Стратегия Pivot Point Supertrend

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>
/// Pivot Point Supertrend strategy.
/// Uses EMA crossover for trend reversal detection.
/// </summary>
public class PivotPointSupertrendStrategy : Strategy
{
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

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

	/// <summary>
	/// Initialize <see cref="PivotPointSupertrendStrategy"/>.
	/// </summary>
	public PivotPointSupertrendStrategy()
	{
		_slowPeriod = Param(nameof(SlowPeriod), 40)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, (candle, f, s) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!fast.IsFormed || !slow.IsFormed)
					return;

				if (!init)
				{
					prevF = f;
					prevS = s;
					init = true;
					return;
				}

				if (candle.OpenTime - lastSignal >= cooldown)
				{
					if (prevF <= prevS && f > s && Position <= 0)
					{
						BuyMarket();
						lastSignal = candle.OpenTime;
					}
					else if (prevF >= prevS && f < s && Position >= 0)
					{
						SellMarket();
						lastSignal = candle.OpenTime;
					}
				}

				prevF = f;
				prevS = s;
			})
			.Start();

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

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 pivot_point_supertrend_strategy(Strategy):
    def __init__(self):
        super(pivot_point_supertrend_strategy, self).__init__()
        self._slow_period = self.Param("SlowPeriod", 40) \
            .SetGreaterThanZero()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._initialized = False
        self._last_signal_ticks = 0

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

    @candle_type.setter
    def candle_type(self, value):
        self._candle_type.Value = value

    def OnReseted(self):
        super(pivot_point_supertrend_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._initialized = False
        self._last_signal_ticks = 0

    def OnStarted2(self, time):
        super(pivot_point_supertrend_strategy, self).OnStarted2(time)
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._initialized = False
        self._last_signal_ticks = 0
        self._fast = ExponentialMovingAverage()
        self._fast.Length = 14
        self._slow = ExponentialMovingAverage()
        self._slow.Length = self._slow_period.Value
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(self._fast, self._slow, self.OnProcess).Start()

    def OnProcess(self, candle, f, s):
        if candle.State != CandleStates.Finished:
            return
        if not self._fast.IsFormed or not self._slow.IsFormed:
            return
        fv = float(f)
        sv = float(s)
        if not self._initialized:
            self._prev_fast = fv
            self._prev_slow = sv
            self._initialized = True
            return
        cooldown_ticks = TimeSpan.FromMinutes(360).Ticks
        current_ticks = candle.OpenTime.Ticks
        if current_ticks - self._last_signal_ticks >= cooldown_ticks:
            if self._prev_fast <= self._prev_slow and fv > sv and self.Position <= 0:
                self.BuyMarket()
                self._last_signal_ticks = current_ticks
            elif self._prev_fast >= self._prev_slow and fv < sv and self.Position >= 0:
                self.SellMarket()
                self._last_signal_ticks = current_ticks
        self._prev_fast = fv
        self._prev_slow = sv

    def CreateClone(self):
        return pivot_point_supertrend_strategy()