FiveMinuteRsiCci-Strategie

namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Five Minute RSI CCI strategy: RSI momentum with CCI trend confirmation.
/// Buys when RSI above level and CCI positive, sells when RSI below level and CCI negative.
/// </summary>
public class FiveMinuteRsiCciStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _bullishLevel;
	private readonly StrategyParam<decimal> _bearishLevel;
	private bool _wasBullish;
	private bool _hasPrevSignal;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	public decimal BullishLevel { get => _bullishLevel.Value; set => _bullishLevel.Value = value; }
	public decimal BearishLevel { get => _bearishLevel.Value; set => _bearishLevel.Value = value; }

	public FiveMinuteRsiCciStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "CCI period", "Indicators");
		_bullishLevel = Param(nameof(BullishLevel), 55m)
			.SetDisplay("Bullish RSI Level", "RSI above this for buy", "Signals");
		_bearishLevel = Param(nameof(BearishLevel), 45m)
			.SetDisplay("Bearish RSI Level", "RSI below this for sell", "Signals");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_wasBullish = false;
		_hasPrevSignal = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrevSignal = false;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, cci, ProcessCandle).Start();
	}

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

		var isBullish = rsiValue > BullishLevel && cciValue > 0;

		if (_hasPrevSignal && isBullish != _wasBullish)
		{
			if (isBullish && Position <= 0)
				BuyMarket();
			else if (!isBullish && rsiValue < BearishLevel && cciValue < 0 && Position >= 0)
				SellMarket();
		}

		_wasBullish = isBullish;
		_hasPrevSignal = true;
	}
}

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 RelativeStrengthIndex, CommodityChannelIndex
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30)))
        self._rsi_period = self.Param("RsiPeriod", 14)
        self._cci_period = self.Param("CciPeriod", 14)
        self._bullish_level = self.Param("BullishLevel", 55.0)
        self._bearish_level = self.Param("BearishLevel", 45.0)

        self._was_bullish = False
        self._has_prev_signal = False

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

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

    @property
    def RsiPeriod(self):
        return self._rsi_period.Value

    @RsiPeriod.setter
    def RsiPeriod(self, value):
        self._rsi_period.Value = value

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

    @CciPeriod.setter
    def CciPeriod(self, value):
        self._cci_period.Value = value

    @property
    def BullishLevel(self):
        return self._bullish_level.Value

    @BullishLevel.setter
    def BullishLevel(self, value):
        self._bullish_level.Value = value

    @property
    def BearishLevel(self):
        return self._bearish_level.Value

    @BearishLevel.setter
    def BearishLevel(self, value):
        self._bearish_level.Value = value

    def OnReseted(self):
        super(five_minute_rsi_cci_strategy, self).OnReseted()
        self._was_bullish = False
        self._has_prev_signal = False

    def OnStarted2(self, time):
        super(five_minute_rsi_cci_strategy, self).OnStarted2(time)
        self._has_prev_signal = False

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod

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

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

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

        is_bullish = float(rsi_value) > self.BullishLevel and float(cci_value) > 0

        if self._has_prev_signal and is_bullish != self._was_bullish:
            if is_bullish and self.Position <= 0:
                self.BuyMarket()
            elif not is_bullish and float(rsi_value) < self.BearishLevel and float(cci_value) < 0 and self.Position >= 0:
                self.SellMarket()

        self._was_bullish = is_bullish
        self._has_prev_signal = True

    def CreateClone(self):
        return five_minute_rsi_cci_strategy()