Estratégia Exp Skyscraper Fix + ColorAML + X2MA Candle MMRec

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Combines Skyscraper Fix, ColorAML and X2MA-style filters into a single consensus strategy.
/// </summary>
public class ExpSkyscraperFixColorAmlX2MaCandleMmRecStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _channelLength;
	private readonly StrategyParam<decimal> _channelFactor;
	private readonly StrategyParam<int> _amlLength;
	private readonly StrategyParam<int> _x2FastLength;
	private readonly StrategyParam<int> _x2SlowLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;

	private readonly List<decimal> _highs = new();
	private readonly List<decimal> _lows = new();
	private readonly List<decimal> _closes = new();
	private readonly List<decimal> _weightedPrices = new();
	private readonly List<decimal> _amlSeries = new();
	private readonly List<decimal> _fastSeries = new();
	private readonly List<decimal> _slowSeries = new();

	private decimal? _previousAml;
	private int _previousConsensus;
	private decimal? _entryPrice;
	private int _cooldownLeft;

	public ExpSkyscraperFixColorAmlX2MaCandleMmRecStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_channelLength = Param(nameof(ChannelLength), 10).SetGreaterThanZero().SetDisplay("Channel Length", "ATR channel length", "Skyscraper");
		_channelFactor = Param(nameof(ChannelFactor), 0.9m).SetGreaterThanZero().SetDisplay("Channel Factor", "ATR multiplier", "Skyscraper");
		_amlLength = Param(nameof(AmlLength), 7).SetGreaterThanZero().SetDisplay("AML Length", "Adaptive smoothing length", "ColorAML");
		_x2FastLength = Param(nameof(X2FastLength), 12).SetGreaterThanZero().SetDisplay("X2 Fast", "Fast smoothing length", "X2MA");
		_x2SlowLength = Param(nameof(X2SlowLength), 5).SetGreaterThanZero().SetDisplay("X2 Slow", "Slow smoothing length", "X2MA");
		_cooldownBars = Param(nameof(CooldownBars), 2).SetNotNegative().SetDisplay("Cooldown Bars", "Bars between flips", "Trading");
		_stopLossPips = Param(nameof(StopLossPips), 500).SetNotNegative().SetDisplay("Stop Loss", "Stop distance in pips", "Risk");
		_takeProfitPips = Param(nameof(TakeProfitPips), 900).SetNotNegative().SetDisplay("Take Profit", "Take-profit distance in pips", "Risk");
	}

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int ChannelLength { get => _channelLength.Value; set => _channelLength.Value = value; }
	public decimal ChannelFactor { get => _channelFactor.Value; set => _channelFactor.Value = value; }
	public int AmlLength { get => _amlLength.Value; set => _amlLength.Value = value; }
	public int X2FastLength { get => _x2FastLength.Value; set => _x2FastLength.Value = value; }
	public int X2SlowLength { get => _x2SlowLength.Value; set => _x2SlowLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public int StopLossPips { get => _stopLossPips.Value; set => _stopLossPips.Value = value; }
	public int TakeProfitPips { get => _takeProfitPips.Value; set => _takeProfitPips.Value = value; }

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

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

		_highs.Clear();
		_lows.Clear();
		_closes.Clear();
		_weightedPrices.Clear();
		_amlSeries.Clear();
		_fastSeries.Clear();
		_slowSeries.Clear();
		_previousAml = null;
		_previousConsensus = 0;
		_entryPrice = null;
		_cooldownLeft = 0;
	}

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

		OnReseted();

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

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

		if (_cooldownLeft > 0)
			_cooldownLeft--;

