BARS Alligator-Strategie

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Bill Williams Alligator strategy: trades on lips/jaw crossover and exits on lips/teeth crossover.
/// </summary>
public class BarsAlligatorStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _takeProfitPercent;

	private readonly SmoothedMovingAverage _jaw = new() { Length = 13 };
	private readonly SmoothedMovingAverage _teeth = new() { Length = 8 };
	private readonly SmoothedMovingAverage _lips = new() { Length = 5 };

	private decimal _previousJaw;
	private decimal _previousTeeth;
	private decimal _previousLips;
	private bool _hasPrevious;
	private decimal? _entryPrice;
	private int _cooldownLeft;

	public BarsAlligatorStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_cooldownBars = Param(nameof(CooldownBars), 6).SetNotNegative().SetDisplay("Cooldown Bars", "Bars between completed trades", "Trading");
		_stopLossPercent = Param(nameof(StopLossPercent), 3m).SetDisplay("Stop Loss %", "Stop distance as percentage of entry price", "Risk");
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 3m).SetDisplay("Take Profit %", "Take-profit distance as percentage of entry price", "Risk");
	}

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }

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

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

		_previousJaw = 0m;
		_previousTeeth = 0m;
		_previousLips = 0m;
		_hasPrevious = false;
		_entryPrice = null;
		_cooldownLeft = 0;
	}

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

		OnReseted();

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_jaw, _teeth, _lips, ProcessCandle)
			.Start();
	}

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

		if (_cooldownLeft > 0)
			_cooldownLeft--;

		if (Position != 0 && _entryPrice is null)
			_entryPrice = candle.ClosePrice;

		if (TryExitByRisk(candle))
		{
			UpdatePrevious(jaw, teeth, lips);
			return;
		}

		if (!_hasPrevious)
		{
			UpdatePrevious(jaw, teeth, lips);
			return;
		}

		// Exit conditions: lips crosses teeth against position
		var closeLong = lips < teeth && _previousLips >= _previousTeeth && Position > 0;
		var closeShort = lips > teeth && _previousLips <= _previousTeeth && Position < 0;

		if (closeLong)
		{
			SellMarket(Position);
			_entryPrice = null;
			_cooldownLeft = CooldownBars;
			UpdatePrevious(jaw, teeth, lips);
			return;
		}

		if (closeShort)
		{
			BuyMarket(Math.Abs(Position));
			_entryPrice = null;
			_cooldownLeft = CooldownBars;
			UpdatePrevious(jaw, teeth, lips);
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading() || _cooldownLeft > 0)
		{
			UpdatePrevious(jaw, teeth, lips);
			return;
		}

		// Entry: lips crosses jaw with proper Alligator ordering
		var buySignal = lips > jaw && _previousLips <= _previousJaw && lips > teeth;
		var sellSignal = lips < jaw && _previousLips >= _previousJaw && lips < teeth;

		if (buySignal && Position <= 0)
		{
			if (Position < 0)
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = null;
				_cooldownLeft = CooldownBars;
			}
			else
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_cooldownLeft = CooldownBars;
			}
		}
		else if (sellSignal && Position >= 0)
		{
			if (Position > 0)
			{
				SellMarket(Position);
				_entryPrice = null;
				_cooldownLeft = CooldownBars;
			}
			else
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_cooldownLeft = CooldownBars;
			}
		}

		UpdatePrevious(jaw, teeth, lips);
	}

	private bool TryExitByRisk(ICandleMessage candle)
	{
		if (_entryPrice is not decimal entryPrice || Position == 0 || entryPrice == 0)
			return false;

		var stopDistance = entryPrice * StopLossPercent / 100m;
		var takeDistance = entryPrice * TakeProfitPercent / 100m;

		if (Position > 0)
		{
			if ((stopDistance > 0 && candle.LowPrice <= entryPrice - stopDistance) ||
				(takeDistance > 0 && candle.HighPrice >= entryPrice + takeDistance))
			{
				SellMarket(Position);
				_entryPrice = null;
				_cooldownLeft = CooldownBars;
				return true;
			}
		}
		else if (Position < 0)
		{
			var volume = Math.Abs(Position);

			if ((stopDistance > 0 && candle.HighPrice >= entryPrice + stopDistance) ||
				(takeDistance > 0 && candle.LowPrice <= entryPrice - takeDistance))
			{
				BuyMarket(volume);
				_entryPrice = null;
				_cooldownLeft = CooldownBars;
				return true;
			}
		}

		return false;
	}

	private void UpdatePrevious(decimal jaw, decimal teeth, decimal lips)
	{
		_previousJaw = jaw;
		_previousTeeth = teeth;
		_previousLips = lips;
		_hasPrevious = true;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")
clr.AddReference("StockSharp.BusinessEntities")

