Crypto Analysis戦略

using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Crypto Analysis: Bollinger/LWMA/RSI entry with higher-timeframe Momentum and MACD filters.
/// </summary>
public class CryptoAnalysisStrategy : Strategy
{
	private const int _rsiLength = 14;
	private const int _bandLength = 20;
	private const decimal _bandWidth = 2m;

	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<bool> _useMoneyTakeProfit;
	private readonly StrategyParam<decimal> _moneyTakeProfit;
	private readonly StrategyParam<bool> _usePercentTakeProfit;
	private readonly StrategyParam<decimal> _percentTakeProfit;
	private readonly StrategyParam<bool> _enableMoneyTrailing;
	private readonly StrategyParam<decimal> _moneyTrailTarget;
	private readonly StrategyParam<decimal> _moneyTrailStop;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _trailingStopPips;
	private readonly StrategyParam<bool> _useBreakEven;
	private readonly StrategyParam<int> _breakEvenTriggerPips;
	private readonly StrategyParam<int> _breakEvenOffsetPips;
	private readonly StrategyParam<int> _fastMaPeriod;
	private readonly StrategyParam<int> _slowMaPeriod;
	private readonly StrategyParam<int> _momentumPeriod;
	private readonly StrategyParam<decimal> _momentumBuyThreshold;
	private readonly StrategyParam<decimal> _momentumSellThreshold;
	private readonly StrategyParam<int> _macdFastLength;
	private readonly StrategyParam<int> _macdSlowLength;
	private readonly StrategyParam<int> _macdSignalLength;
	private readonly StrategyParam<bool> _useEquityStop;
	private readonly StrategyParam<decimal> _equityRiskPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DataType> _momentumCandleType;
	private readonly StrategyParam<DataType> _macdCandleType;

	private readonly RelativeStrengthIndex _rsi = new() { Length = _rsiLength };
	private readonly List<Bar> _primary = [];
	private readonly List<decimal> _momentumCloses = [];
	private readonly Queue<decimal> _momentumDeviations = new();

	private decimal? _macdFast;
	private decimal? _macdSlow;
	private decimal? _macdSignal;
	private bool _macdReady;
	private int _macdCount;

	private decimal _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takePrice;
	private decimal _bestPrice;
	private decimal _initialEquity;
	private decimal _peakEquity;
	private decimal? _moneyTrailPeak;

	public decimal OrderVolume { get => _orderVolume.Value; set => _orderVolume.Value = value; }
	public bool UseMoneyTakeProfit { get => _useMoneyTakeProfit.Value; set => _useMoneyTakeProfit.Value = value; }
	public decimal MoneyTakeProfit { get => _moneyTakeProfit.Value; set => _moneyTakeProfit.Value = value; }
	public bool UsePercentTakeProfit { get => _usePercentTakeProfit.Value; set => _usePercentTakeProfit.Value = value; }
	public decimal PercentTakeProfit { get => _percentTakeProfit.Value; set => _percentTakeProfit.Value = value; }
	public bool EnableMoneyTrailing { get => _enableMoneyTrailing.Value; set => _enableMoneyTrailing.Value = value; }
	public decimal MoneyTrailTarget { get => _moneyTrailTarget.Value; set => _moneyTrailTarget.Value = value; }
	public decimal MoneyTrailStop { get => _moneyTrailStop.Value; set => _moneyTrailStop.Value = value; }
	public int StopLossPips { get => _stopLossPips.Value; set => _stopLossPips.Value = value; }
	public int TakeProfitPips { get => _takeProfitPips.Value; set => _takeProfitPips.Value = value; }
	public int TrailingStopPips { get => _trailingStopPips.Value; set => _trailingStopPips.Value = value; }
	public bool UseBreakEven { get => _useBreakEven.Value; set => _useBreakEven.Value = value; }
	public int BreakEvenTriggerPips { get => _breakEvenTriggerPips.Value; set => _breakEvenTriggerPips.Value = value; }
	public int BreakEvenOffsetPips { get => _breakEvenOffsetPips.Value; set => _breakEvenOffsetPips.Value = value; }
	public int FastMaPeriod { get => _fastMaPeriod.Value; set => _fastMaPeriod.Value = value; }
	public int SlowMaPeriod { get => _slowMaPeriod.Value; set => _slowMaPeriod.Value = value; }
	public int MomentumPeriod { get => _momentumPeriod.Value; set => _momentumPeriod.Value = value; }
	public decimal MomentumBuyThreshold { get => _momentumBuyThreshold.Value; set => _momentumBuyThreshold.Value = value; }
	public decimal MomentumSellThreshold { get => _momentumSellThreshold.Value; set => _momentumSellThreshold.Value = value; }
	public int MacdFastLength { get => _macdFastLength.Value; set => _macdFastLength.Value = value; }
	public int MacdSlowLength { get => _macdSlowLength.Value; set => _macdSlowLength.Value = value; }
	public int MacdSignalLength { get => _macdSignalLength.Value; set => _macdSignalLength.Value = value; }
	public bool UseEquityStop { get => _useEquityStop.Value; set => _useEquityStop.Value = value; }
	public decimal EquityRiskPercent { get => _equityRiskPercent.Value; set => _equityRiskPercent.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public DataType MomentumCandleType { get => _momentumCandleType.Value; set => _momentumCandleType.Value = value; }
	public DataType MacdCandleType { get => _macdCandleType.Value; set => _macdCandleType.Value = value; }

