Estrategia extrema del punto ideal

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// EMA slope + CCI filter strategy.
/// Buys when EMA slope is up and CCI is oversold.
/// Sells when EMA slope is down and CCI is overbought.
/// Exits on EMA slope reversal.
/// </summary>
public class SweetSpotExtremeStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _buyCciLevel;
	private readonly StrategyParam<decimal> _sellCciLevel;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private decimal _prevPrevEma;
	private bool _hasPrevEma;

	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	public decimal BuyCciLevel
	{
		get => _buyCciLevel.Value;
		set => _buyCciLevel.Value = value;
	}

	public decimal SellCciLevel
	{
		get => _sellCciLevel.Value;
		set => _sellCciLevel.Value = value;
	}

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

	public SweetSpotExtremeStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 50)
			.SetDisplay("EMA Period", "Trend EMA period", "Indicators");

		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetDisplay("CCI Period", "CCI lookback", "Indicators");

		_buyCciLevel = Param(nameof(BuyCciLevel), -50m)
			.SetDisplay("Buy CCI", "Oversold CCI level for buy", "Indicators");

		_sellCciLevel = Param(nameof(SellCciLevel), 50m)
			.SetDisplay("Sell CCI", "Overbought CCI level for sell", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle series", "General");
	}

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

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

		_prevEma = 0m;
		_prevPrevEma = 0m;
		_hasPrevEma = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevEma = 0;
		_prevPrevEma = 0;
		_hasPrevEma = false;

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, cci, ProcessCandle)
			.Start();

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

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

		if (!_hasPrevEma)
		{
			_prevPrevEma = emaValue;
			_prevEma = emaValue;
			_hasPrevEma = true;
			return;
		}

		var slopeUp = emaValue > _prevEma && _prevEma > _prevPrevEma;
		var slopeDown = emaValue < _prevEma && _prevEma < _prevPrevEma;

		// Entry
		if (slopeUp && cciValue <= BuyCciLevel && Position <= 0)
		{
			BuyMarket();
		}
		else if (slopeDown && cciValue >= SellCciLevel && Position >= 0)
		{
			SellMarket();
		}
		// Exit on slope reversal
		else if (Position > 0 && emaValue < _prevEma)
		{
			SellMarket();
		}
		else if (Position < 0 && emaValue > _prevEma)
		{
			BuyMarket();
		}

		_prevPrevEma = _prevEma;
		_prevEma = emaValue;
	}
}

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 CommodityChannelIndex, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class sweet_spot_extreme_strategy(Strategy):
    """EMA slope + CCI filter strategy. Buys when EMA slope is up and CCI is oversold.
    Sells when EMA slope is down and CCI is overbought. Exits on EMA slope reversal."""

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

        self._ema_period = self.Param("EmaPeriod", 50) \
            .SetDisplay("EMA Period", "Trend EMA period", "Indicators")
        self._cci_period = self.Param("CciPeriod", 14) \
            .SetDisplay("CCI Period", "CCI lookback", "Indicators")
        self._buy_cci_level = self.Param("BuyCciLevel", -50.0) \
            .SetDisplay("Buy CCI", "Oversold CCI level for buy", "Indicators")
        self._sell_cci_level = self.Param("SellCciLevel", 50.0) \
            .SetDisplay("Sell CCI", "Overbought CCI level for sell", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle series", "General")

        self._prev_ema = 0.0
        self._prev_prev_ema = 0.0
        self._has_prev_ema = False

    @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

    @property
    def CciPeriod(self):
        return self._cci_period.Value

    @property
    def BuyCciLevel(self):
        return self._buy_cci_level.Value

    @property
    def SellCciLevel(self):
        return self._sell_cci_level.Value

    def OnReseted(self):
        super(sweet_spot_extreme_strategy, self).OnReseted()
        self._prev_ema = 0.0
        self._prev_prev_ema = 0.0
        self._has_prev_ema = False

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

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

        cci = CommodityChannelIndex()
        cci.Length = self.CciPeriod

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

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

        ema_val = float(ema_value)
        cci_val = float(cci_value)

        if not self._has_prev_ema:
            self._prev_prev_ema = ema_val
            self._prev_ema = ema_val
            self._has_prev_ema = True
            return

        slope_up = ema_val > self._prev_ema and self._prev_ema > self._prev_prev_ema
        slope_down = ema_val < self._prev_ema and self._prev_ema < self._prev_prev_ema

        buy_cci = float(self.BuyCciLevel)
        sell_cci = float(self.SellCciLevel)

        # Entry
        if slope_up and cci_val <= buy_cci and self.Position <= 0:
            self.BuyMarket()
        elif slope_down and cci_val >= sell_cci and self.Position >= 0:
            self.SellMarket()
        # Exit on slope reversal
        elif self.Position > 0 and ema_val < self._prev_ema:
            self.SellMarket()
        elif self.Position < 0 and ema_val > self._prev_ema:
            self.BuyMarket()

        self._prev_prev_ema = self._prev_ema
        self._prev_ema = ema_val

    def CreateClone(self):
        return sweet_spot_extreme_strategy()