Rubberbands 3 Strategie

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Rubberbands 3: Grid expansion strategy using SMA+ATR bands.
/// Enters at band extremes, adds on continuation, exits at mean.
/// </summary>
public class Rubberbands3Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _entryPrice;
	private int _gridCount;

	public Rubberbands3Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_smaLength = Param(nameof(SmaLength), 20)
			.SetDisplay("SMA Length", "SMA period.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");
	}

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

	public int SmaLength
	{
		get => _smaLength.Value;
		set => _smaLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

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

		_entryPrice = 0;
		_gridCount = 0;

		var sma = new SimpleMovingAverage { Length = SmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

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

		if (atrVal <= 0)
			return;

		var close = candle.ClosePrice;
		var upper = smaVal + atrVal * 1.5m;
		var lower = smaVal - atrVal * 1.5m;

		if (Position > 0)
		{
			if (close >= smaVal)
			{
				SellMarket();
				_entryPrice = 0;
				_gridCount = 0;
			}
			else if (close <= _entryPrice - atrVal * 5m)
			{
				SellMarket();
				_entryPrice = 0;
				_gridCount = 0;
			}
			else if (_gridCount < 4 && close <= _entryPrice - atrVal * 0.8m)
			{
				_entryPrice = (_entryPrice + close) / 2m;
				_gridCount++;
				BuyMarket();
			}
		}
		else if (Position < 0)
		{
			if (close <= smaVal)
			{
				BuyMarket();
				_entryPrice = 0;
				_gridCount = 0;
			}
			else if (close >= _entryPrice + atrVal * 5m)
			{
				BuyMarket();
				_entryPrice = 0;
				_gridCount = 0;
			}
			else if (_gridCount < 4 && close >= _entryPrice + atrVal * 0.8m)
			{
				_entryPrice = (_entryPrice + close) / 2m;
				_gridCount++;
				SellMarket();
			}
		}

		if (Position == 0)
		{
			if (close <= lower)
			{
				_entryPrice = close;
				_gridCount = 0;
				BuyMarket();
			}
			else if (close >= upper)
			{
				_entryPrice = close;
				_gridCount = 0;
				SellMarket();
			}
		}
	}
}

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 SimpleMovingAverage, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy

class rubberbands_3_strategy(Strategy):
    def __init__(self):
        super(rubberbands_3_strategy, self).__init__()
        self._sma_length = self.Param("SmaLength", 20).SetDisplay("SMA Length", "SMA period", "Indicators")
        self._atr_length = self.Param("AtrLength", 14).SetDisplay("ATR Length", "ATR period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15))).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(rubberbands_3_strategy, self).OnReseted()
        self._entry_price = 0
        self._grid_count = 0

    def OnStarted2(self, time):
        super(rubberbands_3_strategy, self).OnStarted2(time)
        self._entry_price = 0
        self._grid_count = 0

        sma = SimpleMovingAverage()
        sma.Length = self._sma_length.Value
        atr = AverageTrueRange()
        atr.Length = self._atr_length.Value

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

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

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

        if atr_val <= 0:
            return

        close = float(candle.ClosePrice)
        upper = sma_val + atr_val * 1.5
        lower = sma_val - atr_val * 1.5

        if self.Position > 0:
            if close >= sma_val:
                self.SellMarket()
                self._entry_price = 0
                self._grid_count = 0
            elif close <= self._entry_price - atr_val * 5.0:
                self.SellMarket()
                self._entry_price = 0
                self._grid_count = 0
            elif self._grid_count < 4 and close <= self._entry_price - atr_val * 0.8:
                self._entry_price = (self._entry_price + close) / 2.0
                self._grid_count += 1
                self.BuyMarket()
        elif self.Position < 0:
            if close <= sma_val:
                self.BuyMarket()
                self._entry_price = 0
                self._grid_count = 0
            elif close >= self._entry_price + atr_val * 5.0:
                self.BuyMarket()
                self._entry_price = 0
                self._grid_count = 0
            elif self._grid_count < 4 and close >= self._entry_price + atr_val * 0.8:
                self._entry_price = (self._entry_price + close) / 2.0
                self._grid_count += 1
                self.SellMarket()

        if self.Position == 0:
            if close <= lower:
                self._entry_price = close
                self._grid_count = 0
                self.BuyMarket()
            elif close >= upper:
                self._entry_price = close
                self._grid_count = 0
                self.SellMarket()

    def CreateClone(self):
        return rubberbands_3_strategy()