	public CryptoAnalysisStrategy()
	{
		_orderVolume = Param(nameof(OrderVolume), 0.1m).SetGreaterThanZero();
		_useMoneyTakeProfit = Param(nameof(UseMoneyTakeProfit), false);
		_moneyTakeProfit = Param(nameof(MoneyTakeProfit), 100m).SetNotNegative();
		_usePercentTakeProfit = Param(nameof(UsePercentTakeProfit), false);
		_percentTakeProfit = Param(nameof(PercentTakeProfit), 1m).SetNotNegative();
		_enableMoneyTrailing = Param(nameof(EnableMoneyTrailing), false);
		_moneyTrailTarget = Param(nameof(MoneyTrailTarget), 50m).SetNotNegative();
		_moneyTrailStop = Param(nameof(MoneyTrailStop), 20m).SetNotNegative();
		_stopLossPips = Param(nameof(StopLossPips), 50).SetNotNegative();
		_takeProfitPips = Param(nameof(TakeProfitPips), 100).SetNotNegative();
		_trailingStopPips = Param(nameof(TrailingStopPips), 30).SetNotNegative();
		_useBreakEven = Param(nameof(UseBreakEven), true);
		_breakEvenTriggerPips = Param(nameof(BreakEvenTriggerPips), 30).SetNotNegative();
		_breakEvenOffsetPips = Param(nameof(BreakEvenOffsetPips), 2).SetNotNegative();
		_fastMaPeriod = Param(nameof(FastMaPeriod), 6).SetGreaterThanZero();
		_slowMaPeriod = Param(nameof(SlowMaPeriod), 85).SetGreaterThanZero();
		_momentumPeriod = Param(nameof(MomentumPeriod), 14).SetGreaterThanZero();
		_momentumBuyThreshold = Param(nameof(MomentumBuyThreshold), 0.3m).SetNotNegative();
		_momentumSellThreshold = Param(nameof(MomentumSellThreshold), 0.3m).SetNotNegative();
		_macdFastLength = Param(nameof(MacdFastLength), 12).SetGreaterThanZero();
		_macdSlowLength = Param(nameof(MacdSlowLength), 26).SetGreaterThanZero();
		_macdSignalLength = Param(nameof(MacdSignalLength), 9).SetGreaterThanZero();
		_useEquityStop = Param(nameof(UseEquityStop), false);
		_equityRiskPercent = Param(nameof(EquityRiskPercent), 10m).SetNotNegative();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame());
		_momentumCandleType = Param(nameof(MomentumCandleType), TimeSpan.FromHours(1).TimeFrame());
		_macdCandleType = Param(nameof(MacdCandleType), TimeSpan.FromHours(4).TimeFrame());
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, MomentumCandleType), (Security, MacdCandleType)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_rsi.Reset();
		_primary.Clear();
		_momentumCloses.Clear();
		_momentumDeviations.Clear();
		_macdFast = null;
		_macdSlow = null;
		_macdSignal = null;
		_macdReady = false;
		_macdCount = 0;
		ResetTradeState();
		_initialEquity = 0m;
		_peakEquity = 0m;
	}

