Estratégia de rede de segurança de elásticos

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Rubberbands Safety Net: Mean reversion with Bollinger-style bands.
/// Buys at lower band, sells at upper band with ATR stops.
/// </summary>
public class RubberbandsSafetyNetStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _bandMult;

	private decimal _entryPrice;

	public RubberbandsSafetyNetStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(8).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_smaLength = Param(nameof(SmaLength), 20)
			.SetDisplay("SMA Length", "SMA center band period.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period for bands and stops.", "Indicators");

		_bandMult = Param(nameof(BandMult), 2.0m)
			.SetDisplay("Band Mult", "ATR multiplier for bands.", "Signals");
	}

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

	public int SmaLength
	{
		get => _smaLength.Value;
		set => _smaLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	public decimal BandMult
	{
		get => _bandMult.Value;
		set => _bandMult.Value = value;
	}

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

		_entryPrice = 0;
	}

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

		_entryPrice = 0;

		var sma = new SimpleMovingAverage { Length = SmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, atr, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, sma);
			DrawOwnTrades(area);
		}
	}

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

		if (atrVal <= 0)
			return;

		var close = candle.ClosePrice;
		var upper = smaVal + atrVal * BandMult;
		var lower = smaVal - atrVal * BandMult;

		if (Position > 0)
		{
			if (close >= smaVal || close <= _entryPrice - atrVal * 3m)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= smaVal || close >= _entryPrice + atrVal * 3m)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (close <= lower)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (close >= upper)
			{
				_entryPrice = close;
				SellMarket();
			}
		}
	}
}

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.Strategies import Strategy
from StockSharp.Algo.Indicators import SimpleMovingAverage, AverageTrueRange

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(8))) \
            .SetDisplay("Candle Type", "Timeframe.", "General")
        self._sma_length = self.Param("SmaLength", 20) \
            .SetDisplay("SMA Length", "SMA center band period.", "Indicators")
        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period for bands and stops.", "Indicators")
        self._band_mult = self.Param("BandMult", 2.0) \
            .SetDisplay("Band Mult", "ATR multiplier for bands.", "Signals")

        self._entry_price = 0.0

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

    @property
    def SmaLength(self):
        return self._sma_length.Value

    @property
    def AtrLength(self):
        return self._atr_length.Value

    @property
    def BandMult(self):
        return self._band_mult.Value

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

        self._entry_price = 0.0

        self._sma = SimpleMovingAverage()
        self._sma.Length = self.SmaLength
        self._atr = AverageTrueRange()
        self._atr.Length = self.AtrLength

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._sma, self._atr, self.ProcessCandle).Start()

    def ProcessCandle(self, candle, sma_val, atr_val):
        if candle.State != CandleStates.Finished:
            return

        sv = float(sma_val)
        av = float(atr_val)

        if av <= 0:
            return

        close = float(candle.ClosePrice)
        bm = float(self.BandMult)
        upper = sv + av * bm
        lower = sv - av * bm

        if self.Position > 0:
            if close >= sv or close <= self._entry_price - av * 3.0:
                self.SellMarket()
                self._entry_price = 0.0
        elif self.Position < 0:
            if close <= sv or close >= self._entry_price + av * 3.0:
                self.BuyMarket()
                self._entry_price = 0.0

        if self.Position == 0:
            if close <= lower:
                self._entry_price = close
                self.BuyMarket()
            elif close >= upper:
                self._entry_price = close
                self.SellMarket()

    def OnReseted(self):
        super(rubberbands_safety_net_strategy, self).OnReseted()
        self._entry_price = 0.0

    def CreateClone(self):
        return rubberbands_safety_net_strategy()