Strategie mit festem Risiko

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>
/// Recreates the Money Fixed Risk expert advisor using StockSharp's high level API.
/// Uses ATR to determine position sizing via risk percentage and opens long positions
/// with symmetric stop-loss and take-profit levels based on ATR.
/// </summary>
public class MoneyFixedRiskStrategy : Strategy
{
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<int> _candleInterval;
	private readonly StrategyParam<DataType> _candleType;

	private int _candleCounter;
	private decimal _stopPrice;
	private decimal _takeProfitPrice;
	private decimal _entryPrice;

	/// <summary>
	/// ATR multiplier for stop distance.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// ATR calculation period.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Number of candles between position evaluations.
	/// </summary>
	public int CandleInterval
	{
		get => _candleInterval.Value;
		set => _candleInterval.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 the <see cref="MoneyFixedRiskStrategy"/>.
	/// </summary>
	public MoneyFixedRiskStrategy()
	{
		_atrMultiplier = Param(nameof(AtrMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "Multiplier for ATR-based stop distance", "Risk")
			.SetOptimize(0.5m, 3m, 0.5m);

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators")
			.SetOptimize(7, 28, 7);

		_candleInterval = Param(nameof(CandleInterval), 10)
			.SetGreaterThanZero()
			.SetDisplay("Candle Interval", "Candles between position evaluations", "General")
			.SetOptimize(5, 30, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for processing", "General");
	}

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

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

		_candleCounter = 0;
		_stopPrice = 0m;
		_takeProfitPrice = 0m;
		_entryPrice = 0m;
	}

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

		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

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

		var price = candle.ClosePrice;

		// Manage existing long position
		if (Position > 0 && _stopPrice > 0m)
		{
			if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takeProfitPrice)
			{
				SellMarket(Position);
				_stopPrice = 0m;
				_takeProfitPrice = 0m;
				_entryPrice = 0m;
			}
		}

		// Manage existing short position
		if (Position < 0 && _stopPrice > 0m)
		{
			if (candle.HighPrice >= _stopPrice || candle.LowPrice <= _takeProfitPrice)
			{
				BuyMarket(Math.Abs(Position));
				_stopPrice = 0m;
				_takeProfitPrice = 0m;
				_entryPrice = 0m;
			}
		}

		_candleCounter++;

		if (_candleCounter < CandleInterval)
			return;

		_candleCounter = 0;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position != 0)
			return;

		if (atrValue <= 0m)
			return;

		var stopDistance = atrValue * AtrMultiplier;

		// Alternate between long and short based on price relative to previous entry
		var goLong = _entryPrice == 0m || price > _entryPrice;

		if (goLong)
		{
			BuyMarket(Volume);
			_entryPrice = price;
			_stopPrice = price - stopDistance;
			_takeProfitPrice = price + stopDistance;
		}
		else
		{
			SellMarket(Volume);
			_entryPrice = price;
			_stopPrice = price + stopDistance;
			_takeProfitPrice = price - stopDistance;
		}
	}
}

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, Unit, UnitTypes
from StockSharp.Algo.Indicators import AverageTrueRange
from StockSharp.Algo.Strategies import Strategy


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

        self._atr_multiplier = self.Param("AtrMultiplier", 1.5)
        self._atr_period = self.Param("AtrPeriod", 14)
        self._candle_interval = self.Param("CandleInterval", 10)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))

        self._candle_counter = 0
        self._stop_price = 0.0
        self._take_profit_price = 0.0
        self._entry_price = 0.0

    @property
    def AtrMultiplier(self):
        return self._atr_multiplier.Value

    @AtrMultiplier.setter
    def AtrMultiplier(self, value):
        self._atr_multiplier.Value = value

    @property
    def AtrPeriod(self):
        return self._atr_period.Value

    @AtrPeriod.setter
    def AtrPeriod(self, value):
        self._atr_period.Value = value

    @property
    def CandleInterval(self):
        return self._candle_interval.Value

    @CandleInterval.setter
    def CandleInterval(self, value):
        self._candle_interval.Value = value

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

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

    def OnStarted2(self, time):
        super(money_fixed_risk_strategy, self).OnStarted2(time)

        self._candle_counter = 0
        self._stop_price = 0.0
        self._take_profit_price = 0.0
        self._entry_price = 0.0

        atr = AverageTrueRange()
        atr.Length = self.AtrPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(atr, self.ProcessCandle).Start()

        self.StartProtection(
            Unit(2000.0, UnitTypes.Absolute),
            Unit(1000.0, UnitTypes.Absolute))

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

        price = float(candle.ClosePrice)
        low = float(candle.LowPrice)
        high = float(candle.HighPrice)
        atr_val = float(atr_value)

        if self.Position > 0 and self._stop_price > 0.0:
            if low <= self._stop_price or high >= self._take_profit_price:
                self.SellMarket()
                self._stop_price = 0.0
                self._take_profit_price = 0.0
                self._entry_price = 0.0

        if self.Position < 0 and self._stop_price > 0.0:
            if high >= self._stop_price or low <= self._take_profit_price:
                self.BuyMarket()
                self._stop_price = 0.0
                self._take_profit_price = 0.0
                self._entry_price = 0.0

        self._candle_counter += 1

        if self._candle_counter < int(self.CandleInterval):
            return

        self._candle_counter = 0

        if self.Position != 0:
            return

        if atr_val <= 0.0:
            return

        stop_distance = atr_val * float(self.AtrMultiplier)

        go_long = self._entry_price == 0.0 or price > self._entry_price

        if go_long:
            self.BuyMarket()
            self._entry_price = price
            self._stop_price = price - stop_distance
            self._take_profit_price = price + stop_distance
        else:
            self.SellMarket()
            self._entry_price = price
            self._stop_price = price + stop_distance
            self._take_profit_price = price - stop_distance

    def OnReseted(self):
        super(money_fixed_risk_strategy, self).OnReseted()
        self._candle_counter = 0
        self._stop_price = 0.0
        self._take_profit_price = 0.0
        self._entry_price = 0.0

    def CreateClone(self):
        return money_fixed_risk_strategy()