Стратегия Straddle Trail

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>
/// Strategy that simulates a straddle approach: defines upper/lower breakout levels
/// from a consolidation range (ATR-based) and enters on breakouts with trailing stop.
/// </summary>
public class StraddleTrailStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<decimal> _stopLossMult;
	private readonly StrategyParam<decimal> _takeProfitMult;
	private readonly StrategyParam<decimal> _trailMult;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;
	private decimal? _stopLevel;
	private decimal? _takeLevel;
	private int _barsSinceEntry;
	private int _cooldownCounter;

	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public decimal StopLossMult { get => _stopLossMult.Value; set => _stopLossMult.Value = value; }
	public decimal TakeProfitMult { get => _takeProfitMult.Value; set => _takeProfitMult.Value = value; }
	public decimal TrailMult { get => _trailMult.Value; set => _trailMult.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public StraddleTrailStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR calculation length", "ATR");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "Breakout distance multiplier", "ATR");

		_stopLossMult = Param(nameof(StopLossMult), 1.0m)
			.SetGreaterThanZero()
			.SetDisplay("SL Multiplier", "Stop loss as ATR multiple", "Risk");

		_takeProfitMult = Param(nameof(TakeProfitMult), 3.0m)
			.SetGreaterThanZero()
			.SetDisplay("TP Multiplier", "Take profit as ATR multiple", "Risk");

		_trailMult = Param(nameof(TrailMult), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Trail Multiplier", "Trailing distance as ATR multiple", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 6)
			.SetGreaterThanZero()
			.SetDisplay("Cooldown", "Bars to wait after exit", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle subscription", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0;
		_stopLevel = null;
		_takeLevel = null;
		_barsSinceEntry = 0;
		_cooldownCounter = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var atr = new AverageTrueRange { Length = AtrPeriod };
		var sma = new SimpleMovingAverage { Length = 20 };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;

		// Manage existing position
		if (Position != 0)
		{
			_barsSinceEntry++;

			if (Position > 0)
			{
				// Trail stop up
				var newTrail = close - TrailMult * atr;
				if (_stopLevel == null || newTrail > _stopLevel)
					_stopLevel = newTrail;

				// Check stop or take
				if (close <= _stopLevel || (_takeLevel != null && close >= _takeLevel))
				{
					SellMarket(Math.Abs(Position));
					ResetPosition();
					return;
				}
			}
			else
			{
				// Trail stop down
				var newTrail = close + TrailMult * atr;
				if (_stopLevel == null || newTrail < _stopLevel)
					_stopLevel = newTrail;

				// Check stop or take
				if (close >= _stopLevel || (_takeLevel != null && close <= _takeLevel))
				{
					BuyMarket(Math.Abs(Position));
					ResetPosition();
					return;
				}
			}

			return;
		}

		// Cooldown after exit
		if (_cooldownCounter > 0)
		{
			_cooldownCounter--;
			return;
		}

		// Entry: breakout above/below SMA + ATR distance
		var upperLevel = sma + AtrMultiplier * atr;
		var lowerLevel = sma - AtrMultiplier * atr;

		if (close > upperLevel)
		{
			BuyMarket();
			_entryPrice = close;
			_stopLevel = close - StopLossMult * atr;
			_takeLevel = close + TakeProfitMult * atr;
			_barsSinceEntry = 0;
		}
		else if (close < lowerLevel)
		{
			SellMarket();
			_entryPrice = close;
			_stopLevel = close + StopLossMult * atr;
			_takeLevel = close - TakeProfitMult * atr;
			_barsSinceEntry = 0;
		}
	}

	private void ResetPosition()
	{
		_entryPrice = 0;
		_stopLevel = null;
		_takeLevel = null;
		_barsSinceEntry = 0;
		_cooldownCounter = CooldownBars;
	}
}

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.Strategies import Strategy
from StockSharp.Algo.Indicators import AverageTrueRange, SimpleMovingAverage


class straddle_trail_strategy(Strategy):
    def __init__(self):
        super(straddle_trail_strategy, self).__init__()

