Estrategia de cruce de RVI rápido y lento

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Fast and slow Relative Vigor Index crossover strategy.
/// Opens a long position when the RVI average line crosses above the signal line,
/// and opens a short position on the opposite crossover.
/// </summary>
public class FastSlowRviCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _rviPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousAverage;
	private decimal? _previousSignal;

	public int RviPeriod
	{
		get => _rviPeriod.Value;
		set => _rviPeriod.Value = value;
	}

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

	public FastSlowRviCrossoverStrategy()
	{
		_rviPeriod = Param(nameof(RviPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("RVI Period", "Period for the Relative Vigor Index", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candles used for analysis", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousAverage = null;
		_previousSignal = null;
	}

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

		var rvi = new ExponentialMovingAverage { Length = RviPeriod };
		var signal = new ExponentialMovingAverage { Length = RviPeriod * 2 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rvi, signal, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_previousAverage.HasValue && _previousSignal.HasValue)
		{
			var longSignal = _previousAverage.Value <= _previousSignal.Value && avgValue > sigValue;
			var shortSignal = _previousAverage.Value >= _previousSignal.Value && avgValue < sigValue;

			if (longSignal && Position <= 0)
			{
				BuyMarket();
			}
			else if (shortSignal && Position >= 0)
			{
				SellMarket();
			}
		}

		_previousAverage = avgValue;
		_previousSignal = sigValue;
	}
}

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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._rvi_period = self.Param("RviPeriod", 20)

        self._prev_avg = 0.0
        self._prev_sig = 0.0
        self._has_prev = False

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    @property
    def RviPeriod(self):
        return self._rvi_period.Value

    @RviPeriod.setter
    def RviPeriod(self, value):
        self._rvi_period.Value = value

    def OnReseted(self):
        super(fast_slow_rvi_crossover_strategy, self).OnReseted()
        self._prev_avg = 0.0
        self._prev_sig = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(fast_slow_rvi_crossover_strategy, self).OnStarted2(time)
        self._prev_avg = 0.0
        self._prev_sig = 0.0
        self._has_prev = False

        rvi = ExponentialMovingAverage()
        rvi.Length = self.RviPeriod
        signal = ExponentialMovingAverage()
        signal.Length = self.RviPeriod * 2

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(rvi, signal, self._process_candle).Start()

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

        avg_val = float(avg_value)
        sig_val = float(sig_value)

        if self._has_prev:
            long_signal = self._prev_avg <= self._prev_sig and avg_val > sig_val
            short_signal = self._prev_avg >= self._prev_sig and avg_val < sig_val

            if long_signal and self.Position <= 0:
                self.BuyMarket()
            elif short_signal and self.Position >= 0:
                self.SellMarket()

        self._prev_avg = avg_val
        self._prev_sig = sig_val
        self._has_prev = True

    def CreateClone(self):
        return fast_slow_rvi_crossover_strategy()