Estrategia de Pivote de Volatilidad

using System;
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>
/// Volatility pivot strategy using ATR-based trailing stop.
/// Follows trend by flipping long/short when price crosses the ATR-based pivot line.
/// </summary>
public class VolatilityPivotStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _emaPeriod;

	private AverageTrueRange _atr;
	private ExponentialMovingAverage _ema;

	private decimal _pivotStop;
	private decimal _prevClose;
	private bool _isLong;
	private bool _initialized;
	private int _cooldown;

	/// <summary>
	/// ATR calculation period.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Multiplier applied to ATR for pivot distance.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// EMA period for trend confirmation.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public VolatilityPivotStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR calculation period", "Indicator");

		_atrMultiplier = Param(nameof(AtrMultiplier), 5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "Multiplier for pivot distance", "Indicator");

		_emaPeriod = Param(nameof(EmaPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA trend filter period", "Indicator");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

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

		_atr = null;
		_ema = null;
		_pivotStop = 0;
		_prevClose = 0;
		_isLong = true;
		_initialized = false;
		_cooldown = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_atr = new AverageTrueRange { Length = AtrPeriod };
		_ema = new ExponentialMovingAverage { Length = EmaPeriod };

		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_atr, _ema, ProcessCandle);
		subscription.Start();
	}

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

		if (!_atr.IsFormed || !_ema.IsFormed)
		{
			_prevClose = candle.ClosePrice;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevClose = candle.ClosePrice;
			return;
		}

		var close = candle.ClosePrice;
		var delta = atrValue * AtrMultiplier;

		if (!_initialized)
		{
			_pivotStop = close > emaValue ? close - delta : close + delta;
			_isLong = close > emaValue;
			_initialized = true;
			_prevClose = close;
			return;
		}

		// Update pivot stop
		if (_isLong)
		{
			var newStop = close - delta;
			if (newStop > _pivotStop)
				_pivotStop = newStop;

			// Check for reversal
			if (close < _pivotStop)
			{
				_isLong = false;
				_pivotStop = close + delta;

				if (Position > 0)
					SellMarket();

				SellMarket();
				_cooldown = 60;
			}
		}
		else
		{
			var newStop = close + delta;
			if (newStop < _pivotStop)
				_pivotStop = newStop;

			// Check for reversal
			if (close > _pivotStop)
			{
				_isLong = true;
				_pivotStop = close - delta;

				if (Position < 0)
					BuyMarket();

				BuyMarket();
				_cooldown = 60;
			}
		}

		_prevClose = close;
	}
}

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 AverageTrueRange, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class volatility_pivot_strategy(Strategy):
    """ATR-based trailing pivot stop: flip long/short when price crosses pivot line."""
    def __init__(self):
        super(volatility_pivot_strategy, self).__init__()
        self._atr_period = self.Param("AtrPeriod", 14).SetGreaterThanZero().SetDisplay("ATR Period", "ATR period", "Indicator")
        self._atr_mult = self.Param("AtrMultiplier", 5).SetGreaterThanZero().SetDisplay("ATR Multiplier", "Multiplier for pivot", "Indicator")
        self._ema_period = self.Param("EmaPeriod", 100).SetGreaterThanZero().SetDisplay("EMA Period", "EMA trend filter", "Indicator")
        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(volatility_pivot_strategy, self).OnReseted()
        self._pivot_stop = 0
        self._is_long = True
        self._initialized = False
        self._cooldown = 0

    def OnStarted2(self, time):
        super(volatility_pivot_strategy, self).OnStarted2(time)
        self._pivot_stop = 0
        self._is_long = True
        self._initialized = False
        self._cooldown = 0

        atr = AverageTrueRange()
        atr.Length = self._atr_period.Value
        ema = ExponentialMovingAverage()
        ema.Length = self._ema_period.Value

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

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

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

        av = float(atr_val)
        ev = float(ema_val)
        close = float(candle.ClosePrice)
        mult = self._atr_mult.Value

        if av <= 0:
            return

        if self._cooldown > 0:
            self._cooldown -= 1
            return

        delta = av * mult

        if not self._initialized:
            self._pivot_stop = close - delta if close > ev else close + delta
            self._is_long = close > ev
            self._initialized = True
            return

        if self._is_long:
            new_stop = close - delta
            if new_stop > self._pivot_stop:
                self._pivot_stop = new_stop
            if close < self._pivot_stop:
                self._is_long = False
                self._pivot_stop = close + delta
                if self.Position > 0:
                    self.SellMarket()
                self.SellMarket()
                self._cooldown = 60
        else:
            new_stop = close + delta
            if new_stop < self._pivot_stop:
                self._pivot_stop = new_stop
            if close > self._pivot_stop:
                self._is_long = True
                self._pivot_stop = close - delta
                if self.Position < 0:
                    self.BuyMarket()
                self.BuyMarket()
                self._cooldown = 60

    def CreateClone(self):
        return volatility_pivot_strategy()