Heiken Ashi Engulf-Strategie

namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// Heiken Ashi Engulf strategy: WMA crossover with candle direction filter.
/// Buys when price crosses above WMA with bullish candle, sells on bearish cross below.
/// </summary>
public class HeikenAshiEngulfStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _period;

	private decimal _prevClose;
	private decimal _prevWma;
	private bool _hasPrev;

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

	public HeikenAshiEngulfStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_period = Param(nameof(Period), 50)
			.SetGreaterThanZero()
			.SetDisplay("Period", "WMA period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = 0;
		_prevWma = 0;
		_hasPrev = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevClose = 0;
		_prevWma = 0;
		_hasPrev = false;
		var wma = new ExponentialMovingAverage { Length = Period };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(wma, ProcessCandle).Start();
	}

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

		if (_hasPrev)
		{
			var bullish = candle.ClosePrice > candle.OpenPrice;
			var bearish = candle.ClosePrice < candle.OpenPrice;

			if (_prevClose <= _prevWma && candle.ClosePrice > wmaValue && bullish && Position <= 0)
				BuyMarket();
			else if (_prevClose >= _prevWma && candle.ClosePrice < wmaValue && bearish && Position >= 0)
				SellMarket();
		}

		_prevClose = candle.ClosePrice;
		_prevWma = wmaValue;
		_hasPrev = 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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._period = self.Param("Period", 50)

        self._prev_close = 0.0
        self._prev_wma = 0.0
        self._has_prev = False

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

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

    @property
    def Period(self):
        return self._period.Value

    @Period.setter
    def Period(self, value):
        self._period.Value = value

    def OnReseted(self):
        super(heiken_ashi_engulf_strategy, self).OnReseted()
        self._prev_close = 0.0
        self._prev_wma = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(heiken_ashi_engulf_strategy, self).OnStarted2(time)
        self._prev_close = 0.0
        self._prev_wma = 0.0
        self._has_prev = False

        wma = ExponentialMovingAverage()
        wma.Length = self.Period

        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)
        open_price = float(candle.OpenPrice)
        wma_val = float(wma_value)

        if self._has_prev:
            bullish = close > open_price
            bearish = close < open_price

            if self._prev_close <= self._prev_wma and close > wma_val and bullish and self.Position <= 0:
                self.BuyMarket()
            elif self._prev_close >= self._prev_wma and close < wma_val and bearish and self.Position >= 0:
                self.SellMarket()

        self._prev_close = close
        self._prev_wma = wma_val
        self._has_prev = True

    def CreateClone(self):
        return heiken_ashi_engulf_strategy()