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

		_initialEquity = Portfolio?.CurrentValue ?? Portfolio?.BeginValue ?? 0m;
		_peakEquity = _initialEquity;

		SubscribeCandles(MomentumCandleType).Bind(ProcessMomentum).Start();
		SubscribeCandles(MacdCandleType).Bind(ProcessMacd).Start();
		SubscribeCandles(CandleType).Bind(ProcessPrimary).Start();
	}

	private void ProcessMomentum(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_momentumCloses.Add(candle.ClosePrice);
		var keep = MomentumPeriod + 5;
		if (_momentumCloses.Count > keep)
			_momentumCloses.RemoveRange(0, _momentumCloses.Count - keep);

		if (_momentumCloses.Count <= MomentumPeriod)
			return;

		var previous = _momentumCloses[^(MomentumPeriod + 1)];
		if (previous == 0m)
			return;

		var momentum = candle.ClosePrice / previous * 100m;
		_momentumDeviations.Enqueue(Math.Abs(momentum - 100m));
		while (_momentumDeviations.Count > 3)
			_momentumDeviations.Dequeue();
	}

	private void ProcessMacd(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_macdCount++;
		_macdFast = Ema(_macdFast, candle.ClosePrice, MacdFastLength);
		_macdSlow = Ema(_macdSlow, candle.ClosePrice, MacdSlowLength);
		var main = _macdFast.Value - _macdSlow.Value;
		_macdSignal = Ema(_macdSignal, main, MacdSignalLength);
		_macdReady = _macdCount >= MacdSlowLength + MacdSignalLength;
	}

	private void ProcessPrimary(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var required = Math.Max(Math.Max(FastMaPeriod, SlowMaPeriod), _bandLength + 1);

		_primary.Add(new(candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice));
		if (_primary.Count > required + 5)
			_primary.RemoveRange(0, _primary.Count - required - 5);

		var rsiValue = _rsi.Process(candle.ClosePrice, candle.ServerTime, true);

		if (Position != 0 && ApplyRisk(candle))
			return;

		if (_primary.Count < required ||
			!_rsi.IsFormed ||
			_momentumDeviations.Count < 3 ||
			!_macdReady ||
			_macdSignal is null ||
			_macdFast is null ||
			_macdSlow is null)
			return;

		var previous = _primary[^2];
		var (upper, lower) = BollingerAtPrevious();
		var fast = Lwma(FastMaPeriod);
		var slow = Lwma(SlowMaPeriod);
		var rsi = rsiValue.ToDecimal();
		var momentum = _momentumDeviations.Max();
		var macdMain = _macdFast.Value - _macdSlow.Value;
		var macdSignal = _macdSignal.Value;

		var longSignal =
			previous.Low <= lower &&
			fast < slow &&
			rsi > 50m &&
			momentum > MomentumBuyThreshold &&
			macdMain > macdSignal;

		var shortSignal =
			previous.High >= upper &&
			fast < slow &&
			rsi < 50m &&
			momentum > MomentumSellThreshold &&
			macdMain < macdSignal;

		if (longSignal && Position <= 0m)
			Enter(Sides.Buy, candle.ClosePrice);
		else if (shortSignal && Position >= 0m)
			Enter(Sides.Sell, candle.ClosePrice);
	}

	private void Enter(Sides side, decimal price)
	{
		var volume = OrderVolume + Math.Abs(Position);
		if (side == Sides.Buy)
			BuyMarket(volume);
		else
			SellMarket(volume);

