClose is null || previousTrend is null)
			return;

		var crossedUp = previousClose.Value <= previousTrend.Value && candle.ClosePrice > trendValue;
		var crossedDown = previousClose.Value >= previousTrend.Value && candle.ClosePrice < trendValue;
		var buySignal = crossedUp && filterValue >= UpperLevel;
		var sellSignal = crossedDown && filterValue <= LowerLevel;

		if (buySignal && Position <= 0)
		{
			if (Position < 0)
			{
				BuyMarket();
				return;
			}

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

			SellMarket();
		}
	}
}

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 WeightedMovingAverage, DeMarker
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._trend_period = self.Param("TrendPeriod", 18) \
            .SetDisplay("Trend Period", "Trend WMA period", "Indicators")
        self._filter_period = self.Param("FilterPeriod", 12) \
            .SetDisplay("Filter Period", "DeMarker period", "Indicators")
        self._upper_level = self.Param("UpperLevel", 0.55) \
            .SetDisplay("Upper Level", "Buy filter level", "Signals")
        self._lower_level = self.Param("LowerLevel", 0.45) \
            .SetDisplay("Lower Level", "Sell filter level", "Signals")

        self._previous_trend = None
        self._previous_close = None

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def TrendPeriod(self):
        return self._trend_period.Value
    @property
    def FilterPeriod(self):
        return self._filter_period.Value
    @property
    def UpperLevel(self):
        return self._upper_level.Value
    @property
    def LowerLevel(self):
        return self._lower_level.Value

    def OnReseted(self):
        super(exp_skyscraper_fix_color_aml_mmrec_strategy, self).OnReseted()
        self._previous_trend = None
        self._previous_close = None

    def OnStarted2(self, time):
        super(exp_skyscraper_fix_color_aml_mmrec_strategy, self).OnStarted2(time)
        self._previous_trend = None
        self._previous_close = None
        trend = WeightedMovingAverage()
        trend.Length = self.TrendPeriod
        filt = DeMarker()
        filt.Length = self.FilterPeriod
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(trend, filt, self._on_process).Start()

    def _on_process(self, candle, trend_value, filter_value):
        if candle.State != CandleStates.Finished:
            return
        tv = float(trend_value)
        fv = float(filter_value)
        previous_close = self._previous_close
        previous_trend = self._previous_trend
        self._previous_close = float(candle.ClosePrice)
        self._previous_trend = tv
        if previous_close is None or previous_trend is None:
            return
        crossed_up = previous_close <= previous_trend and float(candle.ClosePrice) > tv
        crossed_down = previous_close >= previous_trend and float(candle.ClosePrice) < tv
        buy_signal = crossed_up and fv >= float(self.UpperLevel)
        sell_signal = crossed_down and fv <= float(self.LowerLevel)
        if buy_signal and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
                return
            self.BuyMarket()
        elif sell_signal and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
                return
            self.SellMarket()

    def CreateClone(self):
        return exp_skyscraper_fix_color_aml_mmrec_strategy()