Estrategia de ruptura de Bull Row

namespace StockSharp.Samples.Strategies;

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

using StockSharp.Algo;

/// <summary>
/// Strategy converted from the "BULL row full EA" expert advisor.
/// </summary>
public class BullRowBreakoutStrategy : Strategy
{
	private readonly List<ICandleMessage> _candles = new();
	private readonly Queue<decimal> _stochasticHistory = new();
	private StochasticOscillator _stochastic = null!;
	private decimal? _stopPrice;
	private decimal? _takeProfitPrice;

	private readonly StrategyParam<TimeSpan> _candleTimeFrame;
	private readonly StrategyParam<int> _stopLossLookback;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<int> _bearRowSize;
	private readonly StrategyParam<decimal> _bearMinBody;
	private readonly StrategyParam<RowSequenceModes> _bearRowMode;
	private readonly StrategyParam<int> _bearShift;
	private readonly StrategyParam<int> _bullRowSize;
	private readonly StrategyParam<decimal> _bullMinBody;
	private readonly StrategyParam<RowSequenceModes> _bullRowMode;
	private readonly StrategyParam<int> _bullShift;
	private readonly StrategyParam<int> _breakoutLookback;
	private readonly StrategyParam<int> _stochasticKPeriod;
	private readonly StrategyParam<int> _stochasticDPeriod;
	private readonly StrategyParam<int> _stochasticSlowing;
	private readonly StrategyParam<int> _stochasticRangePeriod;
	private readonly StrategyParam<decimal> _stochasticUpperLevel;
	private readonly StrategyParam<decimal> _stochasticLowerLevel;

	/// <summary>
	/// Initializes a new instance of the <see cref="BullRowBreakoutStrategy"/> class.
	/// </summary>
	public BullRowBreakoutStrategy()
	{
		_candleTimeFrame = Param(nameof(CandleTimeFrame), TimeSpan.FromMinutes(5))
		.SetDisplay("Timeframe", "Primary candle timeframe", "Market")
		;

		_stopLossLookback = Param(nameof(StopLossLookback), 10)
		.SetDisplay("Stop loss bars", "Bars used to locate protective stop", "Risk")
		;

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 100m)
		.SetDisplay("Take profit %", "Reward distance relative to stop", "Risk")
		;

		_bearRowSize = Param(nameof(BearRowSize), 3)
		.SetDisplay("Bear row size", "Required consecutive bearish candles", "Pattern")
		;

		_bearMinBody = Param(nameof(BearMinBody), 0m)
		.SetDisplay("Bear min body", "Minimum bearish candle body (price steps)", "Pattern")
		;

		_bearRowMode = Param(nameof(BearRowMode), RowSequenceModes.Normal)
		.SetDisplay("Bear row mode", "Body size progression for bearish row", "Pattern")
		;

		_bearShift = Param(nameof(BearShift), 3)
		.SetDisplay("Bear row shift", "How many bars back the bearish row starts", "Pattern")
		;

		_bullRowSize = Param(nameof(BullRowSize), 2)
		.SetDisplay("Bull row size", "Required consecutive bullish candles", "Pattern")
		;

		_bullMinBody = Param(nameof(BullMinBody), 0m)
		.SetDisplay("Bull min body", "Minimum bullish candle body (price steps)", "Pattern")
		;

		_bullRowMode = Param(nameof(BullRowMode), RowSequenceModes.Normal)
		.SetDisplay("Bull row mode", "Body size progression for bullish row", "Pattern")
		;

		_bullShift = Param(nameof(BullShift), 1)
		.SetDisplay("Bull row shift", "How many bars back the bullish row starts", "Pattern")
		;

		_breakoutLookback = Param(nameof(BreakoutLookback), 10)
		.SetDisplay("Breakout lookback", "Bars checked for the breakout filter", "Pattern")
		;

		_stochasticKPeriod = Param(nameof(StochasticKPeriod), 40)
		.SetDisplay("Stochastic %K", "%K period", "Indicators")
		;

		_stochasticDPeriod = Param(nameof(StochasticDPeriod), 8)
		.SetDisplay("Stochastic %D", "%D period", "Indicators")
		;

		_stochasticSlowing = Param(nameof(StochasticSlowing), 10)
		.SetDisplay("Stochastic slowing", "Smoothing applied to %K", "Indicators")
		;

		_stochasticRangePeriod = Param(nameof(StochasticRangePeriod), 3)
		.SetDisplay("Stochastic bars", "Bars that must remain inside the oscillator channel", "Indicators")
		;

		_stochasticUpperLevel = Param(nameof(StochasticUpperLevel), 70m)
		.SetDisplay("Stochastic upper", "Upper bound for the oscillator", "Indicators")
		;

