Estrategia de reversión de fuerza extrema

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;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Extreme Strength Reversal strategy converted from MQL.
/// Enters counter-trend trades when price pierces Bollinger Bands and RSI shows an extreme reading.
/// Uses percent-based risk sizing with fixed stop-loss and take-profit distances expressed in pips.
/// </summary>
public class ExtremeStrengthReversalStrategy : Strategy
{
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<DataType> _candleType;

	private BollingerBands _bollinger;
	private RelativeStrengthIndex _rsi;

	private decimal? _stopLossPrice;
	private decimal? _takeProfitPrice;
	private decimal? _entryPrice;

	/// <summary>
	/// Risk percentage applied to portfolio equity for sizing.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

	/// <summary>
	/// Stop-loss distance expressed in MetaTrader pips.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take-profit distance expressed in MetaTrader pips.
	/// </summary>
	public int TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Bollinger Bands lookback period.
	/// </summary>
	public int BollingerPeriod
	{
		get => _bollingerPeriod.Value;
		set => _bollingerPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for Bollinger Bands.
	/// </summary>
	public decimal BollingerDeviation
	{
		get => _bollingerDeviation.Value;
		set => _bollingerDeviation.Value = value;
	}

	/// <summary>
	/// RSI lookback period.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	/// <summary>
	/// Overbought threshold for RSI.
	/// </summary>
	public decimal RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	/// <summary>
	/// Oversold threshold for RSI.
	/// </summary>
	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	/// <summary>
	/// Candle type used for indicator calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public ExtremeStrengthReversalStrategy()
	{
		_riskPercent = Param(nameof(RiskPercent), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Risk Percent", "Risk per trade as percentage of equity.", "Risk Management")
			
			.SetOptimize(0.5m, 5m, 0.5m);

		_stopLossPips = Param(nameof(StopLossPips), 150)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss (pips)", "Stop-loss distance in pips.", "Risk Management")
			
			.SetOptimize(50, 250, 10);

		_takeProfitPips = Param(nameof(TakeProfitPips), 300)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit (pips)", "Take-profit distance in pips.", "Risk Management")
			
			.SetOptimize(100, 400, 20);

		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Number of candles used for Bollinger Bands.", "Indicators")
			
			.SetOptimize(10, 40, 5);

		_bollingerDeviation = Param(nameof(BollingerDeviation), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Standard deviation multiplier for Bollinger Bands.", "Indicators")
			
			.SetOptimize(1m, 3m, 0.25m);

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Number of candles used for RSI.", "Indicators")
			
			.SetOptimize(7, 28, 1);

		_rsiOverbought = Param(nameof(RsiOverbought), 65m)
			.SetDisplay("RSI Overbought", "RSI level that marks extreme overbought conditions.", "Indicators")
			
			.SetOptimize(60m, 90m, 5m);

		_rsiOversold = Param(nameof(RsiOversold), 35m)
			.SetDisplay("RSI Oversold", "RSI level that marks extreme oversold conditions.", "Indicators")
			
			.SetOptimize(10m, 40m, 5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe used for analysis.", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_bollinger = null;
		_rsi = null;
		ResetTradeState();
	}

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

		_bollinger = new BollingerBands
		{
			Length = BollingerPeriod,
			Width = BollingerDeviation
		};

		_rsi = new RelativeStrengthIndex
		{
			Length = RsiPeriod
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_bollinger, _rsi, ProcessCandle)
			.Start();

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

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

		if (bbValue is not IBollingerBandsValue bb)
			return;

		var middleBand = bb.MovingAverage ?? 0m;
		var upperBand = bb.UpBand ?? 0m;
		var lowerBand = bb.LowBand ?? 0m;
		var rsiValue = rsiInd.ToDecimal();

		if (middleBand == 0m)
			return;

		ManageOpenPosition(candle);

		if (Position != 0m)
			return;

		var closePrice = candle.ClosePrice;
		var openPrice = candle.OpenPrice;

		var bullishReversal = rsiValue < RsiOversold && rsiValue > 0m && candle.LowPrice < lowerBand && closePrice > openPrice;
		if (bullishReversal)
		{
			TryEnterLong(closePrice);
			return;
		}

		var bearishReversal = rsiValue > RsiOverbought && candle.HighPrice > upperBand && closePrice < openPrice;
		if (bearishReversal)
			TryEnterShort(closePrice);
	}

	private void TryEnterLong(decimal closePrice)
	{
		var volume = CalculateOrderVolume();
		if (volume <= 0m)
			return;

		if (Position < 0m)
			BuyMarket(-Position);

		BuyMarket(volume);
		_entryPrice = closePrice;
		_stopLossPrice = StopLossPips > 0 ? closePrice - GetPipOffset(StopLossPips) : null;
		_takeProfitPrice = TakeProfitPips > 0 ? closePrice + GetPipOffset(TakeProfitPips) : null;
	}

	private void TryEnterShort(decimal closePrice)
	{
		var volume = CalculateOrderVolume();
		if (volume <= 0m)
			return;

		if (Position > 0m)
			SellMarket(Position);

