Estratégia de Divergência RSI & CCI

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

public class RsiCciDivergenceStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private decimal? _prevRsi, _prevCci;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }

	public RsiCciDivergenceStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14).SetGreaterThanZero().SetDisplay("RSI Period", "RSI lookback", "Indicators");
		_cciPeriod = Param(nameof(CciPeriod), 14).SetGreaterThanZero().SetDisplay("CCI Period", "CCI lookback", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = null;
		_prevCci = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevRsi = null; _prevCci = null;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, cci, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsiVal, decimal cciVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevRsi = rsiVal; _prevCci = cciVal; return; }
		if (_prevRsi == null || _prevCci == null) { _prevRsi = rsiVal; _prevCci = cciVal; return; }
		var buySignal = (_prevRsi.Value < 30m && rsiVal >= 30m) || (_prevCci.Value < -100m && cciVal >= -100m);
		var sellSignal = (_prevRsi.Value > 70m && rsiVal <= 70m) || (_prevCci.Value > 100m && cciVal <= 100m);
		_prevRsi = rsiVal; _prevCci = cciVal;
		if (buySignal && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (sellSignal && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
	}
}

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 RelativeStrengthIndex, CommodityChannelIndex
from StockSharp.Algo.Strategies import Strategy


class rsi_cci_divergence_strategy(Strategy):
    def __init__(self):
        super(rsi_cci_divergence_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._rsi_period = self.Param("RsiPeriod", 14) \
            .SetDisplay("RSI Period", "RSI lookback", "Indicators")
        self._cci_period = self.Param("CciPeriod", 14) \
            .SetDisplay("CCI Period", "CCI lookback", "Indicators")

        self._prev_rsi = None
        self._prev_cci = None

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def RsiPeriod(self):
        return self._rsi_period.Value
    @property
    def CciPeriod(self):
        return self._cci_period.Value

    def OnReseted(self):
        super(rsi_cci_divergence_strategy, self).OnReseted()
        self._prev_rsi = None
        self._prev_cci = None

    def OnStarted2(self, time):
        super(rsi_cci_divergence_strategy, self).OnStarted2(time)
        self._prev_rsi = None
        self._prev_cci = None
        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod
        cci = CommodityChannelIndex()
        cci.Length = self.CciPeriod
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(rsi, cci, self._on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def _on_process(self, candle, rsi_value, cci_value):
        if candle.State != CandleStates.Finished:
            return
        rv = float(rsi_value)
        cv = float(cci_value)
        if self._prev_rsi is None or self._prev_cci is None:
            self._prev_rsi = rv
            self._prev_cci = cv
            return
        buy_signal = (self._prev_rsi < 30.0 and rv >= 30.0) or (self._prev_cci < -100.0 and cv >= -100.0)
        sell_signal = (self._prev_rsi > 70.0 and rv <= 70.0) or (self._prev_cci > 100.0 and cv <= 100.0)
        self._prev_rsi = rv
        self._prev_cci = cv
        if buy_signal and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif sell_signal and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

    def CreateClone(self):
        return rsi_cci_divergence_strategy()