		_stochasticLowerLevel = Param(nameof(StochasticLowerLevel), 30m)
		.SetDisplay("Stochastic lower", "Lower bound for the oscillator", "Indicators")
		;
	}

	/// <summary>
	/// Primary candle timeframe.
	/// </summary>
	public TimeSpan CandleTimeFrame
	{
		get => _candleTimeFrame.Value;
		set => _candleTimeFrame.Value = value;
	}

	/// <summary>
	/// Bars used to locate the stop price.
	/// </summary>
	public int StopLossLookback
	{
		get => _stopLossLookback.Value;
		set => _stopLossLookback.Value = value;
	}

	/// <summary>
	/// Take profit distance relative to the stop in percent.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	/// <summary>
	/// Bearish row length in candles.
	/// </summary>
	public int BearRowSize
	{
		get => _bearRowSize.Value;
		set => _bearRowSize.Value = value;
	}

	/// <summary>
	/// Minimum bearish body expressed in price steps.
	/// </summary>
	public decimal BearMinBody
	{
		get => _bearMinBody.Value;
		set => _bearMinBody.Value = value;
	}

	/// <summary>
	/// Bearish row body progression requirement.
	/// </summary>
	public RowSequenceModes BearRowMode
	{
		get => _bearRowMode.Value;
		set => _bearRowMode.Value = value;
	}

	/// <summary>
	/// Offset in bars where the bearish row starts.
	/// </summary>
	public int BearShift
	{
		get => _bearShift.Value;
		set => _bearShift.Value = value;
	}

	/// <summary>
	/// Bullish row length in candles.
	/// </summary>
	public int BullRowSize
	{
		get => _bullRowSize.Value;
		set => _bullRowSize.Value = value;
	}

	/// <summary>
	/// Minimum bullish body expressed in price steps.
	/// </summary>
	public decimal BullMinBody
	{
		get => _bullMinBody.Value;
		set => _bullMinBody.Value = value;
	}

	/// <summary>
	/// Bullish row body progression requirement.
	/// </summary>
	public RowSequenceModes BullRowMode
	{
		get => _bullRowMode.Value;
		set => _bullRowMode.Value = value;
	}

	/// <summary>
	/// Offset in bars where the bullish row starts.
	/// </summary>
	public int BullShift
	{
		get => _bullShift.Value;
		set => _bullShift.Value = value;
	}

	/// <summary>
	/// Lookback used to determine the breakout high.
	/// </summary>
	public int BreakoutLookback
	{
		get => _breakoutLookback.Value;
		set => _breakoutLookback.Value = value;
	}

	/// <summary>
	/// Stochastic %K length.
	/// </summary>
	public int StochasticKPeriod
	{
		get => _stochasticKPeriod.Value;
		set => _stochasticKPeriod.Value = value;
	}

	/// <summary>
	/// Stochastic %D length.
	/// </summary>
	public int StochasticDPeriod
	{
		get => _stochasticDPeriod.Value;
		set => _stochasticDPeriod.Value = value;
	}

	/// <summary>
	/// Additional smoothing applied to %K.
	/// </summary>
	public int StochasticSlowing
	{
		get => _stochasticSlowing.Value;
		set => _stochasticSlowing.Value = value;
	}

	/// <summary>
	/// Number of candles that must remain inside the Stochastic channel.
	/// </summary>
	public int StochasticRangePeriod
	{
		get => _stochasticRangePeriod.Value;
		set => _stochasticRangePeriod.Value = value;
	}

	/// <summary>
	/// Upper bound for the Stochastic filter.
	/// </summary>
	public decimal StochasticUpperLevel
	{
		get => _stochasticUpperLevel.Value;
		set => _stochasticUpperLevel.Value = value;
	}

	/// <summary>
	/// Lower bound for the Stochastic filter.
	/// </summary>
	public decimal StochasticLowerLevel
	{
		get => _stochasticLowerLevel.Value;
		set => _stochasticLowerLevel.Value = value;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_candles.Clear();
		_stochasticHistory.Clear();
		_stopPrice = null;
		_takeProfitPrice = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_candles.Clear();
		_stochasticHistory.Clear();
		_stopPrice = null;
		_takeProfitPrice = null;

		_stochastic = new StochasticOscillator
		{
			K = { Length = StochasticKPeriod },
			D = { Length = StochasticDPeriod },
		};

		var subscription = SubscribeCandles(CandleTimeFrame.TimeFrame());
		subscription
		.BindEx(_stochastic, ProcessCandle)
		.Start();

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

		StartProtection(null, null);
	}

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

		var stoch = (StochasticOscillatorValue)stochasticValue;
		if (!stochasticValue.IsFinal || stoch.K is not decimal kValue || stoch.D is not decimal dValue)
		return;

