Стратегия Volume Weighted MA Digit System

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 Volume Weighted MA slope turning points.
/// Opens long when VWMA slope turns upward, short when it turns downward.
/// </summary>
public class VolumeWeightedMaDigitSystemStrategy : Strategy
{
	private readonly StrategyParam<int> _vwmaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevVwma;
	private decimal? _prevSlope;

	public int VwmaPeriod
	{
		get => _vwmaPeriod.Value;
		set => _vwmaPeriod.Value = value;
	}

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

	public VolumeWeightedMaDigitSystemStrategy()
	{
		_vwmaPeriod = Param(nameof(VwmaPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("VWMA Period", "Length of the VWMA indicator", "Parameters")
			.SetOptimize(5, 30, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe for analysis", "Parameters");
	}

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

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

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

		_prevVwma = null;
		_prevSlope = null;

		var vwma = new VolumeWeightedMovingAverage { Length = VwmaPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_prevVwma is decimal prev)
		{
			var slope = vwmaValue - prev;

			if (_prevSlope is decimal prevSlope)
			{
				var turnedUp = prevSlope <= 0 && slope > 0;
				var turnedDown = prevSlope >= 0 && slope < 0;

				if (turnedUp && Position <= 0)
					BuyMarket();
				else if (turnedDown && Position >= 0)
					SellMarket();
			}

			_prevSlope = slope;
		}

		_prevVwma = vwmaValue;
	}
}

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 VolumeWeightedMovingAverage
from StockSharp.Algo.Strategies import Strategy


class volume_weighted_ma_digit_system_strategy(Strategy):
    def __init__(self):
        super(volume_weighted_ma_digit_system_strategy, self).__init__()
        self._vwma_period = self.Param("VwmaPeriod", 12) \
            .SetDisplay("VWMA Period", "Length of the VWMA indicator", "Parameters")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe for analysis", "Parameters")
        self._prev_vwma = None
        self._prev_slope = None

    @property
    def vwma_period(self):
        return self._vwma_period.Value

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

    def OnReseted(self):
        super(volume_weighted_ma_digit_system_strategy, self).OnReseted()
        self._prev_vwma = None
        self._prev_slope = None

    def OnStarted2(self, time):
        super(volume_weighted_ma_digit_system_strategy, self).OnStarted2(time)
        self._prev_vwma = None
        self._prev_slope = None
        vwma = VolumeWeightedMovingAverage()
        vwma.Length = self.vwma_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(vwma, self.process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, vwma)
            self.DrawOwnTrades(area)

    def process_candle(self, candle, vwma_value):
        if candle.State != CandleStates.Finished:
            return
        vwma_value = float(vwma_value)
        if self._prev_vwma is not None:
            slope = vwma_value - self._prev_vwma
            if self._prev_slope is not None:
                turned_up = self._prev_slope <= 0 and slope > 0
                turned_down = self._prev_slope >= 0 and slope < 0
                if turned_up and self.Position <= 0:
                    self.BuyMarket()
                elif turned_down and self.Position >= 0:
                    self.SellMarket()
            self._prev_slope = slope
        self._prev_vwma = vwma_value

    def CreateClone(self):
        return volume_weighted_ma_digit_system_strategy()