Стратегия Kalman Filter Signal

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 based on Kalman Filter direction signals.
/// Opens long when price crosses above filter, short when below.
/// </summary>
public class KalmanFilterSignalStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevFilter;
	private decimal? _prevSignal;

	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public KalmanFilterSignalStrategy()
	{
		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFilter = null;
		_prevSignal = null;
	}

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

		var kalman = new KalmanFilter();

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

		StartProtection(
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			useMarketOrders: true);

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

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

		var signal = candle.ClosePrice > filterValue ? 1m : 0m;

		if (_prevSignal.HasValue && signal != _prevSignal.Value)
		{
			if (signal > 0 && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			else if (signal == 0 && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}

		_prevFilter = filterValue;
		_prevSignal = signal;
	}
}

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, Unit, UnitTypes
from StockSharp.Algo.Indicators import KalmanFilter
from StockSharp.Algo.Strategies import Strategy


class kalman_filter_signal_strategy(Strategy):
    def __init__(self):
        super(kalman_filter_signal_strategy, self).__init__()
        self._stop_loss_pct = self.Param("StopLossPct", 2.0) \
            .SetDisplay("Stop Loss %", "Stop loss percentage", "Risk")
        self._take_profit_pct = self.Param("TakeProfitPct", 3.0) \
            .SetDisplay("Take Profit %", "Take profit percentage", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe for calculations", "General")
        self._prev_filter = None
        self._prev_signal = None

    @property
    def stop_loss_pct(self):
        return self._stop_loss_pct.Value

    @property
    def take_profit_pct(self):
        return self._take_profit_pct.Value

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

    def OnReseted(self):
        super(kalman_filter_signal_strategy, self).OnReseted()
        self._prev_filter = None
        self._prev_signal = None

    def OnStarted2(self, time):
        super(kalman_filter_signal_strategy, self).OnStarted2(time)
        kalman = KalmanFilter()
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(kalman, self.process_candle).Start()
        self.StartProtection(
            stopLoss=Unit(self.stop_loss_pct, UnitTypes.Percent),
            takeProfit=Unit(self.take_profit_pct, UnitTypes.Percent),
            useMarketOrders=True)
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, kalman)
            self.DrawOwnTrades(area)

    def process_candle(self, candle, filter_value):
        if candle.State != CandleStates.Finished:
            return
        filter_value = float(filter_value)
        signal = 1.0 if float(candle.ClosePrice) > filter_value else 0.0

        if self._prev_signal is not None and signal != self._prev_signal:
            if signal > 0 and self.Position <= 0:
                if self.Position < 0:
                    self.BuyMarket()
                self.BuyMarket()
            elif signal == 0 and self.Position >= 0:
                if self.Position > 0:
                    self.SellMarket()
                self.SellMarket()

        self._prev_filter = filter_value
        self._prev_signal = signal

    def CreateClone(self):
        return kalman_filter_signal_strategy()