Linear Regression Channel (Fibo)-Strategie

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class LinearRegressionChannelFibStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public LinearRegressionChannelFibStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}

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
from StockSharp.Algo.Strategies import Strategy


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

        self._fast_period = self.Param("FastPeriod", 14) \
            .SetDisplay("Fast Period", "Fast MA period", "Indicator")
        self._slow_period = self.Param("SlowPeriod", 50) \
            .SetDisplay("Slow Period", "Slow MA period", "Indicator")
        self._stop_loss_points = self.Param("StopLossPoints", 200) \
            .SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk")
        self._take_profit_points = self.Param("TakeProfitPoints", 400) \
            .SetDisplay("Take Profit", "Take-profit in price steps", "Risk")

        self._fast = None
        self._slow = None
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._cooldown = 0

    @property
    def fast_period(self):
        return self._fast_period.Value

    @property
    def slow_period(self):
        return self._slow_period.Value

    @property
    def stop_loss_points(self):
        return self._stop_loss_points.Value

    @property
    def take_profit_points(self):
        return self._take_profit_points.Value

    def OnReseted(self):
        super(linear_regression_channel_fib_strategy, self).OnReseted()
        self._fast = None
        self._slow = None
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._cooldown = 0

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

        self._fast = ExponentialMovingAverage()
        self._fast.Length = self.fast_period
        self._slow = ExponentialMovingAverage()
        self._slow.Length = self.slow_period

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        subscription.Bind(self._fast, self._slow, self._process_candle)
        subscription.Start()

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

        fast_val = float(fast_value)
        slow_val = float(slow_value)

        if not self._fast.IsFormed or not self._slow.IsFormed:
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            return

        if self._cooldown > 0:
            self._cooldown -= 1
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            return

        close = float(candle.ClosePrice)
        step = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0

        if self.Position > 0 and self._entry_price > 0:
            if self.stop_loss_points > 0 and close <= self._entry_price - self.stop_loss_points * step:
                self.SellMarket()
                self._entry_price = 0.0
                self._cooldown = 100
                self._prev_fast = fast_val
                self._prev_slow = slow_val
                return
            if self.take_profit_points > 0 and close >= self._entry_price + self.take_profit_points * step:
                self.SellMarket()
                self._entry_price = 0.0
                self._cooldown = 100
                self._prev_fast = fast_val
                self._prev_slow = slow_val
                return
        elif self.Position < 0 and self._entry_price > 0:
            if self.stop_loss_points > 0 and close >= self._entry_price + self.stop_loss_points * step:
                self.BuyMarket()
                self._entry_price = 0.0
                self._cooldown = 100
                self._prev_fast = fast_val
                self._prev_slow = slow_val
                return
            if self.take_profit_points > 0 and close <= self._entry_price - self.take_profit_points * step:
                self.BuyMarket()
                self._entry_price = 0.0
                self._cooldown = 100
                self._prev_fast = fast_val
                self._prev_slow = slow_val
                return

        if self._prev_fast <= self._prev_slow and fast_val > slow_val and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._entry_price = close
            self._cooldown = 100
        elif self._prev_fast >= self._prev_slow and fast_val < slow_val and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._entry_price = close
            self._cooldown = 100

        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        return linear_regression_channel_fib_strategy()