Стратегия «Три чёрных ворона»

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Three Black Crows strategy.
/// While flat it sells after three bearish candles in a row, each closing below the previous close.
/// The stop lies StopLossPercent above the pattern's highest high, and a close beyond it closes the position.
/// </summary>
public class ThreeBlackCrowsStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<ICandleMessage> _candles = [];
	private decimal _stopPrice;

	/// <summary>
	/// Distance of the stop beyond the pattern, in percent.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public ThreeBlackCrowsStrategy()
	{
		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Distance of the stop beyond the pattern, in percent", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_candles.Clear();
		_stopPrice = default;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_candles.Clear();
		_stopPrice = default;

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

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

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

		_candles.Add(candle);

		if (_candles.Count > 3)
			_candles.RemoveAt(0);

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position < 0)
		{
			if (candle.ClosePrice >= _stopPrice)
				BuyMarket(-Position);

			return;
		}

		if (Position != 0 || _candles.Count < 3)
			return;

		var c0 = _candles[0];
		var c1 = _candles[1];
		var c2 = _candles[2];

		if (!(c0.ClosePrice < c0.OpenPrice && c1.ClosePrice < c1.OpenPrice && c2.ClosePrice < c2.OpenPrice && c1.ClosePrice < c0.ClosePrice && c2.ClosePrice < c1.ClosePrice))
			return;

		SellMarket(Volume);
		_stopPrice = Math.Max(Math.Max(c0.HighPrice, c1.HighPrice), c2.HighPrice) * (1 + StopLossPercent / 100m);
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan, Math, Decimal
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Strategies import Strategy

class three_black_crows_strategy(Strategy):
    """
    Three Black Crows strategy.
    While flat it sells after three bearish candles in a row, each closing below the previous close.
    The stop lies StopLossPercent above the pattern's highest high, and a close beyond it closes the position.
    """

    def __init__(self):
        super(three_black_crows_strategy, self).__init__()
        self._stop_loss_percent = self.Param("StopLossPercent", 2.0).SetNotNegative().SetDisplay("Stop Loss %", "Distance of the stop beyond the pattern, in percent", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15))).SetDisplay("Candle Type", "Type of candles to use", "General")

        self._candles = []
        self._stop_price = Decimal(0)

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

    def OnReseted(self):
        super(three_black_crows_strategy, self).OnReseted()
        self._candles = []
        self._stop_price = Decimal(0)

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

        self._candles = []
        self._stop_price = Decimal(0)

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(self._process_candle).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

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

        self._candles.append(candle)
        if len(self._candles) > 3:
            self._candles.pop(0)

        if not self.IsFormedAndOnlineAndAllowTrading():
            return

        if self.Position < 0:
            if candle.ClosePrice >= self._stop_price:
                self.BuyMarket(-self.Position)
            return

        if self.Position != 0 or len(self._candles) < 3:
            return

        c0, c1, c2 = self._candles

        if not (c0.ClosePrice < c0.OpenPrice and c1.ClosePrice < c1.OpenPrice and c2.ClosePrice < c2.OpenPrice and c1.ClosePrice < c0.ClosePrice and c2.ClosePrice < c1.ClosePrice):
            return

        self.SellMarket(self.Volume)
        self._stop_price = max(c0.HighPrice, c1.HighPrice, c2.HighPrice) * (Decimal(1) + Decimal(self._stop_loss_percent.Value) / Decimal(100))

    def CreateClone(self):
        return three_black_crows_strategy()