Vorlage M5-Umschläge Strategie

namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// Template M5 Envelopes strategy: WMA envelope breakout.
/// Buys above upper envelope, sells below lower envelope.
/// </summary>
public class TemplateM5EnvelopesStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _wmaPeriod;
	private readonly StrategyParam<decimal> _deviation;
	private bool _wasAboveUpper;
	private bool _wasBelowLower;
	private bool _hasPrevSignal;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int WmaPeriod { get => _wmaPeriod.Value; set => _wmaPeriod.Value = value; }
	public decimal Deviation { get => _deviation.Value; set => _deviation.Value = value; }

	public TemplateM5EnvelopesStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_wmaPeriod = Param(nameof(WmaPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("WMA Period", "Weighted MA period", "Indicators");
		_deviation = Param(nameof(Deviation), 0.3m)
			.SetDisplay("Deviation %", "Envelope deviation percent", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrevSignal = false;
		var wma = new WeightedMovingAverage { Length = WmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(wma, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;
		var upper = wmaValue * (1 + Deviation / 100m);
		var lower = wmaValue * (1 - Deviation / 100m);
		var aboveUpper = close > upper;
		var belowLower = close < lower;

		if (_hasPrevSignal)
		{
			if (aboveUpper && !_wasAboveUpper && Position <= 0)
				BuyMarket();
			else if (belowLower && !_wasBelowLower && Position >= 0)
				SellMarket();
		}

		_wasAboveUpper = aboveUpper;
		_wasBelowLower = belowLower;
		_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 WeightedMovingAverage
from StockSharp.Algo.Strategies import Strategy

class template_m5_envelopes_strategy(Strategy):
    def __init__(self):
        super(template_m5_envelopes_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30)))
        self._wma_period = self.Param("WmaPeriod", 50)
        self._deviation = self.Param("Deviation", 0.3)

        self._was_above_upper = False
        self._was_below_lower = 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 WmaPeriod(self):
        return self._wma_period.Value

    @WmaPeriod.setter
    def WmaPeriod(self, value):
        self._wma_period.Value = value

    @property
    def Deviation(self):
        return self._deviation.Value

    @Deviation.setter
    def Deviation(self, value):
        self._deviation.Value = value

    def OnReseted(self):
        super(template_m5_envelopes_strategy, self).OnReseted()
        self._was_above_upper = False
        self._was_below_lower = False
        self._has_prev_signal = False

    def OnStarted2(self, time):
        super(template_m5_envelopes_strategy, self).OnStarted2(time)
        self._has_prev_signal = False

        wma = WeightedMovingAverage()
        wma.Length = self.WmaPeriod

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

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

        close = float(candle.ClosePrice)
        wma_val = float(wma_value)
        upper = wma_val * (1 + float(self.Deviation) / 100.0)
        lower = wma_val * (1 - float(self.Deviation) / 100.0)
        above_upper = close > upper
        below_lower = close < lower

        if self._has_prev_signal:
            if above_upper and not self._was_above_upper and self.Position <= 0:
                self.BuyMarket()
            elif below_lower and not self._was_below_lower and self.Position >= 0:
                self.SellMarket()

        self._was_above_upper = above_upper
        self._was_below_lower = below_lower
        self._has_prev_signal = True

    def CreateClone(self):
        return template_m5_envelopes_strategy()