FRASMAv2

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 Fractal Adaptive Simple Moving Average (FRASMAv2).
/// Computes FRAMA from fractal dimension, trades on color (slope direction) changes.
/// </summary>
public class FrasmaV2Strategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<DataType> _candleType;

	private bool _isFirst;
	private decimal _prevFrama;
	private int _prevColor;

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

	public FrasmaV2Strategy()
	{
		_period = Param(nameof(Period), 30)
			.SetGreaterThanZero()
			.SetDisplay("Period", "FRAMA calculation period", "Indicator");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_isFirst = true;
		_prevFrama = 0;
		_prevColor = 1;
	}

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

		_isFirst = true;
		_prevFrama = 0;
		_prevColor = 1;

		var fdi = new FractalDimension { Length = Period };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(fdi, ProcessCandle)
			.Start();

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

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

		if (!fdiValue.IsFinal)
			return;

		var fdi = fdiValue.GetValue<decimal>();
		var alpha = (decimal)Math.Exp(-4.6 * ((double)fdi - 1.0));
		alpha = Math.Max(0.01m, Math.Min(1m, alpha));

		var price = candle.ClosePrice;
		var frama = _isFirst ? price : alpha * price + (1 - alpha) * _prevFrama;

		int color;
		if (_isFirst)
		{
			color = 1;
			_isFirst = false;
		}
		else if (frama > _prevFrama)
			color = 0; // Uptrend
		else if (frama < _prevFrama)
			color = 2; // Downtrend
		else
			color = 1; // Flat

		// Uptrend ended (color was 0, now > 0) -> sell signal
		if (_prevColor == 0 && color > 0 && Position >= 0)
			SellMarket();
		// Downtrend ended (color was 2, now < 2) -> buy signal
		else if (_prevColor == 2 && color < 2 && Position <= 0)
			BuyMarket();

		_prevFrama = frama;
		_prevColor = color;
	}
}

import clr
import math

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 FractalDimension
from StockSharp.Algo.Strategies import Strategy


class frasma_v2_strategy(Strategy):
    def __init__(self):
        super(frasma_v2_strategy, self).__init__()
        self._period = self.Param("Period", 30) \
            .SetDisplay("Period", "FRAMA calculation period", "Indicator")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Type of candles", "General")
        self._is_first = True
        self._prev_frama = 0.0
        self._prev_color = 1

    @property
    def period(self):
        return self._period.Value

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

    def OnReseted(self):
        super(frasma_v2_strategy, self).OnReseted()
        self._is_first = True
        self._prev_frama = 0.0
        self._prev_color = 1

    def OnStarted2(self, time):
        super(frasma_v2_strategy, self).OnStarted2(time)
        self._is_first = True
        self._prev_frama = 0.0
        self._prev_color = 1
        fdi = FractalDimension()
        fdi.Length = self.period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.BindEx(fdi, self.process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def process_candle(self, candle, fdi_value):
        if candle.State != CandleStates.Finished:
            return
        if not fdi_value.IsFinal:
            return
        fdi = float(fdi_value)
        alpha = math.exp(-4.6 * (fdi - 1.0))
        alpha = max(0.01, min(1.0, alpha))
        price = float(candle.ClosePrice)
        if self._is_first:
            frama = price
        else:
            frama = alpha * price + (1.0 - alpha) * self._prev_frama
        if self._is_first:
            color = 1
            self._is_first = False
        elif frama > self._prev_frama:
            color = 0
        elif frama < self._prev_frama:
            color = 2
        else:
            color = 1
        if self._prev_color == 0 and color > 0 and self.Position >= 0:
            self.SellMarket()
        elif self._prev_color == 2 and color < 2 and self.Position <= 0:
            self.BuyMarket()
        self._prev_frama = frama
        self._prev_color = color

    def CreateClone(self):
        return frasma_v2_strategy()