Trend Capture

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>
/// Trend following strategy using Parabolic SAR with EMA confirmation.
/// </summary>
public class TrendCaptureStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private decimal _prevEma;
	private decimal _prevSar;
	private bool _hasPrev;

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

	public TrendCaptureStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period for trend", "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();
		_prevClose = 0;
		_prevEma = 0;
		_prevSar = 0;
		_hasPrev = false;
	}

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

		var sar = new ParabolicSar();
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		SubscribeCandles(CandleType).Bind(sar, ema, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevClose = close;
			_prevEma = emaValue;
			_prevSar = sarValue;
			_hasPrev = true;
			return;
		}

		var aboveSar = close > sarValue;
		var belowSar = close < sarValue;
		var prevAboveSar = _prevClose > _prevSar;
		var prevBelowSar = _prevClose < _prevSar;

		if (!prevAboveSar && aboveSar && close > emaValue && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (!prevBelowSar && belowSar && close < emaValue && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevClose = close;
		_prevEma = emaValue;
		_prevSar = sarValue;
	}
}

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 ParabolicSar, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class trend_capture_strategy(Strategy):
    def __init__(self):
        super(trend_capture_strategy, self).__init__()
        self._ema_period = self.Param("EmaPeriod", 20) \
            .SetDisplay("EMA Period", "EMA period for trend", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Type of candles", "General")
        self._prev_close = 0.0
        self._prev_ema = 0.0
        self._prev_sar = 0.0
        self._has_prev = False

    @property
    def ema_period(self):
        return self._ema_period.Value

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

    def OnReseted(self):
        super(trend_capture_strategy, self).OnReseted()
        self._prev_close = 0.0
        self._prev_ema = 0.0
        self._prev_sar = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(trend_capture_strategy, self).OnStarted2(time)
        sar = ParabolicSar()
        ema = ExponentialMovingAverage()
        ema.Length = self.ema_period
        self.SubscribeCandles(self.candle_type).Bind(sar, ema, self.process_candle).Start()

    def process_candle(self, candle, sar_value, ema_value):
        if candle.State != CandleStates.Finished:
            return

        close = float(candle.ClosePrice)
        sv = float(sar_value)
        ev = float(ema_value)

        if not self._has_prev:
            self._prev_close = close
            self._prev_ema = ev
            self._prev_sar = sv
            self._has_prev = True
            return

        above_sar = close > sv
        below_sar = close < sv
        prev_above_sar = self._prev_close > self._prev_sar
        prev_below_sar = self._prev_close < self._prev_sar

        if not prev_above_sar and above_sar and close > ev and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif not prev_below_sar and below_sar and close < ev and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_close = close
        self._prev_ema = ev
        self._prev_sar = sv

    def CreateClone(self):
        return trend_capture_strategy()