Mehrschichtige Risikoschutzstrategie

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simplified from "Risk Manager Layered" MetaTrader expert.
/// Uses CCI crossover for entry with position management. CCI above level -> sell,
/// CCI below negative level -> buy, with volume-based confirmation.
/// </summary>
public class LayeredRiskProtectorStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cciLength;
	private readonly StrategyParam<decimal> _cciLevel;

	private CommodityChannelIndex _cci;
	private decimal? _prevCci;

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

	public int CciLength
	{
		get => _cciLength.Value;
		set => _cciLength.Value = value;
	}

	public decimal CciLevel
	{
		get => _cciLevel.Value;
		set => _cciLevel.Value = value;
	}

	public LayeredRiskProtectorStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle series", "General");

		_cciLength = Param(nameof(CciLength), 100)
			.SetGreaterThanZero()
			.SetDisplay("CCI Length", "CCI indicator period", "Indicators");

		_cciLevel = Param(nameof(CciLevel), 150m)
			.SetGreaterThanZero()
			.SetDisplay("CCI Level", "CCI threshold for entries", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_cci = new CommodityChannelIndex { Length = CciLength };
		_prevCci = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_cci, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _cci);
			DrawOwnTrades(area);
		}
	}

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

		if (!_cci.IsFormed)
		{
			_prevCci = cciValue;
			return;
		}

		if (_prevCci is null)
		{
			_prevCci = cciValue;
			return;
		}

		var volume = Volume;
		if (volume <= 0)
			volume = 1;

		// CCI crosses below -level -> buy
		var buyCross = _prevCci.Value >= -CciLevel && cciValue < -CciLevel;
		// CCI crosses above +level -> sell
		var sellCross = _prevCci.Value <= CciLevel && cciValue > CciLevel;

		if (buyCross)
		{
			if (Position <= 0)
				BuyMarket(Position < 0 ? Math.Abs(Position) + volume : volume);
		}
		else if (sellCross)
		{
			if (Position >= 0)
				SellMarket(Position > 0 ? Math.Abs(Position) + volume : volume);
		}

		_prevCci = cciValue;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_cci = null;
		_prevCci = null;

		base.OnReseted();
	}
}

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 CommodityChannelIndex
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._cci_length = self.Param("CciLength", 100)
        self._cci_level = self.Param("CciLevel", 150.0)

        self._prev_cci = None

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

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

    @property
    def CciLength(self):
        return self._cci_length.Value

    @CciLength.setter
    def CciLength(self, value):
        self._cci_length.Value = value

    @property
    def CciLevel(self):
        return self._cci_level.Value

    @CciLevel.setter
    def CciLevel(self, value):
        self._cci_level.Value = value

    def OnReseted(self):
        super(layered_risk_protector_strategy, self).OnReseted()
        self._prev_cci = None

    def OnStarted2(self, time):
        super(layered_risk_protector_strategy, self).OnStarted2(time)
        self._prev_cci = None

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

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

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

        cci_val = float(cci_value)

        if self._prev_cci is None:
            self._prev_cci = cci_val
            return

        cci_level = float(self.CciLevel)

        # CCI crosses below -level -> buy
        buy_cross = self._prev_cci >= -cci_level and cci_val < -cci_level
        # CCI crosses above +level -> sell
        sell_cross = self._prev_cci <= cci_level and cci_val > cci_level

        if buy_cross:
            if self.Position <= 0:
                self.BuyMarket()
        elif sell_cross:
            if self.Position >= 0:
                self.SellMarket()

        self._prev_cci = cci_val

    def CreateClone(self):
        return layered_risk_protector_strategy()