市场大师策略

namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Market Master strategy: EMA trend with RSI momentum filter.
/// Buys when above EMA and RSI rising, sells when below EMA and RSI falling.
/// </summary>
public class MarketMasterStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _rsiPeriod;

	private decimal _prevRsi;
	private bool _hasPrevRsi;
	private bool _wasBullish;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }

	public MarketMasterStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_emaPeriod = Param(nameof(EmaPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "Indicators");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0m;
		_hasPrevRsi = false;
		_wasBullish = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrevRsi = false;
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, rsi, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;
		var isBullish = close > emaValue && rsiValue > _prevRsi;

		if (_hasPrevRsi)
		{
			if (isBullish && !_wasBullish && Position <= 0)
				BuyMarket();
			else if (!isBullish && close < emaValue && rsiValue < _prevRsi && _wasBullish && Position >= 0)
				SellMarket();
		}

		_prevRsi = rsiValue;
		_hasPrevRsi = true;
		_wasBullish = isBullish;
	}
}

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
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30)))
        self._ema_period = self.Param("EmaPeriod", 50)
        self._rsi_period = self.Param("RsiPeriod", 14)

        self._prev_rsi = 0.0
        self._has_prev_rsi = False
        self._was_bullish = False

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

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

    @property
    def EmaPeriod(self):
        return self._ema_period.Value

    @EmaPeriod.setter
    def EmaPeriod(self, value):
        self._ema_period.Value = value

    @property
    def RsiPeriod(self):
        return self._rsi_period.Value

    @RsiPeriod.setter
    def RsiPeriod(self, value):
        self._rsi_period.Value = value

    def OnReseted(self):
        super(market_master_strategy, self).OnReseted()
        self._prev_rsi = 0.0
        self._has_prev_rsi = False
        self._was_bullish = False

    def OnStarted2(self, time):
        super(market_master_strategy, self).OnStarted2(time)
        self._has_prev_rsi = False

        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod
        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(ema, rsi, self._process_candle).Start()

    def _process_candle(self, candle, ema_value, rsi_value):
        if candle.State != CandleStates.Finished:
            return

        close = float(candle.ClosePrice)
        ema_val = float(ema_value)
        rsi_val = float(rsi_value)
        is_bullish = close > ema_val and rsi_val > self._prev_rsi

        if self._has_prev_rsi:
            if is_bullish and not self._was_bullish and self.Position <= 0:
                self.BuyMarket()
            elif not is_bullish and close < ema_val and rsi_val < self._prev_rsi and self._was_bullish and self.Position >= 0:
                self.SellMarket()

        self._prev_rsi = rsi_val
        self._has_prev_rsi = True
        self._was_bullish = is_bullish

    def CreateClone(self):
        return market_master_strategy()