Стратегия "Bykov Trend"

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bykov Trend strategy based on Williams %R indicator.
/// Generates buy or sell signals when trend changes occur.
/// </summary>
public class BykovTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _risk;
	private readonly StrategyParam<int> _ssp;
	private readonly StrategyParam<DataType> _candleType;

	private bool _previousUptrend;

	/// <summary>
	/// Risk parameter from original indicator (K = 33 - Risk).
	/// </summary>
	public int Risk
	{
		get => _risk.Value;
		set => _risk.Value = value;
	}

	/// <summary>
	/// Williams %R period.
	/// </summary>
	public int Ssp
	{
		get => _ssp.Value;
		set => _ssp.Value = value;
	}

	/// <summary>
	/// Candle type used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="BykovTrendStrategy" />.
	/// </summary>
	public BykovTrendStrategy()
	{
		_risk = Param(nameof(Risk), 3)
			.SetGreaterThanZero()
			.SetDisplay("Risk", "Risk parameter from original indicator", "Indicator")
			
			.SetOptimize(1, 10, 1);

		_ssp = Param(nameof(Ssp), 9)
			.SetGreaterThanZero()
			.SetDisplay("SSP", "Williams %R period", "Indicator")
			
			.SetOptimize(5, 20, 1);

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousUptrend = false;
	}

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

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

		var wpr = new WilliamsR { Length = Ssp };
		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(wpr, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal wprValue)
	{
		// Process only finished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Ensure that strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var k = 33 - Risk;
		var uptrend = _previousUptrend;

		if (wprValue < -100 + k)
			uptrend = false;
		else if (wprValue > -k)
			uptrend = true;

		var buySignal = !_previousUptrend && uptrend;
		var sellSignal = _previousUptrend && !uptrend;

		_previousUptrend = uptrend;

		if (buySignal)
		{
			// Close short positions and enter long
			BuyMarket();
		}
		else if (sellSignal)
		{
			// Close long positions and enter short
			SellMarket();
		}
	}
}

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 WilliamsR
from StockSharp.Algo.Strategies import Strategy


class bykov_trend_strategy(Strategy):
    def __init__(self):
        super(bykov_trend_strategy, self).__init__()
        self._risk = self.Param("Risk", 3) \
            .SetDisplay("Risk", "Risk parameter from original indicator", "Indicator")
        self._ssp = self.Param("Ssp", 9) \
            .SetDisplay("SSP", "Williams %R period", "Indicator")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Timeframe for indicator", "General")
        self._previous_uptrend = False

    @property
    def risk(self):
        return self._risk.Value

    @property
    def ssp(self):
        return self._ssp.Value

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

    def OnReseted(self):
        super(bykov_trend_strategy, self).OnReseted()
        self._previous_uptrend = False

    def OnStarted2(self, time):
        super(bykov_trend_strategy, self).OnStarted2(time)
        wpr = WilliamsR()
        wpr.Length = self.ssp
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(wpr, self.process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, wpr)
            self.DrawOwnTrades(area)

    def process_candle(self, candle, wpr_value):
        if candle.State != CandleStates.Finished:
            return
        wpr_value = float(wpr_value)
        k = 33 - self.risk
        uptrend = self._previous_uptrend
        if wpr_value < -100 + k:
            uptrend = False
        elif wpr_value > -k:
            uptrend = True
        buy_signal = not self._previous_uptrend and uptrend
        sell_signal = self._previous_uptrend and not uptrend
        self._previous_uptrend = uptrend
        if buy_signal:
            self.BuyMarket()
        elif sell_signal:
            self.SellMarket()

    def CreateClone(self):
        return bykov_trend_strategy()