Estratégia de Tendência Forçada

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

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Force Trend strategy that mirrors the original MT5 expert advisor logic.
/// It reacts to ForceTrend indicator color changes to switch between long and short positions.
/// </summary>
public class ForceTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<int> _signalBar;
	private readonly StrategyParam<bool> _enableLongEntry;
	private readonly StrategyParam<bool> _enableShortEntry;
	private readonly StrategyParam<bool> _enableLongExit;
	private readonly StrategyParam<bool> _enableShortExit;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _highest = null!;
	private Lowest _lowest = null!;
	private decimal _previousForceValue;
	private decimal _previousIndicatorValue;
	private int?[] _directionHistory = Array.Empty<int?>();
	private int _historyCount;
	private int? _lastKnownDirection;

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public ForceTrendStrategy()
	{
		_length = Param(nameof(Length), 13)
			.SetDisplay("Length", "ForceTrend lookback length", "Indicator")
			.SetGreaterThanZero()
			;

		_signalBar = Param(nameof(SignalBar), 1)
			.SetDisplay("Signal Bar", "Number of finished bars to shift the signal", "Trading")
			;

		_enableLongEntry = Param(nameof(EnableLongEntry), true)
			.SetDisplay("Enable Long Entry", "Allow opening long positions", "Trading")
			;

		_enableShortEntry = Param(nameof(EnableShortEntry), true)
			.SetDisplay("Enable Short Entry", "Allow opening short positions", "Trading")
			;

		_enableLongExit = Param(nameof(EnableLongExit), true)
			.SetDisplay("Enable Long Exit", "Allow closing long positions", "Trading")
			;

		_enableShortExit = Param(nameof(EnableShortExit), true)
			.SetDisplay("Enable Short Exit", "Allow closing short positions", "Trading")
			;

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

	/// <summary>
	/// ForceTrend lookback length.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Number of finished candles used to shift the trade signal.
	/// </summary>
	public int SignalBar
	{
		get => _signalBar.Value;
		set => _signalBar.Value = value;
	}

	/// <summary>
	/// Enable opening long positions when the ForceTrend becomes bullish.
	/// </summary>
	public bool EnableLongEntry
	{
		get => _enableLongEntry.Value;
		set => _enableLongEntry.Value = value;
	}

	/// <summary>
	/// Enable opening short positions when the ForceTrend becomes bearish.
	/// </summary>
	public bool EnableShortEntry
	{
		get => _enableShortEntry.Value;
		set => _enableShortEntry.Value = value;
	}

	/// <summary>
	/// Enable closing long positions on bearish ForceTrend signals.
	/// </summary>
	public bool EnableLongExit
	{
		get => _enableLongExit.Value;
		set => _enableLongExit.Value = value;
	}

	/// <summary>
	/// Enable closing short positions on bullish ForceTrend signals.
	/// </summary>
	public bool EnableShortExit
	{
		get => _enableShortExit.Value;
		set => _enableShortExit.Value = value;
	}

	/// <summary>
	/// Candle type used for indicator calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

		_previousForceValue = 0m;
		_previousIndicatorValue = 0m;
		_directionHistory = Array.Empty<int?>();
		_historyCount = 0;
		_lastKnownDirection = null;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, CandleType);
	}

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

		_previousForceValue = 0m;
		_previousIndicatorValue = 0m;
		_historyCount = 0;
		_lastKnownDirection = null;
		_directionHistory = new int?[Math.Max(SignalBar + 2, 2)];

		_highest = new Highest { Length = Length };
		_lowest = new Lowest { Length = Length };