		_entryPrice = price;
		var pip = GetPipSize();
		_stopPrice = StopLossPips > 0
			? side == Sides.Buy ? price - StopLossPips * pip : price + StopLossPips * pip
			: null;
		_takePrice = TakeProfitPips > 0
			? side == Sides.Buy ? price + TakeProfitPips * pip : price - TakeProfitPips * pip
			: null;
		_bestPrice = price;
		_moneyTrailPeak = null;
	}

	private bool ApplyRisk(ICandleMessage candle)
	{
		var floating = FloatingPnL(candle.ClosePrice);
		var equity = (Portfolio?.CurrentValue ?? Portfolio?.BeginValue ?? _initialEquity) + floating;
		_peakEquity = Math.Max(_peakEquity, equity);

		// The levels are checked as they stood before this candle; moving them afterwards keeps
		// a move made from this candle's high or low from being hit by the same candle.
		if (IsLevelHit(candle))
			return Flatten();

		if (UseMoneyTakeProfit && floating >= MoneyTakeProfit)
			return Flatten();

		if (UsePercentTakeProfit && _initialEquity > 0m && floating >= _initialEquity * PercentTakeProfit / 100m)
			return Flatten();

		if (EnableMoneyTrailing)
		{
			// Once armed, the peak is tracked and the giveback checked even below the target.
			if (_moneyTrailPeak is decimal peak)
				_moneyTrailPeak = Math.Max(peak, floating);
			else if (floating > MoneyTrailTarget)
				_moneyTrailPeak = floating;

			if (_moneyTrailPeak is decimal armedPeak && armedPeak - floating >= MoneyTrailStop)
				return Flatten();
		}

		if (UseEquityStop && _peakEquity > 0m && (_peakEquity - equity) / _peakEquity * 100m > EquityRiskPercent)
			return Flatten();

		MoveLevels(candle);
		return false;
	}

	private bool IsLevelHit(ICandleMessage candle)
	{
		if (Position > 0m)
		{
			return (_stopPrice is decimal longStop && candle.LowPrice <= longStop) ||
				(_takePrice is decimal longTake && candle.HighPrice >= longTake);
		}

		return (_stopPrice is decimal shortStop && candle.HighPrice >= shortStop) ||
			(_takePrice is decimal shortTake && candle.LowPrice <= shortTake);
	}

	private void MoveLevels(ICandleMessage candle)
	{
		var pip = GetPipSize();

		if (Position > 0m)
		{
			if (UseBreakEven && candle.HighPrice - _entryPrice >= BreakEvenTriggerPips * pip)
				RaiseStop(_entryPrice + BreakEvenOffsetPips * pip);

			// The stop trails only a new high beyond the best price since the entry.
			if (candle.HighPrice > _bestPrice)
			{
				_bestPrice = candle.HighPrice;

				if (TrailingStopPips > 0)
					RaiseStop(_bestPrice - TrailingStopPips * pip);
			}
		}
		else
		{
			if (UseBreakEven && _entryPrice - candle.LowPrice >= BreakEvenTriggerPips * pip)
				LowerStop(_entryPrice - BreakEvenOffsetPips * pip);

			if (candle.LowPrice < _bestPrice)
			{
				_bestPrice = candle.LowPrice;

				if (TrailingStopPips > 0)
					LowerStop(_bestPrice + TrailingStopPips * pip);
			}
		}
	}

	private void RaiseStop(decimal level)
	{
		if (_stopPrice is not decimal stop || level > stop)
			_stopPrice = level;
	}

	private void LowerStop(decimal level)
	{
		if (_stopPrice is not decimal stop || level < stop)
			_stopPrice = level;
	}

	private bool Flatten()
	{
		if (Position > 0m)
			SellMarket(Math.Abs(Position));
		else if (Position < 0m)
			BuyMarket(Math.Abs(Position));
		else
			return false;

