CCI and Martin-Strategie

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>
/// CCI based strategy with martingale-style entry.
/// Buys when CCI crosses above oversold level, sells when CCI crosses below overbought level.
/// </summary>
public class CCIAndMartinStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _overbought;
	private readonly StrategyParam<decimal> _oversold;

	private decimal? _prevCci;

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

	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	public decimal Overbought
	{
		get => _overbought.Value;
		set => _overbought.Value = value;
	}

	public decimal Oversold
	{
		get => _oversold.Value;
		set => _oversold.Value = value;
	}

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

		_cciPeriod = Param(nameof(CciPeriod), 27)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "CCI indicator length", "Indicators");

		_overbought = Param(nameof(Overbought), 100m)
			.SetDisplay("Overbought", "CCI overbought level", "Indicators");

		_oversold = Param(nameof(Oversold), -100m)
			.SetDisplay("Oversold", "CCI oversold level", "Indicators");
	}

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

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

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

		_prevCci = null;

		var cci = new CommodityChannelIndex { Length = CciPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevCci = cciValue;
			return;
		}

		if (_prevCci == null)
		{
			_prevCci = cciValue;
			return;
		}

		var prev = _prevCci.Value;
		_prevCci = cciValue;

		// Buy signal: CCI crosses above oversold level from below
		if (prev < Oversold && cciValue >= Oversold && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Sell signal: CCI crosses below overbought level from above
		else if (prev > Overbought && cciValue <= Overbought && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			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 CommodityChannelIndex
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._cci_period = self.Param("CciPeriod", 27) \
            .SetDisplay("CCI Period", "CCI indicator length", "Indicators")
        self._overbought = self.Param("Overbought", 100.0) \
            .SetDisplay("Overbought", "CCI overbought level", "Indicators")
        self._oversold = self.Param("Oversold", -100.0) \
            .SetDisplay("Oversold", "CCI oversold level", "Indicators")

        self._prev_cci = None

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

    @property
    def CciPeriod(self):
        return self._cci_period.Value

    @property
    def Overbought(self):
        return self._overbought.Value

    @property
    def Oversold(self):
        return self._oversold.Value

    def OnReseted(self):
        super(cci_and_martin_strategy, self).OnReseted()
        self._prev_cci = None

    def OnStarted2(self, time):
        super(cci_and_martin_strategy, self).OnStarted2(time)
        self._prev_cci = None

        cci = CommodityChannelIndex()
        cci.Length = self.CciPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(cci, self._on_process).Start()

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

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

        cv = float(cci_value)

        if not self.IsFormedAndOnlineAndAllowTrading():
            self._prev_cci = cv
            return

        if self._prev_cci is None:
            self._prev_cci = cv
            return

        prev = self._prev_cci
        self._prev_cci = cv

        ob = float(self.Overbought)
        os_level = float(self.Oversold)

        # Buy signal: CCI crosses above oversold level from below
        if prev < os_level and cv >= os_level and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # Sell signal: CCI crosses below overbought level from above
        elif prev > ob and cv <= ob and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

    def CreateClone(self):
        return cci_and_martin_strategy()