		_highs.Add(candle.HighPrice);
		_lows.Add(candle.LowPrice);
		_closes.Add(candle.ClosePrice);

		var weightedPrice = (candle.OpenPrice + candle.HighPrice + candle.LowPrice + 2m * candle.ClosePrice) / 5m;
		_weightedPrices.Add(weightedPrice);

		var fast = CalculateEma(_closes, X2FastLength, _fastSeries);
		var slow = CalculateEma(_fastSeries, X2SlowLength, _slowSeries);
		var aml = CalculateEma(_weightedPrices, AmlLength, _amlSeries);

		if (Position != 0 && _entryPrice is null)
			_entryPrice = candle.ClosePrice;

		if (TryExitByRisk(candle))
			return;

		if (_highs.Count <= Math.Max(ChannelLength, Math.Max(AmlLength, X2FastLength + X2SlowLength)))
		{
			_previousAml = aml;
			return;
		}

		var skyscraperSignal = GetSkyscraperSignal();
		var colorAmlSignal = _previousAml is decimal previousAml
			? aml > previousAml ? 1 : aml < previousAml ? -1 : 0
			: 0;
		var x2MaSignal = fast > slow && candle.ClosePrice >= candle.OpenPrice
			? 1
			: fast < slow && candle.ClosePrice <= candle.OpenPrice
				? -1
				: 0;

		_previousAml = aml;

		var score = skyscraperSignal + colorAmlSignal + x2MaSignal;
		var consensus = score >= 2 ? 1 : score <= -2 ? -1 : 0;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousConsensus = consensus;
			return;
		}

		if (consensus == _previousConsensus || consensus == 0 || _cooldownLeft > 0)
		{
			_previousConsensus = consensus;
			return;
		}

		if (consensus > 0 && Position <= 0)
		{
			if (Position < 0)
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = null;
			}
			else
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
			}

			_cooldownLeft = CooldownBars;
		}
		else if (consensus < 0 && Position >= 0)
		{
			if (Position > 0)
			{
				SellMarket(Position);
				_entryPrice = null;
			}
			else
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
			}

			_cooldownLeft = CooldownBars;
		}

		_previousConsensus = consensus;
	}

	private int GetSkyscraperSignal()
	{
		var length = ChannelLength;
		if (_closes.Count < length || _highs.Count < length || _lows.Count < length)
			return 0;

		var start = _closes.Count - length;
		decimal atrSum = 0m;

		for (var i = start; i < _closes.Count; i++)
		{
			var high = _highs[i];
			var low = _lows[i];
			var previousClose = i > 0 ? _closes[i - 1] : _closes[i];
			var trueRange = Math.Max(high - low, Math.Max(Math.Abs(high - previousClose), Math.Abs(low - previousClose)));
			atrSum += trueRange;
		}

		var atr = atrSum / length;
		var middle = (_highs[^1] + _lows[^1]) / 2m;
		var upper = middle + atr * ChannelFactor;
		var lower = middle - atr * ChannelFactor;
		var close = _closes[^1];

		if (close > upper)
			return 1;

		if (close < lower)
			return -1;

		return 0;
	}

	private bool TryExitByRisk(ICandleMessage candle)
	{
		if (_entryPrice is not decimal entryPrice || Position == 0)
			return false;

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

		var stopDistance = StopLossPips * step;
		var takeDistance = TakeProfitPips * step;

		if (Position > 0)
		{
			if ((stopDistance > 0 && candle.LowPrice <= entryPrice - stopDistance) ||
				(takeDistance > 0 && candle.HighPrice >= entryPrice + takeDistance))
			{
				SellMarket(Position);
				_entryPrice = null;
				_cooldownLeft = CooldownBars;
				return true;
			}
		}
		else if (Position < 0)
		{
			var volume = Math.Abs(Position);

			if ((stopDistance > 0 && candle.HighPrice >= entryPrice + stopDistance) ||
				(takeDistance > 0 && candle.LowPrice <= entryPrice - takeDistance))
			{
				BuyMarket(volume);
				_entryPrice = null;
				_cooldownLeft = CooldownBars;
				return true;
			}
		}

		return false;
	}

	private static decimal CalculateEma(IReadOnlyList<decimal> source, int length, List<decimal> target)
	{
		var multiplier = 2m / (length + 1m);
		var value = target is { Count: > 0 }
			? source[^1] * multiplier + target[^1] * (1m - multiplier)
			: source[^1];

		target?.Add(value);
		return value;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, Decimal, Math
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Strategies import Strategy