		ResetTradeState();
		return true;
	}

	private decimal FloatingPnL(decimal price)
	{
		if (Position == 0m || _entryPrice == 0m)
			return 0m;

		var direction = Position > 0m ? 1m : -1m;
		return (price - _entryPrice) * direction * Math.Abs(Position) * (Security?.Multiplier ?? 1m);
	}

	private (decimal Upper, decimal Lower) BollingerAtPrevious()
	{
		var end = _primary.Count - 1;
		var total = 0m;
		for (var i = end - _bandLength; i < end; i++)
			total += _primary[i].Close;

		var mean = total / _bandLength;
		var squares = 0m;
		for (var i = end - _bandLength; i < end; i++)
		{
			var deviation = _primary[i].Close - mean;
			squares += deviation * deviation;
		}

		var std = (decimal)Math.Sqrt((double)(squares / _bandLength));
		return (mean + _bandWidth * std, mean - _bandWidth * std);
	}

	private decimal Lwma(int period)
	{
		var start = _primary.Count - period;
		var total = 0m;
		var weights = 0m;
		for (var i = 0; i < period; i++)
		{
			var weight = i + 1m;
			total += _primary[start + i].Typical * weight;
			weights += weight;
		}
		return total / weights;
	}

	private decimal GetPipSize()
	{
		var step = Security?.PriceStep ?? 0m;
		if (step <= 0m) return 0.0001m;
		return step is 0.00001m or 0.001m ? step * 10m : step;
	}

	private static decimal Ema(decimal? previous, decimal value, int period)
	{
		if (previous is null) return value;
		var alpha = 2m / (period + 1m);
		return previous.Value + alpha * (value - previous.Value);
	}

	private void ResetTradeState()
	{
		_entryPrice = 0m;
		_stopPrice = null;
		_takePrice = null;
		_bestPrice = 0m;
		_moneyTrailPeak = null;
	}

	private readonly record struct Bar(decimal Open, decimal High, decimal Low, decimal Close)
	{
		public decimal Typical => (High + Low + Close) / 3m;
	}
}

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, Decimal
from StockSharp.Messages import DataType, CandleStates, Sides
from StockSharp.Algo.Indicators import RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy
from indicator_extensions import *


class crypto_analysis_strategy(Strategy):
    RSI_LENGTH = 14
    BAND_LENGTH = 20
    BAND_WIDTH = 2

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

        self._order_volume = self.Param("OrderVolume", Decimal(0.1)).SetGreaterThanZero()
        self._use_money_tp = self.Param("UseMoneyTakeProfit", False)
        self._money_tp = self.Param("MoneyTakeProfit", Decimal(100)).SetNotNegative()
        self._use_percent_tp = self.Param("UsePercentTakeProfit", False)
        self._percent_tp = self.Param("PercentTakeProfit", Decimal(1)).SetNotNegative()
        self._enable_money_trailing = self.Param("EnableMoneyTrailing", False)
        self._money_trail_target = self.Param("MoneyTrailTarget", Decimal(50)).SetNotNegative()
        self._money_trail_stop = self.Param("MoneyTrailStop", Decimal(20)).SetNotNegative()
        self._stop_loss = self.Param("StopLossPips", 50).SetNotNegative()
        self._take_profit = self.Param("TakeProfitPips", 100).SetNotNegative()
        self._trailing_stop = self.Param("TrailingStopPips", 30).SetNotNegative()
        self._use_break_even = self.Param("UseBreakEven", True)
        self._break_even_trigger = self.Param("BreakEvenTriggerPips", 30).SetNotNegative()
        self._break_even_offset = self.Param("BreakEvenOffsetPips", 2).SetNotNegative()
        self._fast_ma = self.Param("FastMaPeriod", 6).SetGreaterThanZero()
        self._slow_ma = self.Param("SlowMaPeriod", 85).SetGreaterThanZero()
        self._momentum_period = self.Param("MomentumPeriod", 14).SetGreaterThanZero()
        self._momentum_buy = self.Param("MomentumBuyThreshold", Decimal(0.3)).SetNotNegative()
        self._momentum_sell = self.Param("MomentumSellThreshold", Decimal(0.3)).SetNotNegative()
        self._macd_fast_len = self.Param("MacdFastLength", 12).SetGreaterThanZero()
        self._macd_slow_len = self.Param("MacdSlowLength", 26).SetGreaterThanZero()
        self._macd_signal_len = self.Param("MacdSignalLength", 9).SetGreaterThanZero()
        self._use_equity_stop = self.Param("UseEquityStop", False)
        self._equity_risk = self.Param("EquityRiskPercent", Decimal(10)).SetNotNegative()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15)))
        self._momentum_type = self.Param("MomentumCandleType", DataType.TimeFrame(TimeSpan.FromHours(1)))
        self._macd_type = self.Param("MacdCandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))

