Estrategia de tendencia plana

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>
/// Flat Trend strategy - breakout from low volatility using ATR and EMA.
/// Buys when ATR expands and price is above EMA.
/// Sells when ATR expands and price is below EMA.
/// </summary>
public class FlatTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevAtr;
	private decimal _prevClose;
	private decimal _prevEma;
	private bool _hasPrev;

	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FlatTrendStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetDisplay("EMA Period", "EMA trend filter", "Indicators");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "ATR volatility period", "Indicators");

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

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevAtr = 0m; _prevClose = 0m; _prevEma = 0m; _hasPrev = false; }

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

		_hasPrev = false;

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevAtr = atr;
			_prevClose = close;
			_prevEma = ema;
			_hasPrev = true;
			return;
		}

		// Volatility expansion: ATR increasing
		var atrExpanding = atr > _prevAtr;

		// Breakout above EMA with expanding volatility
		if (atrExpanding && _prevClose <= _prevEma && close > ema && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Breakout below EMA with expanding volatility
		else if (atrExpanding && _prevClose >= _prevEma && close < ema && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevAtr = atr;
		_prevClose = close;
		_prevEma = ema;
	}
}

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, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy


class flat_trend_strategy(Strategy):
    def __init__(self):
        super(flat_trend_strategy, self).__init__()
        self._ema_period = self.Param("EmaPeriod", 20) \
            .SetDisplay("EMA Period", "EMA trend filter", "Indicators")
        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetDisplay("ATR Period", "ATR volatility period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_atr = 0.0
        self._prev_close = 0.0
        self._prev_ema = 0.0
        self._has_prev = False

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

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

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

    def OnReseted(self):
        super(flat_trend_strategy, self).OnReseted()
        self._prev_atr = 0.0
        self._prev_close = 0.0
        self._prev_ema = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(flat_trend_strategy, self).OnStarted2(time)
        self._has_prev = False
        ema = ExponentialMovingAverage()
        ema.Length = self.ema_period
        atr = AverageTrueRange()
        atr.Length = self.atr_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(ema, atr, self.process_candle).Start()

    def process_candle(self, candle, ema, atr):
        if candle.State != CandleStates.Finished:
            return
        close = float(candle.ClosePrice)
        ema_val = float(ema)
        atr_val = float(atr)
        if not self._has_prev:
            self._prev_atr = atr_val
            self._prev_close = close
            self._prev_ema = ema_val
            self._has_prev = True
            return
        atr_expanding = atr_val > self._prev_atr
        if atr_expanding and self._prev_close <= self._prev_ema and close > ema_val and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif atr_expanding and self._prev_close >= self._prev_ema and close < ema_val and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_atr = atr_val
        self._prev_close = close
        self._prev_ema = ema_val

    def CreateClone(self):
        return flat_trend_strategy()