Estratégia do sistema HBS (versão StockSharp)

using System;



using StockSharp.Algo.Indicators;

using StockSharp.Algo.Strategies;

using StockSharp.BusinessEntities;

using StockSharp.Messages;



namespace StockSharp.Samples.Strategies;



public class HbsSystemStrategy : 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;

	private int _cooldown;



	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 HbsSystemStrategy()

	{

		_fastPeriod = Param(nameof(FastPeriod), 5).SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 13).SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame()).SetDisplay("Candle Type", "Candle timeframe", "General");

	}



	/// <inheritdoc />

	protected override void OnReseted()

	{

		base.OnReseted();

		_prevFast = default;

		_prevSlow = default;

		_hasPrev = default;

		_cooldown = default;

	}



	/// <inheritdoc />

	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 (!IsFormedAndOnlineAndAllowTrading()) return;

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

		if (_cooldown > 0)

		{

			_cooldown--;

			_prevFast = fast; _prevSlow = slow;

			return;

		}



		if (_prevFast <= _prevSlow && fast > slow && Position <= 0)

		{

			var volume = Volume + Math.Abs(Position);

			BuyMarket(volume);

			_cooldown = 2;

		}

		else if (_prevFast >= _prevSlow && fast < slow && Position >= 0)

		{

			var volume = Volume + Math.Abs(Position);

			SellMarket(volume);

			_cooldown = 2;

		}

		_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 hbs_system_strategy(Strategy):
    """
    HBS System: EMA crossover with cooldown.
    Buys on fast EMA crossing above slow EMA, sells on reverse.
    """

    def __init__(self):
        super(hbs_system_strategy, self).__init__()
        self._fast_period = self.Param("FastPeriod", 5) \
            .SetDisplay("Fast EMA", "Fast EMA period", "Indicators")
        self._slow_period = self.Param("SlowPeriod", 13) \
            .SetDisplay("Slow EMA", "Slow EMA period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False
        self._cooldown = 0

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

    def OnReseted(self):
        super(hbs_system_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._has_prev = False
        self._cooldown = 0

    def OnStarted2(self, time):
        super(hbs_system_strategy, self).OnStarted2(time)

        fast = ExponentialMovingAverage()
        fast.Length = self._fast_period.Value
        slow = ExponentialMovingAverage()
        slow.Length = self._slow_period.Value

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast, slow, self._process_candle).Start()

    def _process_candle(self, candle, fast_val, slow_val):
        if candle.State != CandleStates.Finished:
            return
        if not self.IsFormedAndOnlineAndAllowTrading():
            return

        fast = float(fast_val)
        slow = float(slow_val)

        if not self._has_prev:
            self._prev_fast = fast
            self._prev_slow = slow
            self._has_prev = True
            return

        if self._cooldown > 0:
            self._cooldown -= 1
            self._prev_fast = fast
            self._prev_slow = slow
            return

        if self._prev_fast <= self._prev_slow and fast > slow and self.Position <= 0:
            volume = self.Volume + abs(self.Position)
            self.BuyMarket(volume)
            self._cooldown = 2
        elif self._prev_fast >= self._prev_slow and fast < slow and self.Position >= 0:
            volume = self.Volume + abs(self.Position)
            self.SellMarket(volume)
            self._cooldown = 2

        self._prev_fast = fast
        self._prev_slow = slow

    def CreateClone(self):
        return hbs_system_strategy()