Стратегия Simple Levels

using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that trades when price breaks through recent high/low levels.
/// Tracks N-period high and low as support/resistance, enters on breakout.
/// Uses EMA as trend filter.
/// </summary>
public class SimpleLevelsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<int> _emaPeriod;

	private decimal _highestHigh;
	private decimal _lowestLow;
	private int _barCount;

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

	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

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

	public SimpleLevelsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Source candle timeframe", "General");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetDisplay("Lookback", "Period for high/low levels", "Parameters");

		_emaPeriod = Param(nameof(EmaPeriod), 50)
			.SetDisplay("EMA Period", "EMA period for trend filter", "Parameters");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highestHigh = decimal.MinValue;
		_lowestLow = decimal.MaxValue;
		_barCount = 0;
	}

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

		_highestHigh = decimal.MinValue;
		_lowestLow = decimal.MaxValue;
		_barCount = 0;

		var highest = new Highest { Length = LookbackPeriod };
		var lowest = new Lowest { Length = LookbackPeriod };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

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

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

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

		_barCount++;
		if (_barCount < 2)
		{
			_highestHigh = highLevel;
			_lowestLow = lowLevel;
			return;
		}

		var close = candle.ClosePrice;
		var prevHigh = _highestHigh;
		var prevLow = _lowestLow;

		// Breakout above previous resistance in uptrend
		if (close > prevHigh && close > emaValue && Position <= 0)
		{
			BuyMarket();
		}
		// Breakout below previous support in downtrend
		else if (close < prevLow && close < emaValue && Position >= 0)
		{
			SellMarket();
		}

		_highestHigh = highLevel;
		_lowestLow = lowLevel;
	}
}

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 Highest, Lowest, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class simple_levels_strategy(Strategy):
    def __init__(self):
        super(simple_levels_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Source candle timeframe", "General")
        self._lookback_period = self.Param("LookbackPeriod", 20) \
            .SetDisplay("Lookback", "Period for high/low levels", "Parameters")
        self._ema_period = self.Param("EmaPeriod", 50) \
            .SetDisplay("EMA Period", "EMA period for trend filter", "Parameters")
        self._highest_high = 0.0
        self._lowest_low = 0.0
        self._bar_count = 0

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

    @property
    def lookback_period(self):
        return self._lookback_period.Value

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

    def OnReseted(self):
        super(simple_levels_strategy, self).OnReseted()
        self._highest_high = 0.0
        self._lowest_low = float('inf')
        self._bar_count = 0

    def OnStarted2(self, time):
        super(simple_levels_strategy, self).OnStarted2(time)
        self._highest_high = 0.0
        self._lowest_low = float('inf')
        self._bar_count = 0
        highest = Highest()
        highest.Length = self.lookback_period
        lowest = Lowest()
        lowest.Length = self.lookback_period
        ema = ExponentialMovingAverage()
        ema.Length = self.ema_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(highest, lowest, ema, self.process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, ema)
            self.DrawOwnTrades(area)

    def process_candle(self, candle, high_level, low_level, ema_value):
        if candle.State != CandleStates.Finished:
            return
        high_level = float(high_level)
        low_level = float(low_level)
        ema_value = float(ema_value)
        self._bar_count += 1
        if self._bar_count < 2:
            self._highest_high = high_level
            self._lowest_low = low_level
            return
        close = float(candle.ClosePrice)
        prev_high = self._highest_high
        prev_low = self._lowest_low
        # Breakout above previous resistance in uptrend
        if close > prev_high and close > ema_value and self.Position <= 0:
            self.BuyMarket()
        # Breakout below previous support in downtrend
        elif close < prev_low and close < ema_value and self.Position >= 0:
            self.SellMarket()
        self._highest_high = high_level
        self._lowest_low = low_level

    def CreateClone(self):
        return simple_levels_strategy()