		_candles.Add(candle);
		var maxNeeded = Math.Max(Math.Max(BearShift + BearRowSize - 1, BullShift + BullRowSize - 1), Math.Max(StopLossLookback, BreakoutLookback));
		if (_candles.Count > Math.Max(maxNeeded + 5, StochasticRangePeriod + 5))
		_candles.RemoveAt(0);

		_stochasticHistory.Enqueue(kValue);
		while (_stochasticHistory.Count > Math.Max(StochasticRangePeriod, 1))
		_stochasticHistory.Dequeue();

		ManageProtectiveLevels(candle);

		if (Position > 0m)
		return;

		if (!HasEnoughHistory())
		return;

		if (!HasBearRow())
		return;

		if (!HasBullRow())
		return;

		if (!HasBreakout())
		return;

		if (!HasStochasticCross(kValue, dValue))
		return;

		if (!IsStochasticContained())
		return;

		var volume = Volume;
		if (volume <= 0m)
		return;

		var stopPrice = CalculateStopPrice();
		if (stopPrice is null)
		return;

		var entryPrice = candle.ClosePrice;
		var risk = entryPrice - stopPrice.Value;
		if (risk <= 0m)
		return;

		var reward = risk * TakeProfitPercent / 100m;
		var takeProfitPrice = entryPrice + reward;

		if (BuyMarket(volume) is null)
		return;

		_stopPrice = stopPrice;
		_takeProfitPrice = takeProfitPrice;
	}

	private void ManageProtectiveLevels(ICandleMessage candle)
	{
		if (Position <= 0m)
		return;

		if (_stopPrice is decimal stop && candle.LowPrice <= stop)
		{
			SellMarket(Math.Abs(Position));
			ResetProtection();
			return;
		}

		if (_takeProfitPrice is decimal take && candle.HighPrice >= take)
		{
			SellMarket(Math.Abs(Position));
			ResetProtection();
			return;
		}
	}
	private void ResetProtection()
	{
		_stopPrice = null;
		_takeProfitPrice = null;
	}

	private bool HasEnoughHistory()
	{
		if (_candles.Count < Math.Max(BreakoutLookback, StopLossLookback))
		return false;

		var bearRequirement = BearShift + BearRowSize - 1;
		var bullRequirement = BullShift + BullRowSize - 1;
		var minCandles = Math.Max(bearRequirement, bullRequirement);
		return _candles.Count >= Math.Max(minCandles, 2);
	}

	private bool HasBearRow() => HasRow(BearRowSize, BearMinBody, BearRowMode, BearShift, isBullish: false);

	private bool HasBullRow() => HasRow(BullRowSize, BullMinBody, BullRowMode, BullShift, isBullish: true);

	private bool HasRow(int size, decimal minBody, RowSequenceModes mode, int shift, bool isBullish)
	{
		if (size <= 0 || shift <= 0)
		return false;

		var maxShift = shift + size - 1;
		if (_candles.Count < maxShift)
		return false;

		var bodyStep = Security?.PriceStep ?? 0m;
		if (bodyStep <= 0m)
		bodyStep = 1m;

		var minBodyValue = minBody * bodyStep;
		decimal previousBody = 0m;

		for (var i = 0; i < size; i++)
		{
			var candle = GetCandle(shift + i);
			var body = isBullish ? candle.ClosePrice - candle.OpenPrice : candle.OpenPrice - candle.ClosePrice;

			if (body <= 0m)
			return false;

			if (body < minBodyValue)
			return false;

			if (mode == RowSequenceModes.Bigger && previousBody > 0m && body <= previousBody)
			return false;

			if (mode == RowSequenceModes.Smaller && previousBody > 0m && body >= previousBody)
			return false;

			previousBody = body;
		}

		return true;
	}

	private bool HasBreakout()
	{
		if (BreakoutLookback <= 2)
		return false;

		var prevClose = GetCandle(1).ClosePrice;
		var highest = decimal.MinValue;

		for (var shift = 2; shift <= BreakoutLookback; shift++)
		{
			var candle = GetCandle(shift);
			highest = Math.Max(highest, candle.HighPrice);
		}

		return prevClose > highest;
	}

	private bool HasStochasticCross(decimal kValue, decimal dValue)
	{
		return kValue > dValue;
	}

	private bool IsStochasticContained()
	{
		if (StochasticRangePeriod <= 0)
		return true;

		if (_stochasticHistory.Count < StochasticRangePeriod)
		return false;

		var history = _stochasticHistory.ToArray();
		return history.All(v => v <= StochasticUpperLevel && v >= StochasticLowerLevel);
	}

	private decimal? CalculateStopPrice()
	{
		if (StopLossLookback <= 0)
		return null;

		var lowest = decimal.MaxValue;
		var bars = Math.Min(StopLossLookback, _candles.Count);
		for (var shift = 1; shift <= bars; shift++)
		{
			var candle = GetCandle(shift);
			lowest = Math.Min(lowest, candle.LowPrice);
		}

		return lowest == decimal.MaxValue ? null : lowest;
	}

	private ICandleMessage GetCandle(int shift)
	{
		return _candles[^shift];
	}

	public enum RowSequenceModes
	{
		/// <summary>
		/// Only direction and minimum body size are checked.
		/// </summary>
		Normal,

