Estratégia de Canais Donchian

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 DonchianChannelsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _period;
	private decimal? _prevHigh, _prevLow;

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

	public DonchianChannelsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_period = Param(nameof(Period), 20).SetGreaterThanZero().SetDisplay("Channel Period", "Donchian channel lookback", "Indicators");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevHigh = null; _prevLow = null;
		var highest = new Highest { Length = Period };
		var lowest = new Lowest { Length = Period };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(highest, lowest, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal high, decimal low)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevHigh = high; _prevLow = low; return; }
		if (_prevHigh == null || _prevLow == null) { _prevHigh = high; _prevLow = low; return; }
		if (candle.ClosePrice > _prevHigh.Value && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (candle.ClosePrice < _prevLow.Value && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevHigh = high; _prevLow = low;
	}
}

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 Highest, Lowest
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._period = self.Param("Period", 20) \
            .SetDisplay("Channel Period", "Donchian channel lookback", "Indicators")

        self._prev_high = None
        self._prev_low = None

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def Period(self):
        return self._period.Value

    def OnReseted(self):
        super(donchian_channels_strategy, self).OnReseted()
        self._prev_high = None
        self._prev_low = None

    def OnStarted2(self, time):
        super(donchian_channels_strategy, self).OnStarted2(time)
        self._prev_high = None
        self._prev_low = None
        highest = Highest()
        highest.Length = self.Period
        lowest = Lowest()
        lowest.Length = self.Period
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(highest, lowest, self._on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def _on_process(self, candle, high_value, low_value):
        if candle.State != CandleStates.Finished:
            return
        hv = float(high_value)
        lv = float(low_value)
        if self._prev_high is None or self._prev_low is None:
            self._prev_high = hv
            self._prev_low = lv
            return
        close = float(candle.ClosePrice)
        if close > self._prev_high and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif close < self._prev_low and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_high = hv
        self._prev_low = lv

    def CreateClone(self):
        return donchian_channels_strategy()