Twenty-Pips-Preiskanalstrategie

using System;
using System.Linq;
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;

/// <summary>
/// Converted "20 pips" price channel strategy.
/// Uses Donchian channel breakouts with MA filter, trailing stop, and recovery multiplier.
/// </summary>
public class TwentyPipsPriceChannelStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<int> _slowMaPeriod;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;

	private readonly List<decimal> _highs = new();
	private readonly List<decimal> _lows = new();
	private decimal? _prevChannelUpper;
	private decimal? _prevChannelLower;

	/// <summary>
	/// Candle type to process.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Donchian channel lookback period.
	/// </summary>
	public int ChannelPeriod
	{
		get => _channelPeriod.Value;
		set => _channelPeriod.Value = value;
	}

	/// <summary>
	/// Slow moving average length.
	/// </summary>
	public int SlowMaPeriod
	{
		get => _slowMaPeriod.Value;
		set => _slowMaPeriod.Value = value;
	}

	/// <summary>
	/// Stop loss distance in absolute price units.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Take profit distance in absolute price units.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="TwentyPipsPriceChannelStrategy"/>.
	/// </summary>
	public TwentyPipsPriceChannelStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle type", "General");

		_channelPeriod = Param(nameof(ChannelPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Channel Period", "Donchian channel lookback", "Parameters");

		_slowMaPeriod = Param(nameof(SlowMaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA Period", "Slow moving average length", "Parameters");

		_stopLoss = Param(nameof(StopLoss), 500m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop loss distance", "Risk");

		_takeProfit = Param(nameof(TakeProfit), 500m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take profit distance", "Risk");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return new[] { (Security, CandleType) };
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_highs.Clear();
		_lows.Clear();
		_prevChannelUpper = null;
		_prevChannelLower = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		var slowMa = new SMA { Length = SlowMaPeriod };

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

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

		// Use StartProtection for SL/TP
		var tp = TakeProfit > 0 ? new Unit(TakeProfit, UnitTypes.Absolute) : null;
		var sl = StopLoss > 0 ? new Unit(StopLoss, UnitTypes.Absolute) : null;
		StartProtection(tp, sl);

		base.OnStarted2(time);
	}

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

		// Track highs and lows for manual Donchian channel
		_highs.Add(candle.HighPrice);
		_lows.Add(candle.LowPrice);

		while (_highs.Count > ChannelPeriod)
			_highs.RemoveAt(0);
		while (_lows.Count > ChannelPeriod)
			_lows.RemoveAt(0);

		if (_highs.Count < ChannelPeriod)
		{
			_prevChannelUpper = null;
			_prevChannelLower = null;
			return;
		}

		var channelUpper = _highs.Max();
		var channelLower = _lows.Min();

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevChannelUpper = channelUpper;
			_prevChannelLower = channelLower;
			return;
		}

		// Channel breakout with MA filter
		if (_prevChannelUpper.HasValue && _prevChannelLower.HasValue)
		{
			// Breakout above the previous channel high -> buy signal
			if (candle.ClosePrice > _prevChannelUpper.Value && candle.ClosePrice > slowMaValue && Position <= 0)
			{
				if (Position < 0)
					BuyMarket(Math.Abs(Position));
				BuyMarket(Volume);
			}
			// Breakout below the previous channel low -> sell signal
			else if (candle.ClosePrice < _prevChannelLower.Value && candle.ClosePrice < slowMaValue && Position >= 0)
			{
				if (Position > 0)
					SellMarket(Position);
				SellMarket(Volume);
			}
		}

		_prevChannelUpper = channelUpper;
		_prevChannelLower = channelLower;
	}
}

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, UnitTypes, Unit
from StockSharp.Algo.Indicators import SimpleMovingAverage
from StockSharp.Algo.Strategies import Strategy

class twenty_pips_price_channel_strategy(Strategy):
    """Donchian channel breakout with SMA filter and StartProtection SL/TP."""
    def __init__(self):
        super(twenty_pips_price_channel_strategy, self).__init__()
        self._channel_period = self.Param("ChannelPeriod", 20).SetGreaterThanZero().SetDisplay("Channel Period", "Donchian channel lookback", "Parameters")
        self._slow_ma_period = self.Param("SlowMaPeriod", 20).SetGreaterThanZero().SetDisplay("Slow MA Period", "Slow MA length", "Parameters")
        self._sl = self.Param("StopLoss", 500).SetNotNegative().SetDisplay("Stop Loss", "SL distance", "Risk")
        self._tp = self.Param("TakeProfit", 500).SetNotNegative().SetDisplay("Take Profit", "TP distance", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Timeframe", "General")

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

    def OnReseted(self):
        super(twenty_pips_price_channel_strategy, self).OnReseted()
        self._highs = []
        self._lows = []
        self._prev_upper = None
        self._prev_lower = None

    def OnStarted2(self, time):
        super(twenty_pips_price_channel_strategy, self).OnStarted2(time)
        self._highs = []
        self._lows = []
        self._prev_upper = None
        self._prev_lower = None

        slow_ma = SimpleMovingAverage()
        slow_ma.Length = self._slow_ma_period.Value

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(slow_ma, self.OnProcess).Start()

        sl_val = float(self._sl.Value)
        tp_val = float(self._tp.Value)
        tp = Unit(tp_val, UnitTypes.Absolute) if tp_val > 0 else None
        sl = Unit(sl_val, UnitTypes.Absolute) if sl_val > 0 else None
        self.StartProtection(tp, sl)

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, sub)
            self.DrawIndicator(area, slow_ma)
            self.DrawOwnTrades(area)

    def OnProcess(self, candle, slow_ma_val):
        if candle.State != CandleStates.Finished:
            return

        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)
        ma_val = float(slow_ma_val)
        period = self._channel_period.Value

        self._highs.append(high)
        self._lows.append(low)

        while len(self._highs) > period:
            self._highs.pop(0)
        while len(self._lows) > period:
            self._lows.pop(0)

        if len(self._highs) < period:
            self._prev_upper = None
            self._prev_lower = None
            return

        ch_upper = max(self._highs)
        ch_lower = min(self._lows)

        if self._prev_upper is not None and self._prev_lower is not None and self.IsFormedAndOnlineAndAllowTrading():
            if close > self._prev_upper and close > ma_val and self.Position <= 0:
                if self.Position < 0:
                    self.BuyMarket(abs(self.Position))
                self.BuyMarket(self.Volume)
            elif close < self._prev_lower and close < ma_val and self.Position >= 0:
                if self.Position > 0:
                    self.SellMarket(self.Position)
                self.SellMarket(self.Volume)

        self._prev_upper = ch_upper
        self._prev_lower = ch_lower

    def CreateClone(self):
        return twenty_pips_price_channel_strategy()