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

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

		var highestValue = _highest.Process(new CandleIndicatorValue(_highest, candle)).ToDecimal();
		var lowestValue = _lowest.Process(new CandleIndicatorValue(_lowest, candle)).ToDecimal();

		if (!_highest.IsFormed || !_lowest.IsFormed)
			return;

		var range = highestValue - lowestValue;
		decimal forceValue;

		if (range != 0m)
		{
			var average = (candle.HighPrice + candle.LowPrice) / 2m;
			var normalized = (average - lowestValue) / range - 0.5m;
			forceValue = 0.66m * normalized + 0.67m * _previousForceValue;
		}
		else
		{
			forceValue = 0.67m * _previousForceValue - 0.33m;
		}

		forceValue = Math.Clamp(forceValue, -0.999m, 0.999m);

		decimal indicatorValue;
		var denominator = 1m - forceValue;

		if (denominator != 0m)
		{
			var ratio = (forceValue + 1m) / denominator;
			indicatorValue = (decimal)(Math.Log((double)ratio) / 2.0) + _previousIndicatorValue / 2m;
		}
		else
		{
			indicatorValue = _previousIndicatorValue / 2m + 0.5m;
		}

		_previousForceValue = forceValue;
		_previousIndicatorValue = indicatorValue;

		var direction = indicatorValue > 0m ? 1 : indicatorValue < 0m ? -1 : _lastKnownDirection ?? 0;
		if (direction != 0)
			_lastKnownDirection = direction;

		AddDirection(direction);

		var currentDirection = GetDirection(SignalBar);
		if (currentDirection is null)
			return;

		var previousDirection = GetDirection(SignalBar + 1);
		var bullish = currentDirection.Value > 0;
		var bearish = currentDirection.Value < 0;
		var bullishFlip = bullish && previousDirection.HasValue && previousDirection.Value <= 0;
		var bearishFlip = bearish && previousDirection.HasValue && previousDirection.Value >= 0;

		// indicators processed manually, no BindEx

		if (bullish)
		{
			var volumeToBuy = 0m;

			if (EnableShortExit && Position < 0m)
				volumeToBuy += Math.Abs(Position);

			if (EnableLongEntry && bullishFlip && Position <= 0m)
				volumeToBuy += Volume;

			if (volumeToBuy > 0m)
				BuyMarket();
		}
		else if (bearish)
		{
			var volumeToSell = 0m;

			if (EnableLongExit && Position > 0m)
				volumeToSell += Math.Abs(Position);

			if (EnableShortEntry && bearishFlip && Position >= 0m)
				volumeToSell += 1m;

			if (volumeToSell > 0m)
				SellMarket();
		}
	}

	private void AddDirection(int direction)
	{
		if (_historyCount < _directionHistory.Length)
		{
			_directionHistory[_historyCount] = direction;
			_historyCount++;
		}
		else
		{
			for (var i = 1; i < _directionHistory.Length; i++)
				_directionHistory[i - 1] = _directionHistory[i];

			_directionHistory[^1] = direction;
		}
	}

	private int? GetDirection(int offset)
	{
		if (offset < 0)
			return null;

		var index = _historyCount - 1 - offset;
		if (index < 0)
			return null;

		return _directionHistory[index];
	}
}

import clr
import math

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.Strategies import Strategy
from StockSharp.Algo.Indicators import Highest, Lowest, CandleIndicatorValue


class force_trend_strategy(Strategy):
    """Force Trend strategy: reacts to Fisher-like transform color changes to switch positions."""

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

        self._length = self.Param("Length", 13) \
            .SetGreaterThanZero() \
            .SetDisplay("Length", "ForceTrend lookback length", "Indicator")
        self._signal_bar = self.Param("SignalBar", 1) \
            .SetDisplay("Signal Bar", "Number of finished bars to shift the signal", "Trading")
        self._enable_long_entry = self.Param("EnableLongEntry", True) \
            .SetDisplay("Enable Long Entry", "Allow opening long positions", "Trading")
        self._enable_short_entry = self.Param("EnableShortEntry", True) \
            .SetDisplay("Enable Short Entry", "Allow opening short positions", "Trading")
        self._enable_long_exit = self.Param("EnableLongExit", True) \
            .SetDisplay("Enable Long Exit", "Allow closing long positions", "Trading")
        self._enable_short_exit = self.Param("EnableShortExit", True) \
            .SetDisplay("Enable Short Exit", "Allow closing short positions", "Trading")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe used for ForceTrend calculations", "General")

        self._prev_force = 0.0
        self._prev_indicator = 0.0
        self._dir_history = []
        self._last_known_dir = 0

