Estratégia de Reversão à Média Pro

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

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class MeanReversionProStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _fastSma;
	private SimpleMovingAverage _slowSma;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MeanReversionProStrategy()
	{
		_fastLength = Param(nameof(FastLength), 5);
		_slowLength = Param(nameof(SlowLength), 50);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

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

		_fastSma = new SimpleMovingAverage { Length = FastLength };
		_slowSma = new SimpleMovingAverage { Length = SlowLength };

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

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

		if (!_fastSma.IsFormed || !_slowSma.IsFormed)
			return;

		var range = candle.HighPrice - candle.LowPrice;
		var longThreshold = candle.LowPrice + 0.2m * range;
		var shortThreshold = candle.HighPrice - 0.2m * range;

		var longSignal = candle.ClosePrice < fast &&
			candle.ClosePrice < longThreshold &&
			candle.ClosePrice > slow;

		var shortSignal = candle.ClosePrice > fast &&
			candle.ClosePrice > shortThreshold &&
			candle.ClosePrice < slow;

		var exitLong = candle.ClosePrice > fast && Position > 0;
		var exitShort = candle.ClosePrice < fast && Position < 0;

		if (longSignal && Position <= 0)
			BuyMarket();
		else if (shortSignal && Position >= 0)
			SellMarket();
		else if (exitLong)
			SellMarket();
		else if (exitShort)
			BuyMarket();
	}
}

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
from StockSharp.Algo.Strategies import Strategy

class mean_reversion_pro_strategy(Strategy):
    """
    Mean Reversion Pro: fast/slow SMA with candle range threshold.
    """

    def __init__(self):
        super(mean_reversion_pro_strategy, self).__init__()
        self._fast_length = self.Param("FastLength", 5).SetDisplay("Fast", "Fast SMA", "Indicators")
        self._slow_length = self.Param("SlowLength", 50).SetDisplay("Slow", "Slow SMA", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))).SetDisplay("Candle Type", "Candles", "General")

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

    def OnReseted(self):
        super(mean_reversion_pro_strategy, self).OnReseted()

    def OnStarted2(self, time):
        super(mean_reversion_pro_strategy, self).OnStarted2(time)
        self._fast_sma = SimpleMovingAverage()
        self._fast_sma.Length = self._fast_length.Value
        self._slow_sma = SimpleMovingAverage()
        self._slow_sma.Length = self._slow_length.Value
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(self._fast_sma, self._slow_sma, self._process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, self._fast_sma)
            self.DrawIndicator(area, self._slow_sma)
            self.DrawOwnTrades(area)

    def _process_candle(self, candle, fast_val, slow_val):
        if candle.State != CandleStates.Finished:
            return
        if not self._fast_sma.IsFormed or not self._slow_sma.IsFormed:
            return
        fast = float(fast_val)
        slow = float(slow_val)
        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        rng = high - low
        long_threshold = low + 0.2 * rng
        short_threshold = high - 0.2 * rng
        long_signal = close < fast and close < long_threshold and close > slow
        short_signal = close > fast and close > short_threshold and close < slow
        exit_long = close > fast and self.Position > 0
        exit_short = close < fast and self.Position < 0
        if long_signal and self.Position <= 0:
            self.BuyMarket()
        elif short_signal and self.Position >= 0:
            self.SellMarket()
        elif exit_long:
            self.SellMarket()
        elif exit_short:
            self.BuyMarket()

    def CreateClone(self):
        return mean_reversion_pro_strategy()