class exp_skyscraper_fix_color_aml_x2_ma_candle_mm_rec_strategy(Strategy):
    def __init__(self):
        super(exp_skyscraper_fix_color_aml_x2_ma_candle_mm_rec_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._channel_length = self.Param("ChannelLength", 10) \
            .SetGreaterThanZero() \
            .SetDisplay("Channel Length", "ATR channel length", "Skyscraper")
        self._channel_factor = self.Param("ChannelFactor", Decimal(0.9)) \
            .SetGreaterThanZero() \
            .SetDisplay("Channel Factor", "ATR multiplier", "Skyscraper")
        self._aml_length = self.Param("AmlLength", 7) \
            .SetGreaterThanZero() \
            .SetDisplay("AML Length", "Adaptive smoothing length", "ColorAML")
        self._x2_fast_length = self.Param("X2FastLength", 12) \
            .SetGreaterThanZero() \
            .SetDisplay("X2 Fast", "Fast smoothing length", "X2MA")
        self._x2_slow_length = self.Param("X2SlowLength", 5) \
            .SetGreaterThanZero() \
            .SetDisplay("X2 Slow", "Slow smoothing length", "X2MA")
        self._cooldown_bars = self.Param("CooldownBars", 2) \
            .SetDisplay("Cooldown Bars", "Bars between flips", "Trading")
        self._stop_loss_pips = self.Param("StopLossPips", 500) \
            .SetDisplay("Stop Loss", "Stop distance in pips", "Risk")
        self._take_profit_pips = self.Param("TakeProfitPips", 900) \
            .SetDisplay("Take Profit", "Take-profit distance in pips", "Risk")

        self._highs = []
        self._lows = []
        self._closes = []
        self._weighted_prices = []
        self._aml_series = []
        self._fast_series = []
        self._slow_series = []
        self._previous_aml = None
        self._previous_consensus = 0
        self._entry_price = None
        self._cooldown_left = 0

    @property
    def CandleType(self):
        return self._candle_type.Value
    @property
    def ChannelLength(self):
        return self._channel_length.Value
    @property
    def ChannelFactor(self):
        return self._channel_factor.Value
    @property
    def AmlLength(self):
        return self._aml_length.Value
    @property
    def X2FastLength(self):
        return self._x2_fast_length.Value
    @property
    def X2SlowLength(self):
        return self._x2_slow_length.Value
    @property
    def CooldownBars(self):
        return self._cooldown_bars.Value
    @property
    def StopLossPips(self):
        return self._stop_loss_pips.Value
    @property
    def TakeProfitPips(self):
        return self._take_profit_pips.Value

    def OnReseted(self):
        super(exp_skyscraper_fix_color_aml_x2_ma_candle_mm_rec_strategy, self).OnReseted()
        self._highs = []
        self._lows = []
        self._closes = []
        self._weighted_prices = []
        self._aml_series = []
        self._fast_series = []
        self._slow_series = []
        self._previous_aml = None
        self._previous_consensus = 0
        self._entry_price = None
        self._cooldown_left = 0

    def OnStarted2(self, time):
        super(exp_skyscraper_fix_color_aml_x2_ma_candle_mm_rec_strategy, self).OnStarted2(time)
        self._highs = []
        self._lows = []
        self._closes = []
        self._weighted_prices = []
        self._aml_series = []
        self._fast_series = []
        self._slow_series = []
        self._previous_aml = None
        self._previous_consensus = 0
        self._entry_price = None
        self._cooldown_left = 0
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._on_process).Start()

    def _calc_ema(self, source, length, target):
        multiplier = Decimal(2) / (Decimal(length) + Decimal(1))
        if len(target) > 0:
            value = source[-1] * multiplier + target[-1] * (Decimal(1) - multiplier)
        else:
            value = source[-1]
        target.append(value)
        return value