        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = self.RSI_LENGTH
        self._primary = []
        self._momentum_closes = []
        self._momentum_deviations = []
        self._macd_fast = None
        self._macd_slow = None
        self._macd_signal = None
        self._macd_ready = False
        self._macd_count = 0

        self._entry_price = Decimal.Zero
        self._stop_price = None
        self._take_price = None
        self._best_price = Decimal.Zero
        self._initial_equity = Decimal.Zero
        self._peak_equity = Decimal.Zero
        self._money_trail_peak = None

    def GetWorkingSecurities(self):
        return [(self.Security, self._candle_type.Value), (self.Security, self._momentum_type.Value), (self.Security, self._macd_type.Value)]

    def OnReseted(self):
        super(crypto_analysis_strategy, self).OnReseted()
        self._rsi.Reset()
        self._primary = []
        self._momentum_closes = []
        self._momentum_deviations = []
        self._macd_fast = self._macd_slow = self._macd_signal = None
        self._macd_ready = False
        self._macd_count = 0
        self._reset_trade()
        self._initial_equity = Decimal.Zero
        self._peak_equity = Decimal.Zero

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

        self._initial_equity = self._portfolio_value(Decimal.Zero)
        self._peak_equity = self._initial_equity

        self.SubscribeCandles(self._momentum_type.Value).Bind(self._process_momentum).Start()
        self.SubscribeCandles(self._macd_type.Value).Bind(self._process_macd).Start()
        self.SubscribeCandles(self._candle_type.Value).Bind(self._process_primary).Start()

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

        period = self._momentum_period.Value
        self._momentum_closes.append(candle.ClosePrice)
        keep = period + 5
        if len(self._momentum_closes) > keep:
            del self._momentum_closes[:len(self._momentum_closes) - keep]

        if len(self._momentum_closes) <= period:
            return

        previous = self._momentum_closes[-1 - period]
        if previous == Decimal.Zero:
            return

        momentum = candle.ClosePrice / previous * Decimal(100)
        self._momentum_deviations.append(Math.Abs(momentum - Decimal(100)))
        if len(self._momentum_deviations) > 3:
            del self._momentum_deviations[:-3]

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

        close = candle.ClosePrice
        self._macd_count += 1
        self._macd_fast = self._ema(self._macd_fast, close, self._macd_fast_len.Value)
        self._macd_slow = self._ema(self._macd_slow, close, self._macd_slow_len.Value)
        main = self._macd_fast - self._macd_slow
        self._macd_signal = self._ema(self._macd_signal, main, self._macd_signal_len.Value)
        self._macd_ready = self._macd_count >= self._macd_slow_len.Value + self._macd_signal_len.Value

