Estratégia FT CCI

using System;
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;

/// <summary>
/// CCI breakout strategy. Opens long when CCI drops below lower band, shorts when above upper band.
/// </summary>
public class FtCciStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _upperThreshold;
	private readonly StrategyParam<decimal> _lowerThreshold;
	private readonly StrategyParam<DataType> _candleType;

	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	public decimal UpperThreshold { get => _upperThreshold.Value; set => _upperThreshold.Value = value; }
	public decimal LowerThreshold { get => _lowerThreshold.Value; set => _lowerThreshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FtCciStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Averaging period for CCI", "Indicator");

		_upperThreshold = Param(nameof(UpperThreshold), 210m)
			.SetDisplay("CCI Upper", "CCI level for short entries", "Indicator");

		_lowerThreshold = Param(nameof(LowerThreshold), -210m)
			.SetDisplay("CCI Lower", "CCI level for long entries", "Indicator");

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

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var cci = new CommodityChannelIndex { Length = CciPeriod };

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

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

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

		if (cciValue <= LowerThreshold && Position <= 0)
			BuyMarket();
		else if (cciValue >= UpperThreshold && Position >= 0)
			SellMarket();

		// Exit when CCI returns to zero
		if (Position > 0 && cciValue >= 0)
			SellMarket();
		else if (Position < 0 && cciValue <= 0)
			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 CommodityChannelIndex
from StockSharp.Algo.Strategies import Strategy


class ft_cci_strategy(Strategy):
    def __init__(self):
        super(ft_cci_strategy, self).__init__()
        self._cci_period = self.Param("CciPeriod", 14) \
            .SetDisplay("CCI Period", "Averaging period for CCI", "Indicator")
        self._upper_threshold = self.Param("UpperThreshold", 210.0) \
            .SetDisplay("CCI Upper", "CCI level for short entries", "Indicator")
        self._lower_threshold = self.Param("LowerThreshold", -210.0) \
            .SetDisplay("CCI Lower", "CCI level for long entries", "Indicator")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle Type", "General")

    @property
    def cci_period(self):
        return self._cci_period.Value

    @property
    def upper_threshold(self):
        return self._upper_threshold.Value

    @property
    def lower_threshold(self):
        return self._lower_threshold.Value

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

    def OnStarted2(self, time):
        super(ft_cci_strategy, self).OnStarted2(time)
        cci = CommodityChannelIndex()
        cci.Length = self.cci_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(cci, self.on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, cci)
            self.DrawOwnTrades(area)

    def on_process(self, candle, cci_value):
        if candle.State != CandleStates.Finished:
            return
        if cci_value <= self.lower_threshold and self.Position <= 0:
            self.BuyMarket()
        elif cci_value >= self.upper_threshold and self.Position >= 0:
            self.SellMarket()
        # Exit when CCI returns to zero
        if self.Position > 0 and cci_value >= 0:
            self.SellMarket()
        elif self.Position < 0 and cci_value <= 0:
            self.BuyMarket()

    def CreateClone(self):
        return ft_cci_strategy()