Estratégia AMS ES RSI

namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Morning/Evening Star + RSI strategy.
/// Buys on morning star with low RSI, sells on evening star with high RSI.
/// </summary>
public class AmsEsRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiLow;
	private readonly StrategyParam<decimal> _rsiHigh;

	private ICandleMessage _prevCandle;
	private ICandleMessage _prevPrevCandle;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public decimal RsiLow { get => _rsiLow.Value; set => _rsiLow.Value = value; }
	public decimal RsiHigh { get => _rsiHigh.Value; set => _rsiHigh.Value = value; }

	public AmsEsRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
		_rsiLow = Param(nameof(RsiLow), 40m)
			.SetDisplay("RSI Low", "RSI oversold threshold", "Signals");
		_rsiHigh = Param(nameof(RsiHigh), 60m)
			.SetDisplay("RSI High", "RSI overbought threshold", "Signals");
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevCandle = null;
		_prevPrevCandle = null;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
	}

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

		if (_prevCandle != null && _prevPrevCandle != null)
		{
			var prevBody = Math.Abs(_prevCandle.ClosePrice - _prevCandle.OpenPrice);
			var prevRange = _prevCandle.HighPrice - _prevCandle.LowPrice;
			var isSmallBody = prevRange > 0 && prevBody < prevRange * 0.3m;

			var firstBearish = _prevPrevCandle.OpenPrice > _prevPrevCandle.ClosePrice;
			var currBullish = candle.ClosePrice > candle.OpenPrice;
			var isMorningStar = firstBearish && isSmallBody && currBullish;

			var firstBullish = _prevPrevCandle.ClosePrice > _prevPrevCandle.OpenPrice;
			var currBearish = candle.OpenPrice > candle.ClosePrice;
			var isEveningStar = firstBullish && isSmallBody && currBearish;

			if (isMorningStar && rsiValue < RsiLow && Position <= 0)
				BuyMarket();
			else if (isEveningStar && rsiValue > RsiHigh && Position >= 0)
				SellMarket();
		}

		_prevPrevCandle = _prevCandle;
		_prevCandle = candle;
	}
}

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
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._rsi_period = self.Param("RsiPeriod", 14)
        self._rsi_low = self.Param("RsiLow", 40.0)
        self._rsi_high = self.Param("RsiHigh", 60.0)

        self._prev_candle = None
        self._prev_prev_candle = None

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

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

    @property
    def RsiPeriod(self):
        return self._rsi_period.Value

    @RsiPeriod.setter
    def RsiPeriod(self, value):
        self._rsi_period.Value = value

    @property
    def RsiLow(self):
        return self._rsi_low.Value

    @RsiLow.setter
    def RsiLow(self, value):
        self._rsi_low.Value = value

    @property
    def RsiHigh(self):
        return self._rsi_high.Value

    @RsiHigh.setter
    def RsiHigh(self, value):
        self._rsi_high.Value = value

    def OnReseted(self):
        super(ams_es_rsi_strategy, self).OnReseted()
        self._prev_candle = None
        self._prev_prev_candle = None

    def OnStarted2(self, time):
        super(ams_es_rsi_strategy, self).OnStarted2(time)
        self._prev_candle = None
        self._prev_prev_candle = None

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(rsi, self._process_candle).Start()

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

        rsi_val = float(rsi_value)

        if self._prev_candle is not None and self._prev_prev_candle is not None:
            prev_body = abs(float(self._prev_candle.ClosePrice) - float(self._prev_candle.OpenPrice))
            prev_range = float(self._prev_candle.HighPrice) - float(self._prev_candle.LowPrice)
            is_small_body = prev_range > 0 and prev_body < prev_range * 0.3

            first_bearish = float(self._prev_prev_candle.OpenPrice) > float(self._prev_prev_candle.ClosePrice)
            curr_bullish = float(candle.ClosePrice) > float(candle.OpenPrice)
            is_morning_star = first_bearish and is_small_body and curr_bullish

            first_bullish = float(self._prev_prev_candle.ClosePrice) > float(self._prev_prev_candle.OpenPrice)
            curr_bearish = float(candle.OpenPrice) > float(candle.ClosePrice)
            is_evening_star = first_bullish and is_small_body and curr_bearish

            if is_morning_star and rsi_val < self.RsiLow and self.Position <= 0:
                self.BuyMarket()
            elif is_evening_star and rsi_val > self.RsiHigh and self.Position >= 0:
                self.SellMarket()

        self._prev_prev_candle = self._prev_candle
        self._prev_candle = candle

    def CreateClone(self):
        return ams_es_rsi_strategy()