Estrategia de reversión de NRTR

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>
/// NRTR reversal strategy using ATR-based trailing stop.
/// Maintains a trailing line based on ATR distance from price extremes.
/// Reverses position when price crosses the trailing line.
/// </summary>
public class NrtrReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _trailLine;
	private decimal _extreme;
	private int _trend; // 1 = up, -1 = down, 0 = init
	private bool _isInitialized;

	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public NrtrReversalStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "ATR period for trailing", "Indicators");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetDisplay("ATR Multiplier", "ATR multiplier for trailing distance", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromDays(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

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

		_trailLine = 0m;
		_extreme = 0m;
		_trend = 0;
		_isInitialized = false;
	}

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

		_isInitialized = false;
		_trend = 0;

		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(atr, ProcessCandle)
			.Start();
	}

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

		var close = candle.ClosePrice;
		var offset = atrValue * AtrMultiplier;

		if (!_isInitialized)
		{
			_extreme = close;
			_trailLine = close - offset;
			_trend = 1;
			_isInitialized = true;
			return;
		}

		if (_trend == 1)
		{
			if (close > _extreme)
				_extreme = close;

			_trailLine = Math.Max(_trailLine, _extreme - offset);

			if (close < _trailLine)
			{
				// Switch to downtrend
				_trend = -1;
				_extreme = close;
				_trailLine = close + offset;

				if (Position > 0)
					SellMarket();
				SellMarket();
			}
			else if (Position <= 0)
			{
				if (Position < 0)
					BuyMarket();
				BuyMarket();
			}
		}
		else
		{
			if (close < _extreme)
				_extreme = close;

			_trailLine = Math.Min(_trailLine, _extreme + offset);

			if (close > _trailLine)
			{
				// Switch to uptrend
				_trend = 1;
				_extreme = close;
				_trailLine = close - offset;

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

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 AverageTrueRange
from StockSharp.Algo.Strategies import Strategy


class nrtr_reversal_strategy(Strategy):
    """NRTR reversal strategy using ATR-based trailing stop.
    Maintains a trailing line based on ATR distance from price extremes.
    Reverses position when price crosses the trailing line."""

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

        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetDisplay("ATR Period", "ATR period for trailing", "Indicators")
        self._atr_multiplier = self.Param("AtrMultiplier", 2.0) \
            .SetDisplay("ATR Multiplier", "ATR multiplier for trailing distance", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromDays(1))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._trail_line = 0.0
        self._extreme = 0.0
        self._trend = 0
        self._is_initialized = False

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

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

    @property
    def AtrPeriod(self):
        return self._atr_period.Value

    @property
    def AtrMultiplier(self):
        return self._atr_multiplier.Value

    def OnReseted(self):
        super(nrtr_reversal_strategy, self).OnReseted()
        self._trail_line = 0.0
        self._extreme = 0.0
        self._trend = 0
        self._is_initialized = False

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

        self._is_initialized = False
        self._trend = 0

        atr = AverageTrueRange()
        atr.Length = self.AtrPeriod

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

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

        close = float(candle.ClosePrice)
        atr_val = float(atr_value)
        offset = atr_val * float(self.AtrMultiplier)

        if not self._is_initialized:
            self._extreme = close
            self._trail_line = close - offset
            self._trend = 1
            self._is_initialized = True
            return

        if self._trend == 1:
            if close > self._extreme:
                self._extreme = close

            candidate = self._extreme - offset
            if candidate > self._trail_line:
                self._trail_line = candidate

            if close < self._trail_line:
                # Switch to downtrend
                self._trend = -1
                self._extreme = close
                self._trail_line = close + offset

                if self.Position > 0:
                    self.SellMarket()
                self.SellMarket()
            elif self.Position <= 0:
                if self.Position < 0:
                    self.BuyMarket()
                self.BuyMarket()
        else:
            if close < self._extreme:
                self._extreme = close

            candidate = self._extreme + offset
            if candidate < self._trail_line:
                self._trail_line = candidate

            if close > self._trail_line:
                # Switch to uptrend
                self._trend = 1
                self._extreme = close
                self._trail_line = close - offset

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

    def CreateClone(self):
        return nrtr_reversal_strategy()