		SellMarket(volume);
		_entryPrice = closePrice;
		_stopLossPrice = StopLossPips > 0 ? closePrice + GetPipOffset(StopLossPips) : null;
		_takeProfitPrice = TakeProfitPips > 0 ? closePrice - GetPipOffset(TakeProfitPips) : null;
	}

	private void ManageOpenPosition(ICandleMessage candle)
	{
		if (Position > 0m)
		{
			if (_stopLossPrice.HasValue && candle.LowPrice <= _stopLossPrice.Value)
			{
				SellMarket(Position);
				ResetTradeState();
				return;
			}

			if (_takeProfitPrice.HasValue && candle.HighPrice >= _takeProfitPrice.Value)
			{
				SellMarket(Position);
				ResetTradeState();
			}
		}
		else if (Position < 0m)
		{
			var shortPosition = -Position;

			if (_stopLossPrice.HasValue && candle.HighPrice >= _stopLossPrice.Value)
			{
				BuyMarket(shortPosition);
				ResetTradeState();
				return;
			}

			if (_takeProfitPrice.HasValue && candle.LowPrice <= _takeProfitPrice.Value)
			{
				BuyMarket(shortPosition);
				ResetTradeState();
			}
		}
		else if (_stopLossPrice.HasValue || _takeProfitPrice.HasValue || _entryPrice.HasValue)
		{
			ResetTradeState();
		}
	}

	private decimal CalculateOrderVolume()
	{
		if (Volume > 0m)
			return Volume;

		if (RiskPercent <= 0m)
			return 0m;

		var stopDistance = GetStopDistance();
		if (stopDistance <= 0m)
			return 0m;

		var portfolio = Portfolio;
		if (portfolio is null)
			return 0m;

		var equity = portfolio.CurrentValue ?? portfolio.BeginValue ?? 0m;
		if (equity <= 0m)
			return 0m;

		var riskAmount = equity * RiskPercent / 100m;
		if (riskAmount <= 0m)
			return 0m;

		var priceStep = Security?.PriceStep ?? 0m;
		var stepPrice = 1m;

		decimal perUnitRisk;
		if (priceStep > 0m && stepPrice > 0m)
		{
			perUnitRisk = stopDistance / priceStep * stepPrice;
		}
		else
		{
			perUnitRisk = stopDistance;
		}

		if (perUnitRisk <= 0m)
			return 0m;

		var rawVolume = riskAmount / perUnitRisk;
		if (rawVolume <= 0m)
			return 0m;

		rawVolume = NormalizeVolume(rawVolume);
		return rawVolume;
	}

	private decimal NormalizeVolume(decimal volume)
	{
		var minVolume = Security?.MinVolume ?? 0m;
		var maxVolume = Security?.MaxVolume ?? 0m;
		var step = Security?.VolumeStep ?? 0m;

		if (step > 0m && volume > 0m)
		{
			var steps = decimal.Floor(volume / step);
			if (steps <= 0m)
				steps = 1m;

			volume = steps * step;
		}

		if (minVolume > 0m && volume < minVolume)
			volume = minVolume;

		if (maxVolume > 0m && volume > maxVolume)
			volume = maxVolume;

		return Math.Max(volume, 0m);
	}

	private decimal GetStopDistance()
	{
		if (StopLossPips <= 0)
			return 0m;

		return GetPipOffset(StopLossPips);
	}

	private decimal GetPipOffset(int pips)
	{
		var pipSize = GetPipSize();
		if (pipSize <= 0m)
			return 0m;

		return pips * pipSize;
	}

	private decimal GetPipSize()
	{
		var step = Security?.PriceStep ?? 0m;
		if (step > 0m)
			return step;

		var decimals = Security?.Decimals;
		if (decimals.HasValue && decimals.Value > 0)
		{
			var value = Math.Pow(10, -decimals.Value);
			return Convert.ToDecimal(value);
		}

		return 0.0001m;
	}

	private void ResetTradeState()
	{
		_stopLossPrice = null;
		_takeProfitPrice = null;
		_entryPrice = null;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, Math
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import BollingerBands, RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy


class extreme_strength_reversal_strategy(Strategy):
    """BB + RSI extreme reversal with pip-based SL/TP."""

    def __init__(self):
        super(extreme_strength_reversal_strategy, self).__init__()