from System import TimeSpan, Math, Decimal
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import SmoothedMovingAverage, CandleIndicatorValue
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._cooldown_bars = self.Param("CooldownBars", 6) \
            .SetDisplay("Cooldown Bars", "Bars between completed trades", "Trading")
        self._stop_loss_percent = self.Param("StopLossPercent", Decimal(3)) \
            .SetDisplay("Stop Loss %", "Stop distance as percentage of entry price", "Risk")
        self._take_profit_percent = self.Param("TakeProfitPercent", Decimal(3)) \
            .SetDisplay("Take Profit %", "Take-profit distance as percentage of entry price", "Risk")

        self._jaw = SmoothedMovingAverage()
        self._jaw.Length = 13
        self._teeth = SmoothedMovingAverage()
        self._teeth.Length = 8
        self._lips = SmoothedMovingAverage()
        self._lips.Length = 5

        self._previous_jaw = Decimal(0)
        self._previous_teeth = Decimal(0)
        self._previous_lips = Decimal(0)
        self._has_previous = False
        self._entry_price = None
        self._cooldown_left = 0

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

    @property
    def CooldownBars(self):
        return self._cooldown_bars.Value

    @property
    def StopLossPercent(self):
        return self._stop_loss_percent.Value

    @property
    def TakeProfitPercent(self):
        return self._take_profit_percent.Value

    def OnReseted(self):
        super(bars_alligator_strategy, self).OnReseted()
        self._previous_jaw = Decimal(0)
        self._previous_teeth = Decimal(0)
        self._previous_lips = Decimal(0)
        self._has_previous = False
        self._entry_price = None
        self._cooldown_left = 0

    def OnStarted2(self, time):
        super(bars_alligator_strategy, self).OnStarted2(time)
        self.OnReseted()
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._jaw, self._teeth, self._lips, self._process_candle).Start()

    def _process_candle(self, candle, jaw, teeth, lips):
        if candle.State != CandleStates.Finished:
            return

        if self._cooldown_left > 0:
            self._cooldown_left -= 1

        if self.Position != 0 and self._entry_price is None:
            self._entry_price = candle.ClosePrice

        if self._try_exit_by_risk(candle):
            self._update_previous(jaw, teeth, lips)
            return

        if not self._has_previous:
            self._update_previous(jaw, teeth, lips)
            return

        # Exit conditions: lips crosses teeth against position
        close_long = lips < teeth and self._previous_lips >= self._previous_teeth and self.Position > 0
        close_short = lips > teeth and self._previous_lips <= self._previous_teeth and self.Position < 0

        if close_long:
            self.SellMarket(self.Position)
            self._entry_price = None
            self._cooldown_left = self.CooldownBars
            self._update_previous(jaw, teeth, lips)
            return

        if close_short:
            self.BuyMarket(Math.Abs(self.Position))
            self._entry_price = None
            self._cooldown_left = self.CooldownBars
            self._update_previous(jaw, teeth, lips)
            return

        if not self.IsFormedAndOnlineAndAllowTrading() or self._cooldown_left > 0:
            self._update_previous(jaw, teeth, lips)
            return

        # Entry: lips crosses jaw with proper Alligator ordering
        buy_signal = lips > jaw and self._previous_lips <= self._previous_jaw and lips > teeth
        sell_signal = lips < jaw and self._previous_lips >= self._previous_jaw and lips < teeth

        if buy_signal and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket(Math.Abs(self.Position))
                self._entry_price = None
                self._cooldown_left = self.CooldownBars
            else:
                self.BuyMarket()
                self._entry_price = candle.ClosePrice
                self._cooldown_left = self.CooldownBars
        elif sell_signal and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket(self.Position)
                self._entry_price = None
                self._cooldown_left = self.CooldownBars
            else:
                self.SellMarket()
                self._entry_price = candle.ClosePrice
                self._cooldown_left = self.CooldownBars

        self._update_previous(jaw, teeth, lips)

    def _try_exit_by_risk(self, candle):
        if self._entry_price is None or self.Position == 0 or self._entry_price == 0:
            return False

        entry_price = self._entry_price
        stop_distance = entry_price * self.StopLossPercent / Decimal(100)
        take_distance = entry_price * self.TakeProfitPercent / Decimal(100)

        if self.Position > 0:
            if (stop_distance > 0 and candle.LowPrice <= entry_price - stop_distance) or \
               (take_distance > 0 and candle.HighPrice >= entry_price + take_distance):
                self.SellMarket(self.Position)
                self._entry_price = None
                self._cooldown_left = self.CooldownBars
                return True
        elif self.Position < 0:
            volume = Math.Abs(self.Position)
            if (stop_distance > 0 and candle.HighPrice >= entry_price + stop_distance) or \
               (take_distance > 0 and candle.LowPrice <= entry_price - take_distance):
                self.BuyMarket(volume)
                self._entry_price = None
                self._cooldown_left = self.CooldownBars
                return True

        return False

    def _update_previous(self, jaw, teeth, lips):
        self._previous_jaw = jaw
        self._previous_teeth = teeth
        self._previous_lips = lips
        self._has_previous = True

    def CreateClone(self):
        return bars_alligator_strategy()