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

        required = max(max(self._fast_ma.Value, self._slow_ma.Value), self.BAND_LENGTH + 1)

        self._primary.append((candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice))
        if len(self._primary) > required + 5:
            del self._primary[:len(self._primary) - required - 5]

        rsi_value = process_value(self._rsi, candle.ClosePrice, candle.ServerTime, True)

        if self.Position != 0 and self._apply_risk(candle):
            return

        if (len(self._primary) < required or not self._rsi.IsFormed or len(self._momentum_deviations) < 3 or
                not self._macd_ready or self._macd_signal is None or self._macd_fast is None or self._macd_slow is None):
            return

        previous = self._primary[-2]
        upper, lower = self._bollinger_previous()
        fast = self._lwma(self._fast_ma.Value)
        slow = self._lwma(self._slow_ma.Value)
        rsi = to_decimal(rsi_value)
        momentum = max(self._momentum_deviations)
        macd_main = self._macd_fast - self._macd_slow
        macd_signal = self._macd_signal
        fifty = Decimal(50)

        long_signal = (previous[2] <= lower and fast < slow and rsi > fifty and
                       momentum > self._momentum_buy.Value and macd_main > macd_signal)
        short_signal = (previous[1] >= upper and fast < slow and rsi < fifty and
                        momentum > self._momentum_sell.Value and macd_main < macd_signal)

        if long_signal and self.Position <= 0:
            self._enter(Sides.Buy, candle.ClosePrice)
        elif short_signal and self.Position >= 0:
            self._enter(Sides.Sell, candle.ClosePrice)

    def _enter(self, side, price):
        volume = self._order_volume.Value + Math.Abs(self.Position)
        if side == Sides.Buy:
            self.BuyMarket(volume)
        else:
            self.SellMarket(volume)

        self._entry_price = price
        pip = self._pip_size()

        if self._stop_loss.Value > 0:
            distance = Decimal(self._stop_loss.Value) * pip
            self._stop_price = price - distance if side == Sides.Buy else price + distance
        else:
            self._stop_price = None

        if self._take_profit.Value > 0:
            distance = Decimal(self._take_profit.Value) * pip
            self._take_price = price + distance if side == Sides.Buy else price - distance
        else:
            self._take_price = None

        self._best_price = price
        self._money_trail_peak = None

    def _apply_risk(self, candle):
        floating = self._floating_pnl(candle.ClosePrice)
        equity = self._portfolio_value(self._initial_equity) + floating
        if equity > self._peak_equity:
            self._peak_equity = equity

        # The levels are checked as they stood before this candle; moving them afterwards keeps
        # a move made from this candle's high or low from being hit by the same candle.
        if self._is_level_hit(candle):
            return self._flatten()

        if self._use_money_tp.Value and floating >= self._money_tp.Value:
            return self._flatten()

        if (self._use_percent_tp.Value and self._initial_equity > 0 and
                floating >= self._initial_equity * self._percent_tp.Value / Decimal(100)):
            return self._flatten()

        if self._enable_money_trailing.Value:
            # Once armed, the peak is tracked and the giveback checked even below the target.
            if self._money_trail_peak is not None:
                if floating > self._money_trail_peak:
                    self._money_trail_peak = floating
            elif floating > self._money_trail_target.Value:
                self._money_trail_peak = floating

            if self._money_trail_peak is not None and self._money_trail_peak - floating >= self._money_trail_stop.Value:
                return self._flatten()

        if (self._use_equity_stop.Value and self._peak_equity > 0 and
                (self._peak_equity - equity) / self._peak_equity * Decimal(100) > self._equity_risk.Value):
            return self._flatten()

        self._move_levels(candle)
        return False

    def _is_level_hit(self, candle):
        if self.Position > 0:
            return ((self._stop_price is not None and candle.LowPrice <= self._stop_price) or
                    (self._take_price is not None and candle.HighPrice >= self._take_price))

        return ((self._stop_price is not None and candle.HighPrice >= self._stop_price) or
                (self._take_price is not None and candle.LowPrice <= self._take_price))

    def _move_levels(self, candle):
        pip = self._pip_size()

        if self.Position > 0:
            if (self._use_break_even.Value and
                    candle.HighPrice - self._entry_price >= Decimal(self._break_even_trigger.Value) * pip):
                self._raise_stop(self._entry_price + Decimal(self._break_even_offset.Value) * pip)

