Elderv30aug05v 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>
/// Elder strategy - EMA trend + Momentum confirmation.
/// Buys when EMA is rising and momentum crosses above zero.
/// Sells when EMA is falling and momentum crosses below zero.
/// </summary>
public class Elderv30aug05vStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _momentumPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private decimal _prevMomentum;
	private bool _hasPrev;

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

	public Elderv30aug05vStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 13)
			.SetDisplay("EMA Period", "EMA period for trend", "Indicators");

		_momentumPeriod = Param(nameof(MomentumPeriod), 10)
			.SetDisplay("Momentum Period", "Momentum period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevEma = 0m; _prevMomentum = 0m; _hasPrev = false; }

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_hasPrev = false;

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var momentum = new Momentum { Length = MomentumPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, momentum, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevEma = ema;
			_prevMomentum = momentum;
			_hasPrev = true;
			return;
		}

		var emaRising = ema > _prevEma;
		var emaFalling = ema < _prevEma;
		var momCrossUp = _prevMomentum <= 0 && momentum > 0;
		var momCrossDown = _prevMomentum >= 0 && momentum < 0;

		// Buy: EMA rising + momentum crosses above zero
		if (emaRising && momCrossUp && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Sell: EMA falling + momentum crosses below zero
		else if (emaFalling && momCrossDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevEma = ema;
		_prevMomentum = momentum;
	}
}

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, Momentum
from StockSharp.Algo.Strategies import Strategy


class elderv30aug05v_strategy(Strategy):
    def __init__(self):
        super(elderv30aug05v_strategy, self).__init__()
        self._ema_period = self.Param("EmaPeriod", 13) \
            .SetDisplay("EMA Period", "EMA period for trend", "Indicators")
        self._momentum_period = self.Param("MomentumPeriod", 10) \
            .SetDisplay("Momentum Period", "Momentum period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_ema = 0.0
        self._prev_momentum = 0.0
        self._has_prev = False

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

    @property
    def momentum_period(self):
        return self._momentum_period.Value

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

    def OnReseted(self):
        super(elderv30aug05v_strategy, self).OnReseted()
        self._prev_ema = 0.0
        self._prev_momentum = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(elderv30aug05v_strategy, self).OnStarted2(time)
        self._has_prev = False
        ema = ExponentialMovingAverage()
        ema.Length = self.ema_period
        momentum = Momentum()
        momentum.Length = self.momentum_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(ema, momentum, self.process_candle).Start()

    def process_candle(self, candle, ema, momentum):
        if candle.State != CandleStates.Finished:
            return
        ema_val = float(ema)
        mom_val = float(momentum)
        if not self._has_prev:
            self._prev_ema = ema_val
            self._prev_momentum = mom_val
            self._has_prev = True
            return
        ema_rising = ema_val > self._prev_ema
        ema_falling = ema_val < self._prev_ema
        mom_cross_up = self._prev_momentum <= 0 and mom_val > 0
        mom_cross_down = self._prev_momentum >= 0 and mom_val < 0
        if ema_rising and mom_cross_up and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif ema_falling and mom_cross_down and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_ema = ema_val
        self._prev_momentum = mom_val

    def CreateClone(self):
        return elderv30aug05v_strategy()