Estratégia de Canais

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Channels strategy - EMA envelope breakout.
/// Buys when price breaks above fast EMA + offset, sells when it breaks below.
/// Uses slow EMA as trend filter.
/// </summary>
public class ChannelsStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ChannelsStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 30)
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

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

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevFast = 0m; _prevSlow = 0m; _hasPrev = false; }

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

		_hasPrev = false;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

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

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

		if (!_hasPrev)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_hasPrev = true;
			return;
		}

		var close = candle.ClosePrice;

		// Buy: price crosses above fast EMA, fast EMA above slow EMA (uptrend)
		if (close > fast && fast > slow && _prevFast <= _prevSlow && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Sell: price crosses below fast EMA, fast EMA below slow EMA (downtrend)
		else if (close < fast && fast < slow && _prevFast >= _prevSlow && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}
		// Exit long when fast crosses below slow
		else if (Position > 0 && fast < slow && _prevFast >= _prevSlow)
		{
			SellMarket();
		}
		// Exit short when fast crosses above slow
		else if (Position < 0 && fast > slow && _prevFast <= _prevSlow)
		{
			BuyMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}

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 ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class channels_strategy(Strategy):
    def __init__(self):
        super(channels_strategy, self).__init__()
        self._fast_period = self.Param("FastPeriod", 10) \
            .SetDisplay("Fast EMA", "Fast EMA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 30) \
            .SetDisplay("Slow EMA", "Slow EMA period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

    @property
    def fast_period(self):
        return self._fast_period.Value

    @property
    def slow_period(self):
        return self._slow_period.Value

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

    def OnReseted(self):
        super(channels_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(channels_strategy, self).OnStarted2(time)
        self._has_prev = False
        fast = ExponentialMovingAverage()
        fast.Length = self.fast_period
        slow = ExponentialMovingAverage()
        slow.Length = self.slow_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast, slow, self.process_candle).Start()

    def process_candle(self, candle, fast, slow):
        if candle.State != CandleStates.Finished:
            return
        fast_val = float(fast)
        slow_val = float(slow)
        if not self._has_prev:
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            self._has_prev = True
            return
        close = float(candle.ClosePrice)
        if close > fast_val and fast_val > slow_val and self._prev_fast <= self._prev_slow and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif close < fast_val and fast_val < slow_val and self._prev_fast >= self._prev_slow and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        elif self.Position > 0 and fast_val < slow_val and self._prev_fast >= self._prev_slow:
            self.SellMarket()
        elif self.Position < 0 and fast_val > slow_val and self._prev_fast <= self._prev_slow:
            self.BuyMarket()
        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        return channels_strategy()