Стратегия Darvas Boxes 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>
/// Darvas Boxes breakout strategy using Donchian Channels.
/// Opens long position when price breaks above the upper box line.
/// Opens short position when price breaks below the lower box line.
/// </summary>
public class DarvasBoxesSystemStrategy : Strategy
{
	private readonly StrategyParam<int> _boxPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevUpper;
	private decimal _prevLower;
	private decimal _prevClose;

	public int BoxPeriod
	{
		get => _boxPeriod.Value;
		set => _boxPeriod.Value = value;
	}

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

	public DarvasBoxesSystemStrategy()
	{
		_boxPeriod = Param(nameof(BoxPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Box Period", "Period for box calculation", "Indicators")
			.SetOptimize(10, 40, 5);

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevUpper = 0m;
		_prevLower = 0m;
		_prevClose = 0m;
	}

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

		_prevUpper = 0m;
		_prevLower = 0m;
		_prevClose = 0m;

		var donchian = new DonchianChannels { Length = BoxPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (value is not IDonchianChannelsValue box)
			return;

		if (box.UpperBand is not decimal upper || box.LowerBand is not decimal lower)
			return;

		if (_prevUpper == 0m)
		{
			_prevUpper = upper;
			_prevLower = lower;
			_prevClose = candle.ClosePrice;
			return;
		}

		var isUpBreakout = candle.ClosePrice > _prevUpper && _prevClose <= _prevUpper;
		var isDownBreakout = candle.ClosePrice < _prevLower && _prevClose >= _prevLower;

		if (isUpBreakout && Position <= 0)
			BuyMarket();
		else if (isDownBreakout && Position >= 0)
			SellMarket();

		_prevUpper = upper;
		_prevLower = lower;
		_prevClose = candle.ClosePrice;
	}
}

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 DonchianChannels
from StockSharp.Algo.Strategies import Strategy


class darvas_boxes_system_strategy(Strategy):
    def __init__(self):
        super(darvas_boxes_system_strategy, self).__init__()
        self._box_period = self.Param("BoxPeriod", 20) \
            .SetDisplay("Box Period", "Period for box calculation", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Type of candles to use", "General")
        self._prev_upper = 0.0
        self._prev_lower = 0.0
        self._prev_close = 0.0

    @property
    def box_period(self):
        return self._box_period.Value

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

    def OnReseted(self):
        super(darvas_boxes_system_strategy, self).OnReseted()
        self._prev_upper = 0.0
        self._prev_lower = 0.0
        self._prev_close = 0.0

    def OnStarted2(self, time):
        super(darvas_boxes_system_strategy, self).OnStarted2(time)
        self._prev_upper = 0.0
        self._prev_lower = 0.0
        self._prev_close = 0.0
        donchian = DonchianChannels()
        donchian.Length = self.box_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.BindEx(donchian, self.process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, donchian)
            self.DrawOwnTrades(area)

    def process_candle(self, candle, value):
        if candle.State != CandleStates.Finished:
            return
        upper = value.UpperBand
        lower = value.LowerBand
        if upper is None or lower is None:
            return
        upper = float(upper)
        lower = float(lower)
        close_price = float(candle.ClosePrice)
        if self._prev_upper == 0.0:
            self._prev_upper = upper
            self._prev_lower = lower
            self._prev_close = close_price
            return
        is_up_breakout = close_price > self._prev_upper and self._prev_close <= self._prev_upper
        is_down_breakout = close_price < self._prev_lower and self._prev_close >= self._prev_lower
        if is_up_breakout and self.Position <= 0:
            self.BuyMarket()
        elif is_down_breakout and self.Position >= 0:
            self.SellMarket()
        self._prev_upper = upper
        self._prev_lower = lower
        self._prev_close = close_price

    def CreateClone(self):
        return darvas_boxes_system_strategy()