Estrategia de pivote L3H3

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>
/// L3/H3 Pivot strategy - trades around Highest/Lowest channel midpoint.
/// Buys when close crosses above the midpoint, sells when below.
/// Uses a longer lookback to simulate daily pivot levels.
/// </summary>
public class L3H3PivotStrategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private decimal _prevMid;
	private bool _hasPrev;

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

	public L3H3PivotStrategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 48)
			.SetDisplay("Channel Period", "Lookback for pivot channel", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).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();
		_prevClose = 0m;
		_prevMid = 0m;
		_hasPrev = false;
	}

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

		_hasPrev = false;

		var highest = new Highest { Length = ChannelPeriod };
		var lowest = new Lowest { Length = ChannelPeriod };

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

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

		var close = candle.ClosePrice;
		var mid = (high + low) / 2m;

		if (!_hasPrev)
		{
			_prevClose = close;
			_prevMid = mid;
			_hasPrev = true;
			return;
		}

		// Cross above midpoint
		if (_prevClose <= _prevMid && close > mid && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Cross below midpoint
		else if (_prevClose >= _prevMid && close < mid && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevClose = close;
		_prevMid = mid;
	}
}

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 Highest, Lowest
from StockSharp.Algo.Strategies import Strategy


class l3_h3_pivot_strategy(Strategy):
    """L3/H3 Pivot strategy - trades around Highest/Lowest channel midpoint.
    Buys when close crosses above the midpoint, sells when below.
    Uses a longer lookback to simulate daily pivot levels."""

    def __init__(self):
        super(l3_h3_pivot_strategy, self).__init__()

        self._channel_period = self.Param("ChannelPeriod", 48) \
            .SetDisplay("Channel Period", "Lookback for pivot channel", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._prev_close = 0.0
        self._prev_mid = 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 ChannelPeriod(self):
        return self._channel_period.Value

    def OnReseted(self):
        super(l3_h3_pivot_strategy, self).OnReseted()
        self._prev_close = 0.0
        self._prev_mid = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(l3_h3_pivot_strategy, self).OnStarted2(time)

        self._has_prev = False

        highest = Highest()
        highest.Length = self.ChannelPeriod
        lowest = Lowest()
        lowest.Length = self.ChannelPeriod

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

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

        high_val = float(high)
        low_val = float(low)
        close = float(candle.ClosePrice)
        mid = (high_val + low_val) / 2.0

        if not self._has_prev:
            self._prev_close = close
            self._prev_mid = mid
            self._has_prev = True
            return

        # Cross above midpoint
        if self._prev_close <= self._prev_mid and close > mid and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        # Cross below midpoint
        elif self._prev_close >= self._prev_mid and close < mid and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_close = close
        self._prev_mid = mid

    def CreateClone(self):
        return l3_h3_pivot_strategy()