Trailing Stop FrCnSar-Strategie

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Trailing Stop FrCnSar: EMA crossover with ATR trailing stops.
/// </summary>
public class TrailingStopFrCnSarStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private decimal _bestPrice;

	public TrailingStopFrCnSarStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");
		_fastEmaLength = Param(nameof(FastEmaLength), 10)
			.SetDisplay("Fast EMA Length", "Fast EMA period.", "Indicators");
		_slowEmaLength = Param(nameof(SlowEmaLength), 30)
			.SetDisplay("Slow EMA Length", "Slow EMA 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 FastEmaLength { get => _fastEmaLength.Value; set => _fastEmaLength.Value = value; }
	public int SlowEmaLength { get => _slowEmaLength.Value; set => _slowEmaLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }

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

		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _bestPrice = 0;
	}

		protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _bestPrice = 0;
		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fastEma, slowEma, atr, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fastEma); DrawIndicator(area, slowEma); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastVal, decimal slowVal, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (_prevFast == 0 || _prevSlow == 0 || atrVal <= 0) { _prevFast = fastVal; _prevSlow = slowVal; return; }
		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if (close > _bestPrice) _bestPrice = close;
			if (close <= _bestPrice - atrVal * 2m || (fastVal < slowVal && _prevFast >= _prevSlow)) { SellMarket(); _entryPrice = 0; _bestPrice = 0; }
		}
		else if (Position < 0)
		{
			if (close < _bestPrice) _bestPrice = close;
			if (close >= _bestPrice + atrVal * 2m || (fastVal > slowVal && _prevFast <= _prevSlow)) { BuyMarket(); _entryPrice = 0; _bestPrice = 0; }
		}

		if (Position == 0)
		{
			if (fastVal > slowVal && _prevFast <= _prevSlow) { _entryPrice = close; _bestPrice = close; BuyMarket(); }
			else if (fastVal < slowVal && _prevFast >= _prevSlow) { _entryPrice = close; _bestPrice = close; SellMarket(); }
		}
		_prevFast = fastVal; _prevSlow = slowVal;
	}
}

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.Strategies import Strategy
from StockSharp.Algo.Indicators import ExponentialMovingAverage, AverageTrueRange

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe.", "General")
        self._fast_ema_length = self.Param("FastEmaLength", 10) \
            .SetDisplay("Fast EMA Length", "Fast EMA period.", "Indicators")
        self._slow_ema_length = self.Param("SlowEmaLength", 30) \
            .SetDisplay("Slow EMA Length", "Slow EMA period.", "Indicators")
        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period.", "Indicators")

        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._best_price = 0.0

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

    @property
    def FastEmaLength(self):
        return self._fast_ema_length.Value

    @property
    def SlowEmaLength(self):
        return self._slow_ema_length.Value

    @property
    def AtrLength(self):
        return self._atr_length.Value

    def OnStarted2(self, time):
        super(trailing_stop_fr_cn_sar_strategy, self).OnStarted2(time)

        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._best_price = 0.0

        self._fast_ema = ExponentialMovingAverage()
        self._fast_ema.Length = self.FastEmaLength
        self._slow_ema = ExponentialMovingAverage()
        self._slow_ema.Length = self.SlowEmaLength
        self._atr = AverageTrueRange()
        self._atr.Length = self.AtrLength

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._fast_ema, self._slow_ema, self._atr, self.ProcessCandle).Start()

    def ProcessCandle(self, candle, fast_val, slow_val, atr_val):
        if candle.State != CandleStates.Finished:
            return

        fv = float(fast_val)
        sv = float(slow_val)
        av = float(atr_val)

        if self._prev_fast == 0 or self._prev_slow == 0 or av <= 0:
            self._prev_fast = fv
            self._prev_slow = sv
            return

        close = float(candle.ClosePrice)

        if self.Position > 0:
            if close > self._best_price:
                self._best_price = close
            if close <= self._best_price - av * 2.0 or (fv < sv and self._prev_fast >= self._prev_slow):
                self.SellMarket()
                self._entry_price = 0.0
                self._best_price = 0.0
        elif self.Position < 0:
            if close < self._best_price:
                self._best_price = close
            if close >= self._best_price + av * 2.0 or (fv > sv and self._prev_fast <= self._prev_slow):
                self.BuyMarket()
                self._entry_price = 0.0
                self._best_price = 0.0

        if self.Position == 0:
            if fv > sv and self._prev_fast <= self._prev_slow:
                self._entry_price = close
                self._best_price = close
                self.BuyMarket()
            elif fv < sv and self._prev_fast >= self._prev_slow:
                self._entry_price = close
                self._best_price = close
                self.SellMarket()

        self._prev_fast = fv
        self._prev_slow = sv

    def OnReseted(self):
        super(trailing_stop_fr_cn_sar_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._best_price = 0.0

    def CreateClone(self):
        return trailing_stop_fr_cn_sar_strategy()