Estrategia de IMF CDC PL

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// CDC PL MFI strategy: Dark Cloud Cover and Piercing Line candlestick patterns
/// confirmed by Money Flow Index levels.
/// </summary>
public class CdcPlMfiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _mfiPeriod;
	private readonly StrategyParam<decimal> _longLevel;
	private readonly StrategyParam<decimal> _shortLevel;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private readonly List<ICandleMessage> _candles = new();
	private decimal _prevMfi;
	private bool _hasPrevMfi;
	private int _candlesSinceTrade;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int MfiPeriod { get => _mfiPeriod.Value; set => _mfiPeriod.Value = value; }
	public decimal LongLevel { get => _longLevel.Value; set => _longLevel.Value = value; }
	public decimal ShortLevel { get => _shortLevel.Value; set => _shortLevel.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public CdcPlMfiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_mfiPeriod = Param(nameof(MfiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("MFI Period", "Money Flow Index period", "Indicators");
		_longLevel = Param(nameof(LongLevel), 40m)
			.SetDisplay("Long Level", "MFI below this for long entry", "Signals");
		_shortLevel = Param(nameof(ShortLevel), 60m)
			.SetDisplay("Short Level", "MFI above this for short entry", "Signals");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 6)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_candles.Clear();
		_prevMfi = 0m;
		_hasPrevMfi = false;
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_candles.Clear();
		_hasPrevMfi = false;
		_candlesSinceTrade = SignalCooldownCandles;
		var mfi = new MoneyFlowIndex { Length = MfiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(mfi, ProcessCandle).Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);
	}

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

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		_candles.Add(candle);
		if (_candles.Count > 5)
			_candles.RemoveAt(0);

		if (_candles.Count >= 2 && _hasPrevMfi)
		{
			var curr = _candles[^1];
			var prev = _candles[^2];

			// Piercing Line: prev bearish, curr bullish, opens below prev low, closes above midpoint
			var isPiercing = prev.OpenPrice > prev.ClosePrice
				&& curr.ClosePrice > curr.OpenPrice
				&& curr.OpenPrice < prev.LowPrice
				&& curr.ClosePrice > (prev.OpenPrice + prev.ClosePrice) / 2m;

			// Dark Cloud Cover: prev bullish, curr bearish, opens above prev high, closes below midpoint
			var isDarkCloud = prev.ClosePrice > prev.OpenPrice
				&& curr.OpenPrice > curr.ClosePrice
				&& curr.OpenPrice > prev.HighPrice
				&& curr.ClosePrice < (prev.OpenPrice + prev.ClosePrice) / 2m;

			if (isPiercing && mfiValue < LongLevel && Position == 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				BuyMarket();
				_candlesSinceTrade = 0;
			}
			else if (isDarkCloud && mfiValue > ShortLevel && Position == 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				SellMarket();
				_candlesSinceTrade = 0;
			}
		}

		_prevMfi = mfiValue;
		_hasPrevMfi = true;
	}
}

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


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

        self._mfi_period = self.Param("MfiPeriod", 14) \
            .SetDisplay("MFI Period", "Money Flow Index period", "Indicators")
        self._long_level = self.Param("LongLevel", 40.0) \
            .SetDisplay("Long Level", "MFI below this for long entry", "Signals")
        self._short_level = self.Param("ShortLevel", 60.0) \
            .SetDisplay("Short Level", "MFI above this for short entry", "Signals")
        self._signal_cooldown = self.Param("SignalCooldownCandles", 6) \
            .SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading")

        self._mfi = None
        self._candles = []
        self._has_prev_mfi = False
        self._candles_since_trade = 0

    @property
    def mfi_period(self):
        return self._mfi_period.Value

    @property
    def long_level(self):
        return self._long_level.Value

    @property
    def short_level(self):
        return self._short_level.Value

    @property
    def signal_cooldown(self):
        return self._signal_cooldown.Value

    def OnReseted(self):
        super(cdc_pl_mfi_strategy, self).OnReseted()
        self._mfi = None
        self._candles = []
        self._has_prev_mfi = False
        self._candles_since_trade = self.signal_cooldown

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

        self._mfi = MoneyFlowIndex()
        self._mfi.Length = self.mfi_period
        self._candles = []
        self._has_prev_mfi = False
        self._candles_since_trade = self.signal_cooldown

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        subscription.Bind(self._mfi, self._process_candle)
        subscription.Start()

        self.StartProtection(takeProfit=Unit(2, UnitTypes.Percent), stopLoss=Unit(1, UnitTypes.Percent))

    def _process_candle(self, candle, mfi_value):
        if candle.State != CandleStates.Finished:
            return

        mfi_val = float(mfi_value)

        if self._candles_since_trade < self.signal_cooldown:
            self._candles_since_trade += 1

        self._candles.append(candle)
        if len(self._candles) > 5:
            self._candles.pop(0)

        if len(self._candles) >= 2 and self._has_prev_mfi:
            curr = self._candles[-1]
            prev = self._candles[-2]

            is_piercing = (float(prev.OpenPrice) > float(prev.ClosePrice)
                and float(curr.ClosePrice) > float(curr.OpenPrice)
                and float(curr.OpenPrice) < float(prev.LowPrice)
                and float(curr.ClosePrice) > (float(prev.OpenPrice) + float(prev.ClosePrice)) / 2.0)

            is_dark_cloud = (float(prev.ClosePrice) > float(prev.OpenPrice)
                and float(curr.OpenPrice) > float(curr.ClosePrice)
                and float(curr.OpenPrice) > float(prev.HighPrice)
                and float(curr.ClosePrice) < (float(prev.OpenPrice) + float(prev.ClosePrice)) / 2.0)

            if is_piercing and mfi_val < self.long_level and self.Position == 0 and self._candles_since_trade >= self.signal_cooldown:
                self.BuyMarket()
                self._candles_since_trade = 0
            elif is_dark_cloud and mfi_val > self.short_level and self.Position == 0 and self._candles_since_trade >= self.signal_cooldown:
                self.SellMarket()
                self._candles_since_trade = 0

        self._has_prev_mfi = True

    def CreateClone(self):
        return cdc_pl_mfi_strategy()