X-Bug-Strategie

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Moving average crossover strategy converted from the MQL4 expert "X bug".
/// Uses fast and slow SMA crossover for signal generation.
/// </summary>
public class XBugStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<bool> _reverseSignals;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _slowMa;
	private decimal? _prevFast;
	private decimal? _prevSlow;
	private int _cooldown;
	private int _candleCount;

	public XBugStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA period", "Length of the fast moving average.", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA period", "Length of the slow moving average.", "Indicators");

		_reverseSignals = Param(nameof(ReverseSignals), false)
			.SetDisplay("Reverse signals", "Invert buy and sell directions.", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle type", "Primary timeframe used for signals.", "General");
	}

	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	public bool ReverseSignals
	{
		get => _reverseSignals.Value;
		set => _reverseSignals.Value = value;
	}

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

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_slowMa = default;
		_prevFast = null;
		_prevSlow = null;
		_cooldown = 0;
		_candleCount = 0;
	}

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

		Volume = 0.001m;
		_prevFast = null;
		_prevSlow = null;
		_cooldown = 0;
		_candleCount = 0;

		_slowMa = new SimpleMovingAverage { Length = SlowPeriod };

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

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

		if (!_slowMa.IsFormed)
			return;

		_candleCount++;
		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Use close price as the "fast" value (period=1 effectively)
		var fastValue = candle.ClosePrice;

		if (_prevFast is null || _prevSlow is null)
		{
			_prevFast = fastValue;
			_prevSlow = slowValue;
			return;
		}

		var signal = 0;
		if (fastValue > slowValue && _prevFast.Value <= _prevSlow.Value)
			signal = 1;
		else if (fastValue < slowValue && _prevFast.Value >= _prevSlow.Value)
			signal = -1;

		_prevFast = fastValue;
		_prevSlow = slowValue;

		if (signal == 0)
			return;

		if (ReverseSignals)
			signal = -signal;

		if (signal > 0 && Position <= 0)
		{
			BuyMarket();
			_cooldown = 100;
		}
		else if (signal < 0 && Position >= 0)
		{
			SellMarket();
			_cooldown = 100;
		}
	}
}

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 SimpleMovingAverage

class x_bug_strategy(Strategy):
    def __init__(self):
        super(x_bug_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle type", "Primary timeframe used for signals.", "General")
        self._fast_period = self.Param("FastPeriod", 5) \
            .SetDisplay("Fast MA period", "Length of the fast moving average.", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 14) \
            .SetDisplay("Slow MA period", "Length of the slow moving average.", "Indicators")
        self._reverse_signals = self.Param("ReverseSignals", False) \
            .SetDisplay("Reverse signals", "Invert buy and sell directions.", "Trading")
        self._prev_fast = None
        self._prev_slow = None

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def FastPeriod(self):
        return self._fast_period.Value
    @property
    def SlowPeriod(self):
        return self._slow_period.Value
    @property
    def ReverseSignals(self):
        return self._reverse_signals.Value

    def OnStarted2(self, time):
        super(x_bug_strategy, self).OnStarted2(time)
        from System import Decimal
        self.Volume = Decimal(0.001)
        self._prev_fast = None
        self._prev_slow = None
        self._slow_ma = SimpleMovingAverage()
        self._slow_ma.Length = self.SlowPeriod
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._slow_ma, self.ProcessCandle).Start()

    def ProcessCandle(self, candle, slow_val):
        if candle.State != CandleStates.Finished:
            return
        if not self._slow_ma.IsFormed:
            return
        from System import Decimal
        sv = Decimal(float(slow_val))
        fast_value = candle.ClosePrice
        if self._prev_fast is None or self._prev_slow is None:
            self._prev_fast = fast_value
            self._prev_slow = sv
            return
        signal = 0
        if fast_value > sv and self._prev_fast <= self._prev_slow:
            signal = 1
        elif fast_value < sv and self._prev_fast >= self._prev_slow:
            signal = -1
        self._prev_fast = fast_value
        self._prev_slow = sv
        if signal == 0:
            return
        if self.ReverseSignals:
            signal = -signal
        if signal > 0 and self.Position <= 0:
            self.BuyMarket()
        elif signal < 0 and self.Position >= 0:
            self.SellMarket()

    def OnReseted(self):
        super(x_bug_strategy, self).OnReseted()
        self._prev_fast = None
        self._prev_slow = None

    def CreateClone(self):
        return x_bug_strategy()