		/// <summary>
		/// Each candle must have a larger body than the previous one.
		/// </summary>
		Bigger,

		/// <summary>
		/// Each candle must have a smaller body than the previous one.
		/// </summary>
		Smaller
	}
}

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 bull_row_breakout_strategy(Strategy):
    def __init__(self):
        super(bull_row_breakout_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._ema_period = self.Param("EmaPeriod", 20)
        self._bull_row_size = self.Param("BullRowSize", 2)
        self._breakout_lookback = self.Param("BreakoutLookback", 10)
        self._stop_loss_pct = self.Param("StopLossPct", 2.0)
        self._take_profit_pct = self.Param("TakeProfitPct", 3.0)

        self._candles = []
        self._entry_price = 0.0
        self._has_prev = False
        self._prev_close = 0.0
        self._prev_ema = 0.0

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

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

    @property
    def EmaPeriod(self):
        return self._ema_period.Value

    @EmaPeriod.setter
    def EmaPeriod(self, value):
        self._ema_period.Value = value

    @property
    def BullRowSize(self):
        return self._bull_row_size.Value

    @BullRowSize.setter
    def BullRowSize(self, value):
        self._bull_row_size.Value = value

    @property
    def BreakoutLookback(self):
        return self._breakout_lookback.Value

    @BreakoutLookback.setter
    def BreakoutLookback(self, value):
        self._breakout_lookback.Value = value

    @property
    def StopLossPct(self):
        return self._stop_loss_pct.Value

    @StopLossPct.setter
    def StopLossPct(self, value):
        self._stop_loss_pct.Value = value

    @property
    def TakeProfitPct(self):
        return self._take_profit_pct.Value

    @TakeProfitPct.setter
    def TakeProfitPct(self, value):
        self._take_profit_pct.Value = value

    def OnReseted(self):
        super(bull_row_breakout_strategy, self).OnReseted()
        self._candles = []
        self._entry_price = 0.0
        self._has_prev = False
        self._prev_close = 0.0
        self._prev_ema = 0.0

    def OnStarted2(self, time):
        super(bull_row_breakout_strategy, self).OnStarted2(time)
        self._candles = []
        self._entry_price = 0.0
        self._has_prev = False
        self._prev_close = 0.0
        self._prev_ema = 0.0

        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod

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

    def _has_bull_row(self):
        size = self.BullRowSize
        if len(self._candles) < size:
            return False
        for i in range(size):
            c = self._candles[-(i + 1)]
            if float(c.ClosePrice) <= float(c.OpenPrice):
                return False
        return True

    def _has_breakout(self):
        lookback = self.BreakoutLookback
        if len(self._candles) < lookback + 1:
            return False
        prev_close = float(self._candles[-1].ClosePrice)
        highest = float('-inf')
        for i in range(2, min(lookback + 1, len(self._candles) + 1)):
            if i <= len(self._candles):
                highest = max(highest, float(self._candles[-i].HighPrice))
        return prev_close > highest

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

        close = float(candle.ClosePrice)
        ema_val = float(ema_value)

        # Check SL/TP on existing position
        if self.Position != 0 and self._entry_price > 0:
            if self.Position > 0:
                pnl_pct = (close - self._entry_price) / self._entry_price * 100.0
                if pnl_pct <= -float(self.StopLossPct) or pnl_pct >= float(self.TakeProfitPct):
                    self.SellMarket()
                    self._entry_price = 0.0
            elif self.Position < 0:
                pnl_pct = (self._entry_price - close) / self._entry_price * 100.0
                if pnl_pct <= -float(self.StopLossPct) or pnl_pct >= float(self.TakeProfitPct):
                    self.BuyMarket()
                    self._entry_price = 0.0

        self._candles.append(candle)
        max_needed = max(self.BullRowSize, self.BreakoutLookback) + 5
        if len(self._candles) > max_needed:
            self._candles.pop(0)

        if self._has_prev:
            # Buy: EMA crossover + bull row + breakout
            if self._prev_close <= self._prev_ema and close > ema_val and self._has_bull_row() and self.Position <= 0:
                self.BuyMarket()
                self._entry_price = close
            elif self._prev_close >= self._prev_ema and close < ema_val and self.Position >= 0:
                self.SellMarket()
                self._entry_price = close

        self._prev_close = close
        self._prev_ema = ema_val
        self._has_prev = True

    def CreateClone(self):
        return bull_row_breakout_strategy()