Parabolic SAR MultiTimeframe

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>
/// Parabolic SAR trend-following strategy with EMA confirmation.
/// </summary>
public class ParabolicSarMultiTimeframeStrategy : Strategy
{
	private readonly StrategyParam<decimal> _sarAcceleration;
	private readonly StrategyParam<decimal> _sarMaxAcceleration;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<DataType> _candleType;

	public decimal SarAcceleration { get => _sarAcceleration.Value; set => _sarAcceleration.Value = value; }
	public decimal SarMaxAcceleration { get => _sarMaxAcceleration.Value; set => _sarMaxAcceleration.Value = value; }
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ParabolicSarMultiTimeframeStrategy()
	{
		_sarAcceleration = Param(nameof(SarAcceleration), 0.02m)
			.SetDisplay("SAR Accel", "SAR acceleration factor", "Indicators");

		_sarMaxAcceleration = Param(nameof(SarMaxAcceleration), 0.2m)
			.SetDisplay("SAR Max", "SAR max acceleration", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

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

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

		var sar = new ParabolicSar { Acceleration = SarAcceleration, AccelerationMax = SarMaxAcceleration };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

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

		var price = candle.ClosePrice;

		// Buy when price is above both SAR and EMA
		if (price > sarValue && price > emaValue && Position <= 0)
			BuyMarket();
		// Sell when price is below both SAR and EMA
		else if (price < sarValue && price < emaValue && Position >= 0)
			SellMarket();

		// Exit on SAR flip
		if (Position > 0 && price < sarValue)
			SellMarket();
		else if (Position < 0 && price > sarValue)
			BuyMarket();
	}
}

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, ParabolicSar
from StockSharp.Algo.Strategies import Strategy


class parabolic_sar_multi_timeframe_strategy(Strategy):
    def __init__(self):
        super(parabolic_sar_multi_timeframe_strategy, self).__init__()
        self._sar_acceleration = self.Param("SarAcceleration", 0.02) \
            .SetDisplay("SAR Accel", "SAR acceleration factor", "Indicators")
        self._sar_max_acceleration = self.Param("SarMaxAcceleration", 0.2) \
            .SetDisplay("SAR Max", "SAR max acceleration", "Indicators")
        self._ema_length = self.Param("EmaLength", 50) \
            .SetDisplay("EMA Length", "EMA trend filter period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle Type", "General")

    @property
    def sar_acceleration(self):
        return self._sar_acceleration.Value

    @property
    def sar_max_acceleration(self):
        return self._sar_max_acceleration.Value

    @property
    def ema_length(self):
        return self._ema_length.Value

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

    def OnStarted2(self, time):
        super(parabolic_sar_multi_timeframe_strategy, self).OnStarted2(time)
        sar = ParabolicSar()
        sar.Acceleration = self.sar_acceleration
        sar.AccelerationMax = self.sar_max_acceleration
        ema = ExponentialMovingAverage()
        ema.Length = self.ema_length
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(sar, ema, self.on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, sar)
            self.DrawIndicator(area, ema)
            self.DrawOwnTrades(area)

    def on_process(self, candle, sar_value, ema_value):
        if candle.State != CandleStates.Finished:
            return
        price = candle.ClosePrice
        # Buy when price is above both SAR and EMA
        if price > sar_value and price > ema_value and self.Position <= 0:
            self.BuyMarket()
        # Sell when price is below both SAR and EMA
        elif price < sar_value and price < ema_value and self.Position >= 0:
            self.SellMarket()
        # Exit on SAR flip
        if self.Position > 0 and price < sar_value:
            self.SellMarket()
        elif self.Position < 0 and price > sar_value:
            self.BuyMarket()

    def CreateClone(self):
        return parabolic_sar_multi_timeframe_strategy()