    @property
    def Length(self):
        return int(self._length.Value)
    @property
    def SignalBar(self):
        return int(self._signal_bar.Value)
    @property
    def EnableLongEntry(self):
        return self._enable_long_entry.Value
    @property
    def EnableShortEntry(self):
        return self._enable_short_entry.Value
    @property
    def EnableLongExit(self):
        return self._enable_long_exit.Value
    @property
    def EnableShortExit(self):
        return self._enable_short_exit.Value
    @property
    def CandleType(self):
        return self._candle_type.Value

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

        self._prev_force = 0.0
        self._prev_indicator = 0.0
        self._dir_history = []
        self._last_known_dir = 0

        self._highest = Highest()
        self._highest.Length = self.Length
        self._lowest = Lowest()
        self._lowest.Length = self.Length

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self.process_candle).Start()

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

        h_val = float(self._highest.Process(CandleIndicatorValue(self._highest, candle)))
        l_val = float(self._lowest.Process(CandleIndicatorValue(self._lowest, candle)))

        if not self._highest.IsFormed or not self._lowest.IsFormed:
            return

        rng = h_val - l_val
        h = float(candle.HighPrice)
        lo = float(candle.LowPrice)

        if rng != 0:
            avg = (h + lo) / 2.0
            normalized = (avg - l_val) / rng - 0.5
            force_val = 0.66 * normalized + 0.67 * self._prev_force
        else:
            force_val = 0.67 * self._prev_force - 0.33

        force_val = max(-0.999, min(0.999, force_val))

        denom = 1.0 - force_val
        if denom != 0:
            ratio = (force_val + 1.0) / denom
            indicator_val = math.log(ratio) / 2.0 + self._prev_indicator / 2.0
        else:
            indicator_val = self._prev_indicator / 2.0 + 0.5

        self._prev_force = force_val
        self._prev_indicator = indicator_val

        if indicator_val > 0:
            direction = 1
        elif indicator_val < 0:
            direction = -1
        else:
            direction = self._last_known_dir

        if direction != 0:
            self._last_known_dir = direction

        self._dir_history.append(direction)
        max_len = max(self.SignalBar + 2, 2)
        while len(self._dir_history) > max_len:
            self._dir_history.pop(0)

        cur_dir = self._get_dir(self.SignalBar)
        if cur_dir is None:
            return

        prev_dir = self._get_dir(self.SignalBar + 1)
        bullish = cur_dir > 0
        bearish = cur_dir < 0
        bullish_flip = bullish and prev_dir is not None and prev_dir <= 0
        bearish_flip = bearish and prev_dir is not None and prev_dir >= 0

        if bullish:
            should_buy = False
            if self.EnableShortExit and self.Position < 0:
                should_buy = True
            if self.EnableLongEntry and bullish_flip and self.Position <= 0:
                should_buy = True
            if should_buy:
                self.BuyMarket()
        elif bearish:
            should_sell = False
            if self.EnableLongExit and self.Position > 0:
                should_sell = True
            if self.EnableShortEntry and bearish_flip and self.Position >= 0:
                should_sell = True
            if should_sell:
                self.SellMarket()

    def _get_dir(self, offset):
        idx = len(self._dir_history) - 1 - offset
        if idx < 0:
            return None
        return self._dir_history[idx]

    def OnReseted(self):
        super(force_trend_strategy, self).OnReseted()
        self._prev_force = 0.0
        self._prev_indicator = 0.0
        self._dir_history = []
        self._last_known_dir = 0

    def CreateClone(self):
        return force_trend_strategy()