        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetGreaterThanZero() \
            .SetDisplay("ATR Period", "ATR calculation length", "ATR")

        self._atr_multiplier = self.Param("AtrMultiplier", 2.5) \
            .SetGreaterThanZero() \
            .SetDisplay("ATR Multiplier", "Breakout distance multiplier", "ATR")

        self._stop_loss_mult = self.Param("StopLossMult", 1.0) \
            .SetGreaterThanZero() \
            .SetDisplay("SL Multiplier", "Stop loss as ATR multiple", "Risk")

        self._take_profit_mult = self.Param("TakeProfitMult", 3.0) \
            .SetGreaterThanZero() \
            .SetDisplay("TP Multiplier", "Take profit as ATR multiple", "Risk")

        self._trail_mult = self.Param("TrailMult", 1.5) \
            .SetGreaterThanZero() \
            .SetDisplay("Trail Multiplier", "Trailing distance as ATR multiple", "Risk")

        self._cooldown_bars = self.Param("CooldownBars", 6) \
            .SetGreaterThanZero() \
            .SetDisplay("Cooldown", "Bars to wait after exit", "General")

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Candle subscription", "General")

        self._entry_price = 0.0
        self._stop_level = None
        self._take_level = None
        self._bars_since_entry = 0
        self._cooldown_counter = 0

    @property
    def AtrPeriod(self):
        return self._atr_period.Value

    @AtrPeriod.setter
    def AtrPeriod(self, value):
        self._atr_period.Value = value

    @property
    def AtrMultiplier(self):
        return self._atr_multiplier.Value

    @AtrMultiplier.setter
    def AtrMultiplier(self, value):
        self._atr_multiplier.Value = value

    @property
    def StopLossMult(self):
        return self._stop_loss_mult.Value

    @StopLossMult.setter
    def StopLossMult(self, value):
        self._stop_loss_mult.Value = value

    @property
    def TakeProfitMult(self):
        return self._take_profit_mult.Value

    @TakeProfitMult.setter
    def TakeProfitMult(self, value):
        self._take_profit_mult.Value = value

    @property
    def TrailMult(self):
        return self._trail_mult.Value

    @TrailMult.setter
    def TrailMult(self, value):
        self._trail_mult.Value = value

    @property
    def CooldownBars(self):
        return self._cooldown_bars.Value

    @CooldownBars.setter
    def CooldownBars(self, value):
        self._cooldown_bars.Value = value

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    def OnStarted2(self, time):
        super(straddle_trail_strategy, self).OnStarted2(time)

        atr = AverageTrueRange()
        atr.Length = self.AtrPeriod

        sma = SimpleMovingAverage()
        sma.Length = 20

        subscription = self.SubscribeCandles(self.CandleType)
        subscription \
            .Bind(atr, sma, self.process_candle) \
            .Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, sma)
            self.DrawOwnTrades(area)

    def process_candle(self, candle, atr_val, sma_val):
        if candle.State != CandleStates.Finished:
            return

        close = float(candle.ClosePrice)
        atr = float(atr_val)
        sma = float(sma_val)

        if self.Position != 0:
            self._bars_since_entry += 1

            if self.Position > 0:
                new_trail = close - float(self.TrailMult) * atr
                if self._stop_level is None or new_trail > self._stop_level:
                    self._stop_level = new_trail

                if close <= self._stop_level or (self._take_level is not None and close >= self._take_level):
                    self.SellMarket(abs(self.Position))
                    self._reset_position()
                    return
            else:
                new_trail = close + float(self.TrailMult) * atr
                if self._stop_level is None or new_trail < self._stop_level:
                    self._stop_level = new_trail

                if close >= self._stop_level or (self._take_level is not None and close <= self._take_level):
                    self.BuyMarket(abs(self.Position))
                    self._reset_position()
                    return

            return

        if self._cooldown_counter > 0:
            self._cooldown_counter -= 1
            return

        upper_level = sma + float(self.AtrMultiplier) * atr
        lower_level = sma - float(self.AtrMultiplier) * atr

        if close > upper_level:
            self.BuyMarket()
            self._entry_price = close
            self._stop_level = close - float(self.StopLossMult) * atr
            self._take_level = close + float(self.TakeProfitMult) * atr
            self._bars_since_entry = 0
        elif close < lower_level:
            self.SellMarket()
            self._entry_price = close
            self._stop_level = close + float(self.StopLossMult) * atr
            self._take_level = close - float(self.TakeProfitMult) * atr
            self._bars_since_entry = 0

    def _reset_position(self):
        self._entry_price = 0.0
        self._stop_level = None
        self._take_level = None
        self._bars_since_entry = 0
        self._cooldown_counter = self.CooldownBars

    def OnReseted(self):
        super(straddle_trail_strategy, self).OnReseted()
        self._entry_price = 0.0
        self._stop_level = None
        self._take_level = None
        self._bars_since_entry = 0
        self._cooldown_counter = 0

    def CreateClone(self):
        return straddle_trail_strategy()