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

        if self._cooldown_left > 0:
            self._cooldown_left -= 1

        h = candle.HighPrice
        l = candle.LowPrice
        c = candle.ClosePrice
        o = candle.OpenPrice

        self._highs.append(h)
        self._lows.append(l)
        self._closes.append(c)

        weighted_price = (o + h + l + Decimal(2) * c) / Decimal(5)
        self._weighted_prices.append(weighted_price)

        fast = self._calc_ema(self._closes, self.X2FastLength, self._fast_series)
        slow = self._calc_ema(self._fast_series, self.X2SlowLength, self._slow_series)
        aml = self._calc_ema(self._weighted_prices, self.AmlLength, self._aml_series)

        if self.Position != 0 and self._entry_price is None:
            self._entry_price = c

        if self._try_exit_by_risk(candle):
            return

        req = max(self.ChannelLength, max(self.AmlLength, self.X2FastLength + self.X2SlowLength))
        if len(self._highs) <= req:
            self._previous_aml = aml
            return

        sky_signal = self._get_skyscraper_signal()
        if self._previous_aml is not None:
            if aml > self._previous_aml:
                color_aml_signal = 1
            elif aml < self._previous_aml:
                color_aml_signal = -1
            else:
                color_aml_signal = 0
        else:
            color_aml_signal = 0

        if fast > slow and c >= o:
            x2_ma_signal = 1
        elif fast < slow and c <= o:
            x2_ma_signal = -1
        else:
            x2_ma_signal = 0

        self._previous_aml = aml

        score = sky_signal + color_aml_signal + x2_ma_signal
        if score >= 2:
            consensus = 1
        elif score <= -2:
            consensus = -1
        else:
            consensus = 0

        if not self.IsFormedAndOnlineAndAllowTrading():
            self._previous_consensus = consensus
            return

        if consensus == self._previous_consensus or consensus == 0 or self._cooldown_left > 0:
            self._previous_consensus = consensus
            return

        if consensus > 0 and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket(Math.Abs(self.Position))
                self._entry_price = None
            else:
                self.BuyMarket()
                self._entry_price = c
            self._cooldown_left = self.CooldownBars
        elif consensus < 0 and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket(self.Position)
                self._entry_price = None
            else:
                self.SellMarket()
                self._entry_price = c
            self._cooldown_left = self.CooldownBars

        self._previous_consensus = consensus

    def _get_skyscraper_signal(self):
        length = self.ChannelLength
        if len(self._closes) < length or len(self._highs) < length or len(self._lows) < length:
            return 0

        start = len(self._closes) - length
        atr_sum = Decimal(0)
        for i in range(start, len(self._closes)):
            h = self._highs[i]
            l = self._lows[i]
            prev_c = self._closes[i - 1] if i > 0 else self._closes[i]
            tr = max(h - l, max(Math.Abs(h - prev_c), Math.Abs(l - prev_c)))
            atr_sum += tr

        atr = atr_sum / Decimal(length)
        middle = (self._highs[-1] + self._lows[-1]) / Decimal(2)
        upper = middle + atr * self.ChannelFactor
        lower = middle - atr * self.ChannelFactor
        close = self._closes[-1]

        if close > upper:
            return 1
        if close < lower:
            return -1
        return 0

    def _try_exit_by_risk(self, candle):
        if self._entry_price is None or self.Position == 0:
            return False

        sec = self.Security
        step = sec.PriceStep if sec is not None and sec.PriceStep is not None else Decimal(1)
        if step <= Decimal(0):
            step = Decimal(1)

        stop_distance = Decimal(self.StopLossPips) * step
        take_distance = Decimal(self.TakeProfitPips) * step

        if self.Position > 0:
            if (stop_distance > Decimal(0) and candle.LowPrice <= self._entry_price - stop_distance) or \
               (take_distance > Decimal(0) and candle.HighPrice >= self._entry_price + take_distance):
                self.SellMarket(self.Position)
                self._entry_price = None
                self._cooldown_left = self.CooldownBars
                return True
        elif self.Position < 0:
            volume = Math.Abs(self.Position)
            if (stop_distance > Decimal(0) and candle.HighPrice >= self._entry_price + stop_distance) or \
               (take_distance > Decimal(0) and candle.LowPrice <= self._entry_price - take_distance):
                self.BuyMarket(volume)
                self._entry_price = None
                self._cooldown_left = self.CooldownBars
                return True

        return False

    def CreateClone(self):
        return exp_skyscraper_fix_color_aml_x2_ma_candle_mm_rec_strategy()