Estrategia de escape de reversión a la media

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Escape Mean Reversion: SMA crossover with ATR stops.
/// </summary>
public class EscapeMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevClose;
	private decimal _entryPrice;

	public EscapeMeanReversionStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_smaLength = Param(nameof(SmaLength), 5)
			.SetDisplay("SMA Length", "SMA period.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");
	}

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

	public int SmaLength
	{
		get => _smaLength.Value;
		set => _smaLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

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

		_prevClose = 0;
		_entryPrice = 0;
	}

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

		_prevClose = 0;
		_entryPrice = 0;

		var sma = new SimpleMovingAverage { Length = SmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

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

		var close = candle.ClosePrice;

		if (_prevClose == 0 || atrVal <= 0)
		{
			_prevClose = close;
			return;
		}

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 2m || close <= _entryPrice - atrVal * 1.5m || close > smaVal)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 2m || close >= _entryPrice + atrVal * 1.5m || close < smaVal)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (close < smaVal && _prevClose >= smaVal)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (close > smaVal && _prevClose <= smaVal)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevClose = close;
	}
}

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 SimpleMovingAverage, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy

class escape_mean_reversion_strategy(Strategy):
    """
    Escape Mean Reversion: SMA crossover with ATR stops.
    Buys when price crosses below SMA, sells when price crosses above SMA.
    Exits at ATR-based TP/SL levels.
    """

    def __init__(self):
        super(escape_mean_reversion_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._sma_length = self.Param("SmaLength", 5) \
            .SetDisplay("SMA Length", "SMA period", "Indicators")
        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period", "Indicators")

        self._prev_close = 0.0
        self._entry_price = 0.0

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

    def OnReseted(self):
        super(escape_mean_reversion_strategy, self).OnReseted()
        self._prev_close = 0.0
        self._entry_price = 0.0

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

        self._prev_close = 0.0
        self._entry_price = 0.0

        sma = SimpleMovingAverage()
        sma.Length = self._sma_length.Value
        atr = AverageTrueRange()
        atr.Length = self._atr_length.Value

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

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, sma)
            self.DrawOwnTrades(area)

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

        close = float(candle.ClosePrice)
        sma_val = float(sma_val)
        atr_val = float(atr_val)

        if self._prev_close == 0.0 or atr_val <= 0:
            self._prev_close = close
            return

        if self.Position > 0:
            if (close >= self._entry_price + atr_val * 2.0 or
                    close <= self._entry_price - atr_val * 1.5 or
                    close > sma_val):
                self.SellMarket()
                self._entry_price = 0.0
        elif self.Position < 0:
            if (close <= self._entry_price - atr_val * 2.0 or
                    close >= self._entry_price + atr_val * 1.5 or
                    close < sma_val):
                self.BuyMarket()
                self._entry_price = 0.0

        if self.Position == 0:
            if close < sma_val and self._prev_close >= sma_val:
                self._entry_price = close
                self.BuyMarket()
            elif close > sma_val and self._prev_close <= sma_val:
                self._entry_price = close
                self.SellMarket()

        self._prev_close = close

    def CreateClone(self):
        return escape_mean_reversion_strategy()