Стратегия SHE Kanskigor

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>
/// Strategy that trades based on consecutive same-direction candles with EMA filter.
/// </summary>
public class SheKanskigorStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevOpen;
	private decimal _prevClose;
	private decimal _prevPrevOpen;
	private decimal _prevPrevClose;
	private int _candleCount;

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

	public SheKanskigorStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "Indicators");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevOpen = 0;
		_prevClose = 0;
		_prevPrevOpen = 0;
		_prevPrevClose = 0;
		_candleCount = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		SubscribeCandles(CandleType).Bind(ema, ProcessCandle).Start();
	}

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

		_candleCount++;

		if (_candleCount < 3)
		{
			_prevPrevOpen = _prevOpen;
			_prevPrevClose = _prevClose;
			_prevOpen = candle.OpenPrice;
			_prevClose = candle.ClosePrice;
			return;
		}

		// Two consecutive bearish candles -> buy reversal (with EMA confirmation)
		var twoBearish = _prevPrevOpen > _prevPrevClose && _prevOpen > _prevClose;
		// Two consecutive bullish candles -> sell reversal
		var twoBullish = _prevPrevOpen < _prevPrevClose && _prevOpen < _prevClose;

		if (twoBearish && candle.ClosePrice > emaValue && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (twoBullish && candle.ClosePrice < emaValue && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevPrevOpen = _prevOpen;
		_prevPrevClose = _prevClose;
		_prevOpen = candle.OpenPrice;
		_prevClose = candle.ClosePrice;
	}
}

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 she_kanskigor_strategy(Strategy):
    def __init__(self):
        super(she_kanskigor_strategy, self).__init__()
        self._ema_period = self.Param("EmaPeriod", 20) \
            .SetDisplay("EMA Period", "EMA period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle type", "General")
        self._prev_open = 0.0
        self._prev_close = 0.0
        self._prev_prev_open = 0.0
        self._prev_prev_close = 0.0
        self._candle_count = 0

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

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

    def OnReseted(self):
        super(she_kanskigor_strategy, self).OnReseted()
        self._prev_open = 0.0
        self._prev_close = 0.0
        self._prev_prev_open = 0.0
        self._prev_prev_close = 0.0
        self._candle_count = 0

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

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

        self._candle_count += 1

        if self._candle_count < 3:
            self._prev_prev_open = self._prev_open
            self._prev_prev_close = self._prev_close
            self._prev_open = float(candle.OpenPrice)
            self._prev_close = float(candle.ClosePrice)
            return

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

        two_bearish = self._prev_prev_open > self._prev_prev_close and self._prev_open > self._prev_close
        two_bullish = self._prev_prev_open < self._prev_prev_close and self._prev_open < self._prev_close

        if two_bearish and close > ev and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif two_bullish and close < ev and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()

        self._prev_prev_open = self._prev_open
        self._prev_prev_close = self._prev_close
        self._prev_open = float(candle.OpenPrice)
        self._prev_close = float(candle.ClosePrice)

    def CreateClone(self):
        return she_kanskigor_strategy()