FrBestExp02 Estratégia Mod Maloma

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>
/// FrBestExp02 Maloma Mod strategy - MACD histogram crossover with EMA trend filter.
/// Buys when MACD histogram crosses above zero while price is above EMA.
/// Sells when MACD histogram crosses below zero while price is below EMA.
/// </summary>
public class FrBestExp02MalomaModStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevMacd;
	private decimal _prevSignal;
	private bool _hasPrev;

	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FrBestExp02MalomaModStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetDisplay("EMA Period", "EMA trend filter", "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(); _prevMacd = 0m; _prevSignal = 0m; _hasPrev = false; _currentEma = 0m; }

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

		_hasPrev = false;

		var macd = new MovingAverageConvergenceDivergenceSignal();
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macd, ProcessMacd)
			.Bind(ema, ProcessEma)
			.Start();
	}

	private decimal _currentEma;

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

		_currentEma = ema;
	}

	private void ProcessMacd(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!value.IsFinal || value.IsEmpty)
			return;

		var macdVal = value as MovingAverageConvergenceDivergenceSignalValue;
		if (macdVal == null)
			return;

		var macdLine = macdVal.Macd;
		var signalLine = macdVal.Signal;

		if (macdLine == null || signalLine == null)
			return;

		var histogram = macdLine.Value - signalLine.Value;

		if (!_hasPrev)
		{
			_prevMacd = macdLine.Value;
			_prevSignal = signalLine.Value;
			_hasPrev = true;
			return;
		}

		var prevHist = _prevMacd - _prevSignal;
		var close = candle.ClosePrice;

		// Histogram crosses above zero + bullish trend
		if (prevHist <= 0 && histogram > 0 && close > _currentEma && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Histogram crosses below zero + bearish trend
		else if (prevHist >= 0 && histogram < 0 && close < _currentEma && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevMacd = macdLine.Value;
		_prevSignal = signalLine.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
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import MovingAverageConvergenceDivergenceSignal, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class fr_best_exp02_maloma_mod_strategy(Strategy):
    def __init__(self):
        super(fr_best_exp02_maloma_mod_strategy, self).__init__()
        self._ema_period = self.Param("EmaPeriod", 20) \
            .SetDisplay("EMA Period", "EMA trend filter", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_macd = 0.0
        self._prev_signal = 0.0
        self._has_prev = False
        self._current_ema = 0.0

    @property
    def ema_period(self):
        return self._ema_period.Value

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

    def OnReseted(self):
        super(fr_best_exp02_maloma_mod_strategy, self).OnReseted()
        self._prev_macd = 0.0
        self._prev_signal = 0.0
        self._has_prev = False
        self._current_ema = 0.0

    def OnStarted2(self, time):
        super(fr_best_exp02_maloma_mod_strategy, self).OnStarted2(time)
        self._has_prev = False
        macd = MovingAverageConvergenceDivergenceSignal()
        ema = ExponentialMovingAverage()
        ema.Length = self.ema_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription \
            .BindEx(macd, self.process_macd) \
            .Bind(ema, self.process_ema) \
            .Start()

    def process_ema(self, candle, ema):
        if candle.State != CandleStates.Finished:
            return
        self._current_ema = float(ema)

    def process_macd(self, candle, value):
        if candle.State != CandleStates.Finished:
            return
        if not value.IsFinal or value.IsEmpty:
            return
        if value.Macd is None or value.Signal is None:
            return
        macd_line = float(value.Macd)
        signal_line = float(value.Signal)
        histogram = macd_line - signal_line
        if not self._has_prev:
            self._prev_macd = macd_line
            self._prev_signal = signal_line
            self._has_prev = True
            return
        prev_hist = self._prev_macd - self._prev_signal
        close = float(candle.ClosePrice)
        if prev_hist <= 0 and histogram > 0 and close > self._current_ema and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif prev_hist >= 0 and histogram < 0 and close < self._current_ema and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_macd = macd_line
        self._prev_signal = signal_line

    def CreateClone(self):
        return fr_best_exp02_maloma_mod_strategy()