            # The stop trails only a new high beyond the best price since the entry.
            if candle.HighPrice > self._best_price:
                self._best_price = candle.HighPrice

                if self._trailing_stop.Value > 0:
                    self._raise_stop(self._best_price - Decimal(self._trailing_stop.Value) * pip)
        else:
            if (self._use_break_even.Value and
                    self._entry_price - candle.LowPrice >= Decimal(self._break_even_trigger.Value) * pip):
                self._lower_stop(self._entry_price - Decimal(self._break_even_offset.Value) * pip)

            if candle.LowPrice < self._best_price:
                self._best_price = candle.LowPrice

                if self._trailing_stop.Value > 0:
                    self._lower_stop(self._best_price + Decimal(self._trailing_stop.Value) * pip)

    def _raise_stop(self, level):
        if self._stop_price is None or level > self._stop_price:
            self._stop_price = level

    def _lower_stop(self, level):
        if self._stop_price is None or level < self._stop_price:
            self._stop_price = level

    def _flatten(self):
        if self.Position > 0:
            self.SellMarket(Math.Abs(self.Position))
        elif self.Position < 0:
            self.BuyMarket(Math.Abs(self.Position))
        else:
            return False

        self._reset_trade()
        return True

    def _floating_pnl(self, price):
        if self.Position == 0 or self._entry_price == Decimal.Zero:
            return Decimal.Zero

        direction = Decimal(1) if self.Position > 0 else Decimal(-1)
        multiplier = Decimal(1)
        if self.Security is not None and self.Security.Multiplier is not None:
            multiplier = self.Security.Multiplier
        return (price - self._entry_price) * direction * Math.Abs(self.Position) * multiplier

    def _portfolio_value(self, fallback):
        portfolio = self.Portfolio
        if portfolio is not None:
            if portfolio.CurrentValue is not None:
                return portfolio.CurrentValue
            if portfolio.BeginValue is not None:
                return portfolio.BeginValue
        return fallback

    def _bollinger_previous(self):
        end = len(self._primary) - 1
        length = Decimal(self.BAND_LENGTH)

        total = Decimal.Zero
        for i in range(end - self.BAND_LENGTH, end):
            total += self._primary[i][3]

        mean = total / length
        squares = Decimal.Zero
        for i in range(end - self.BAND_LENGTH, end):
            deviation = self._primary[i][3] - mean
            squares += deviation * deviation

        std = Decimal(Math.Sqrt(Decimal.ToDouble(squares / length)))
        width = Decimal(self.BAND_WIDTH)
        return mean + width * std, mean - width * std

    def _lwma(self, period):
        start = len(self._primary) - period
        total = Decimal.Zero
        weights = Decimal.Zero
        for i in range(period):
            weight = Decimal(i + 1)
            bar = self._primary[start + i]
            typical = (bar[1] + bar[2] + bar[3]) / Decimal(3)
            total += typical * weight
            weights += weight
        return total / weights

    def _pip_size(self):
        step = Decimal.Zero
        if self.Security is not None and self.Security.PriceStep is not None:
            step = self.Security.PriceStep
        if step <= 0:
            return Decimal(0.0001)
        if step == Decimal(0.00001) or step == Decimal(0.001):
            return step * Decimal(10)
        return step

    @staticmethod
    def _ema(previous, value, period):
        if previous is None:
            return value
        alpha = Decimal(2) / (Decimal(period) + Decimal(1))
        return previous + alpha * (value - previous)

    def _reset_trade(self):
        self._entry_price = Decimal.Zero
        self._stop_price = None
        self._take_price = None
        self._best_price = Decimal.Zero
        self._money_trail_peak = None

    def CreateClone(self):
        return crypto_analysis_strategy()