Estratégia Twenty 200 Pips

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

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Daily breakout strategy derived from the "20/200 pips" MQL5 expert.
/// Compares open prices from different bar offsets and trades the breakout.
/// </summary>
public class Twenty200PipsStrategy : Strategy
{
	private readonly StrategyParam<int> _takeProfit;
	private readonly StrategyParam<int> _stopLoss;
	private readonly StrategyParam<int> _firstOffset;
	private readonly StrategyParam<int> _secondOffset;
	private readonly StrategyParam<int> _deltaPoints;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _opens = new();
	private decimal _pointValue;

	public int TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	public int StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	public int FirstOffset
	{
		get => _firstOffset.Value;
		set => _firstOffset.Value = value;
	}

	public int SecondOffset
	{
		get => _secondOffset.Value;
		set => _secondOffset.Value = value;
	}

	public int DeltaPoints
	{
		get => _deltaPoints.Value;
		set => _deltaPoints.Value = value;
	}

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

	public Twenty200PipsStrategy()
	{
		_takeProfit = Param(nameof(TakeProfit), 200)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit (points)", "Take profit distance in points", "Risk")
			.SetOptimize(50, 500, 50);

		_stopLoss = Param(nameof(StopLoss), 2000)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss (points)", "Stop loss distance in points", "Risk")
			.SetOptimize(200, 4000, 100);

		_firstOffset = Param(nameof(FirstOffset), 7)
			.SetGreaterThanZero()
			.SetDisplay("First Offset", "Older bar index", "Signal")
			.SetOptimize(1, 12, 1);

		_secondOffset = Param(nameof(SecondOffset), 2)
			.SetGreaterThanZero()
			.SetDisplay("Second Offset", "Newer bar index", "Signal")
			.SetOptimize(1, 6, 1);

		_deltaPoints = Param(nameof(DeltaPoints), 1)
			.SetGreaterThanZero()
			.SetDisplay("Delta (points)", "Minimum difference between opens", "Signal")
			.SetOptimize(10, 200, 10);

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

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_opens.Clear();
		_pointValue = 0m;
	}

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

		_pointValue = Security?.PriceStep ?? 1m;
		if (_pointValue <= 0m)
			_pointValue = 1m;

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

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

		StartProtection(
			takeProfit: new Unit(TakeProfit * _pointValue, UnitTypes.Absolute),
			stopLoss: new Unit(StopLoss * _pointValue, UnitTypes.Absolute),
			useMarketOrders: true);
	}

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

		_opens.Add(candle.OpenPrice);

		var maxOffset = Math.Max(FirstOffset, SecondOffset);
		if (_opens.Count <= maxOffset)
			return;

		// Keep buffer limited
		if (_opens.Count > maxOffset + 100)
			_opens.RemoveRange(0, _opens.Count - maxOffset - 50);

		if (Position != 0)
			return;

		var openFirst = _opens[_opens.Count - 1 - FirstOffset];
		var openSecond = _opens[_opens.Count - 1 - SecondOffset];
		var threshold = DeltaPoints * _pointValue;

		if (openFirst > openSecond + threshold)
		{
			SellMarket();
		}
		else if (openFirst + threshold < openSecond)
		{
			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.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class twenty_200_pips_strategy(Strategy):
    """Daily breakout: open price difference at two offsets with StartProtection SL/TP."""
    def __init__(self):
        super(twenty_200_pips_strategy, self).__init__()
        self._tp = self.Param("TakeProfit", 200).SetGreaterThanZero().SetDisplay("Take Profit", "TP in points", "Risk")
        self._sl = self.Param("StopLoss", 2000).SetGreaterThanZero().SetDisplay("Stop Loss", "SL in points", "Risk")
        self._first_offset = self.Param("FirstOffset", 7).SetGreaterThanZero().SetDisplay("First Offset", "Older bar index", "Signal")
        self._second_offset = self.Param("SecondOffset", 2).SetGreaterThanZero().SetDisplay("Second Offset", "Newer bar index", "Signal")
        self._delta = self.Param("DeltaPoints", 1).SetGreaterThanZero().SetDisplay("Delta", "Min difference", "Signal")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))).SetDisplay("Candle Type", "Timeframe", "General")

    @property
    def CandleType(self): return self._candle_type.Value
    @CandleType.setter
    def CandleType(self, value): self._candle_type.Value = value

    def OnReseted(self):
        super(twenty_200_pips_strategy, self).OnReseted()
        self._opens = []

    def OnStarted2(self, time):
        super(twenty_200_pips_strategy, self).OnStarted2(time)
        self._opens = []

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self.OnProcess).Start()

        sec = self.Security
        point_value = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None and sec.PriceStep > 0 else 1.0
        sl = self._sl.Value
        tp = self._tp.Value
        from StockSharp.Messages import Unit, UnitTypes
        tp_unit = Unit(tp * point_value, UnitTypes.Absolute) if tp > 0 else None
        sl_unit = Unit(sl * point_value, UnitTypes.Absolute) if sl > 0 else None
        self.StartProtection(tp_unit, sl_unit)

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, sub)
            self.DrawOwnTrades(area)

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

        self._opens.append(float(candle.OpenPrice))
        max_offset = max(self._first_offset.Value, self._second_offset.Value)
        if len(self._opens) <= max_offset:
            return

        # Trim buffer
        if len(self._opens) > max_offset + 100:
            self._opens = self._opens[-(max_offset + 50):]

        if self.Position != 0:
            return

        open_first = self._opens[len(self._opens) - 1 - self._first_offset.Value]
        open_second = self._opens[len(self._opens) - 1 - self._second_offset.Value]
        threshold = self._delta.Value

        if open_first > open_second + threshold:
            self.SellMarket()
        elif open_first + threshold < open_second:
            self.BuyMarket()

    def CreateClone(self):
        return twenty_200_pips_strategy()