        self._risk_percent = self.Param("RiskPercent", 1.0) \
            .SetGreaterThanZero() \
            .SetDisplay("Risk Percent", "Risk per trade as percentage of equity", "Risk Management")
        self._stop_loss_pips = self.Param("StopLossPips", 150) \
            .SetGreaterThanZero() \
            .SetDisplay("Stop Loss (pips)", "Stop-loss distance in pips", "Risk Management")
        self._take_profit_pips = self.Param("TakeProfitPips", 300) \
            .SetGreaterThanZero() \
            .SetDisplay("Take Profit (pips)", "Take-profit distance in pips", "Risk Management")
        self._bollinger_period = self.Param("BollingerPeriod", 20) \
            .SetGreaterThanZero() \
            .SetDisplay("Bollinger Period", "Number of candles used for Bollinger Bands", "Indicators")
        self._bollinger_deviation = self.Param("BollingerDeviation", 1.5) \
            .SetGreaterThanZero() \
            .SetDisplay("Bollinger Deviation", "Standard deviation multiplier for Bollinger Bands", "Indicators")
        self._rsi_period = self.Param("RsiPeriod", 14) \
            .SetGreaterThanZero() \
            .SetDisplay("RSI Period", "Number of candles used for RSI", "Indicators")
        self._rsi_overbought = self.Param("RsiOverbought", 65.0) \
            .SetDisplay("RSI Overbought", "RSI level that marks extreme overbought conditions", "Indicators")
        self._rsi_oversold = self.Param("RsiOversold", 35.0) \
            .SetDisplay("RSI Oversold", "RSI level that marks extreme oversold conditions", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15))) \
            .SetDisplay("Candle Type", "Candle timeframe used for analysis", "General")

        self._stop_loss_price = None
        self._take_profit_price = None
        self._entry_price = None

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

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

    @property
    def RiskPercent(self):
        return self._risk_percent.Value

    @property
    def StopLossPips(self):
        return self._stop_loss_pips.Value

    @property
    def TakeProfitPips(self):
        return self._take_profit_pips.Value

    @property
    def BollingerPeriod(self):
        return self._bollinger_period.Value

    @property
    def BollingerDeviation(self):
        return self._bollinger_deviation.Value

    @property
    def RsiPeriod(self):
        return self._rsi_period.Value

    @property
    def RsiOverbought(self):
        return self._rsi_overbought.Value

    @property
    def RsiOversold(self):
        return self._rsi_oversold.Value

    def OnReseted(self):
        super(extreme_strength_reversal_strategy, self).OnReseted()
        self._stop_loss_price = None
        self._take_profit_price = None
        self._entry_price = None

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

        bollinger = BollingerBands()
        bollinger.Length = self.BollingerPeriod
        bollinger.Width = self.BollingerDeviation

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.BindEx(bollinger, rsi, self._process_candle).Start()

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

        upper_band = bb_value.UpBand
        lower_band = bb_value.LowBand

        if upper_band is None or lower_band is None:
            return

        upper = float(upper_band)
        lower = float(lower_band)
        rsi_value = float(rsi_ind)

        self._manage_open_position(candle)

        if self.Position != 0:
            return

        close_price = float(candle.ClosePrice)
        open_price = float(candle.OpenPrice)

        bullish_reversal = (rsi_value < float(self.RsiOversold) and rsi_value > 0
                            and float(candle.LowPrice) < lower and close_price > open_price)
        if bullish_reversal:
            self._try_enter_long(close_price)
            return

        bearish_reversal = (rsi_value > float(self.RsiOverbought)
                            and float(candle.HighPrice) > upper and close_price < open_price)
        if bearish_reversal:
            self._try_enter_short(close_price)

    def _try_enter_long(self, close_price):
        if self.Position < 0:
            self.BuyMarket(abs(self.Position))

        self.BuyMarket()

        pip_size = self._get_pip_size()
        self._entry_price = close_price
        self._stop_loss_price = close_price - self.StopLossPips * pip_size if self.StopLossPips > 0 else None
        self._take_profit_price = close_price + self.TakeProfitPips * pip_size if self.TakeProfitPips > 0 else None

    def _try_enter_short(self, close_price):
        if self.Position > 0:
            self.SellMarket(self.Position)

        self.SellMarket()

        pip_size = self._get_pip_size()
        self._entry_price = close_price
        self._stop_loss_price = close_price + self.StopLossPips * pip_size if self.StopLossPips > 0 else None
        self._take_profit_price = close_price - self.TakeProfitPips * pip_size if self.TakeProfitPips > 0 else None

    def _manage_open_position(self, candle):
        if self.Position > 0:
            if self._stop_loss_price is not None and float(candle.LowPrice) <= self._stop_loss_price:
                self.SellMarket(self.Position)
                self._reset_trade_state()
                return
            if self._take_profit_price is not None and float(candle.HighPrice) >= self._take_profit_price:
                self.SellMarket(self.Position)
                self._reset_trade_state()
        elif self.Position < 0:
            short_position = abs(self.Position)
            if self._stop_loss_price is not None and float(candle.HighPrice) >= self._stop_loss_price:
                self.BuyMarket(short_position)
                self._reset_trade_state()
                return
            if self._take_profit_price is not None and float(candle.LowPrice) <= self._take_profit_price:
                self.BuyMarket(short_position)
                self._reset_trade_state()
        elif self._stop_loss_price is not None or self._take_profit_price is not None or self._entry_price is not None:
            self._reset_trade_state()

    def _get_pip_size(self):
        if self.Security is not None and self.Security.PriceStep is not None:
            step = float(self.Security.PriceStep)
            if step > 0:
                return step
        return 0.0001

    def _reset_trade_state(self):
        self._stop_loss_price = None
        self._take_profit_price = None
        self._entry_price = None

    def CreateClone(self):
        return extreme_strength_reversal_strategy()