Стратегия Geedo

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>
/// Time-based strategy comparing open prices with ATR-based stop/take.
/// </summary>
public class GeedoStrategy : Strategy
{
	private readonly StrategyParam<int> _lookback;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _openHistory = new();
	private decimal _entryPrice;

	public int Lookback { get => _lookback.Value; set => _lookback.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public GeedoStrategy()
	{
		_lookback = Param(nameof(Lookback), 6)
			.SetGreaterThanZero()
			.SetDisplay("Lookback", "Open price lookback bars", "Indicators");
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for stops", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_openHistory.Clear();
		_entryPrice = 0;
	}

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

		var atr = new StandardDeviation { Length = AtrPeriod };
		SubscribeCandles(CandleType).Bind(atr, ProcessCandle).Start();
	}

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

		_openHistory.Add(candle.OpenPrice);
		if (_openHistory.Count > Lookback + 1)
			_openHistory.RemoveAt(0);

		if (_openHistory.Count <= Lookback) return;
		if (atrVal <= 0) return;

		var close = candle.ClosePrice;

		// Exit check
		if (Position > 0 && _entryPrice > 0)
		{
			if (close <= _entryPrice - atrVal * 2 || close >= _entryPrice + atrVal * 1.5m)
			{
				SellMarket();
				_entryPrice = 0;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (close >= _entryPrice + atrVal * 2 || close <= _entryPrice - atrVal * 1.5m)
			{
				BuyMarket();
				_entryPrice = 0;
				return;
			}
		}

		var pastOpen = _openHistory[0];
		var currentOpen = _openHistory[^1];
		var diff = currentOpen - pastOpen;

		// Price rising => long
		if (diff > atrVal * 0.5m && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
			_entryPrice = close;
		}
		// Price falling => short
		else if (diff < -atrVal * 0.5m && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
			_entryPrice = close;
		}
	}
}

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 StandardDeviation
from StockSharp.Algo.Strategies import Strategy


class geedo_strategy(Strategy):
    def __init__(self):
        super(geedo_strategy, self).__init__()
        self._lookback = self.Param("Lookback", 6) \
            .SetDisplay("Lookback", "Open price lookback bars", "Indicators")
        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetDisplay("ATR Period", "ATR period for stops", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Type of candles", "General")
        self._open_history = []
        self._entry_price = 0.0

    @property
    def lookback(self):
        return self._lookback.Value

    @property
    def atr_period(self):
        return self._atr_period.Value

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

    def OnReseted(self):
        super(geedo_strategy, self).OnReseted()
        self._open_history = []
        self._entry_price = 0.0

    def OnStarted2(self, time):
        super(geedo_strategy, self).OnStarted2(time)
        atr = StandardDeviation()
        atr.Length = self.atr_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(atr, self.on_process).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def on_process(self, candle, atr_val):
        if candle.State != CandleStates.Finished:
            return
        self._open_history.append(candle.OpenPrice)
        if len(self._open_history) > self.lookback + 1:
            self._open_history.pop(0)
        if len(self._open_history) <= self.lookback:
            return
        if atr_val <= 0:
            return
        close = candle.ClosePrice
        # Exit check
        if self.Position > 0 and self._entry_price > 0:
            if close <= self._entry_price - atr_val * 2 or close >= self._entry_price + atr_val * 1.5:
                self.SellMarket()
                self._entry_price = 0
                return
        elif self.Position < 0 and self._entry_price > 0:
            if close >= self._entry_price + atr_val * 2 or close <= self._entry_price - atr_val * 1.5:
                self.BuyMarket()
                self._entry_price = 0
                return
        past_open = self._open_history[0]
        current_open = self._open_history[-1]
        diff = current_open - past_open
        # Price rising => long
        if diff > atr_val * 0.5 and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._entry_price = close
        # Price falling => short
        elif diff < -atr_val * 0.5 and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._entry_price = close

    def CreateClone(self):
        return geedo_strategy()