Стратегия WOC 0.1.2 (моментум)

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>
/// Momentum strategy based on WOC 0.1.2 concept.
/// Detects consecutive candle close runs in one direction and enters on breakout.
/// Uses ATR-based stop loss and trailing stop.
/// </summary>
public class Woc012Strategy : Strategy
{
	private readonly StrategyParam<int> _sequenceLength;
	private readonly StrategyParam<decimal> _stopLossAtrMult;
	private readonly StrategyParam<decimal> _trailingAtrMult;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private int _upCount;
	private int _downCount;
	private decimal _entryPrice;
	private decimal? _stopPrice;

	public int SequenceLength { get => _sequenceLength.Value; set => _sequenceLength.Value = value; }
	public decimal StopLossAtrMult { get => _stopLossAtrMult.Value; set => _stopLossAtrMult.Value = value; }
	public decimal TrailingAtrMult { get => _trailingAtrMult.Value; set => _trailingAtrMult.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public Woc012Strategy()
	{
		_sequenceLength = Param(nameof(SequenceLength), 6)
			.SetGreaterThanZero()
			.SetDisplay("Sequence Length", "Consecutive bars in same direction to trigger entry", "Signals");

		_stopLossAtrMult = Param(nameof(StopLossAtrMult), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("SL ATR Mult", "Stop loss as ATR multiple", "Risk");

		_trailingAtrMult = Param(nameof(TrailingAtrMult), 1.0m)
			.SetGreaterThanZero()
			.SetDisplay("Trail ATR Mult", "Trailing stop as ATR multiple", "Risk");

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

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = 0;
		_upCount = 0;
		_downCount = 0;
		_entryPrice = 0;
		_stopPrice = null;
	}

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

		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;

		// Track consecutive direction
		if (_prevClose > 0)
		{
			if (close > _prevClose)
			{
				_upCount++;
				_downCount = 0;
			}
			else if (close < _prevClose)
			{
				_downCount++;
				_upCount = 0;
			}
			else
			{
				_upCount = 0;
				_downCount = 0;
			}
		}

		_prevClose = close;

		// Manage existing position
		if (Position != 0)
		{
			if (Position > 0)
			{
				// Trail up
				var trail = close - TrailingAtrMult * atr;
				if (_stopPrice == null || trail > _stopPrice)
					_stopPrice = trail;

				if (close <= _stopPrice)
				{
					SellMarket(Math.Abs(Position));
					_stopPrice = null;
					_entryPrice = 0;
					return;
				}
			}
			else
			{
				// Trail down
				var trail = close + TrailingAtrMult * atr;
				if (_stopPrice == null || trail < _stopPrice)
					_stopPrice = trail;

				if (close >= _stopPrice)
				{
					BuyMarket(Math.Abs(Position));
					_stopPrice = null;
					_entryPrice = 0;
					return;
				}
			}
		}

		// Entry: consecutive sequence completed
		if (_upCount >= SequenceLength && Position <= 0)
		{
			var vol = Volume + Math.Abs(Position);
			BuyMarket(vol);
			_entryPrice = close;
			_stopPrice = close - StopLossAtrMult * atr;
			_upCount = 0;
		}
		else if (_downCount >= SequenceLength && Position >= 0)
		{
			var vol = Volume + Math.Abs(Position);
			SellMarket(vol);
			_entryPrice = close;
			_stopPrice = close + StopLossAtrMult * atr;
			_downCount = 0;
		}
	}
}

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


class woc012_strategy(Strategy):
    def __init__(self):
        super(woc012_strategy, self).__init__()

        self._sequence_length = self.Param("SequenceLength", 6) \
            .SetGreaterThanZero() \
            .SetDisplay("Sequence Length", "Consecutive bars in same direction to trigger entry", "Signals")

        self._stop_loss_atr_mult = self.Param("StopLossAtrMult", 1.5) \
            .SetGreaterThanZero() \
            .SetDisplay("SL ATR Mult", "Stop loss as ATR multiple", "Risk")

        self._trailing_atr_mult = self.Param("TrailingAtrMult", 1.0) \
            .SetGreaterThanZero() \
            .SetDisplay("Trail ATR Mult", "Trailing stop as ATR multiple", "Risk")

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._prev_close = 0.0
        self._up_count = 0
        self._down_count = 0
        self._entry_price = 0.0
        self._stop_price = None

    @property
    def SequenceLength(self):
        return self._sequence_length.Value

    @SequenceLength.setter
    def SequenceLength(self, value):
        self._sequence_length.Value = value

    @property
    def StopLossAtrMult(self):
        return self._stop_loss_atr_mult.Value

    @StopLossAtrMult.setter
    def StopLossAtrMult(self, value):
        self._stop_loss_atr_mult.Value = value

    @property
    def TrailingAtrMult(self):
        return self._trailing_atr_mult.Value

    @TrailingAtrMult.setter
    def TrailingAtrMult(self, value):
        self._trailing_atr_mult.Value = value

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

    @AtrPeriod.setter
    def AtrPeriod(self, value):
        self._atr_period.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(woc012_strategy, self).OnStarted2(time)

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

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

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

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

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

        if self._prev_close > 0:
            if close > self._prev_close:
                self._up_count += 1
                self._down_count = 0
            elif close < self._prev_close:
                self._down_count += 1
                self._up_count = 0
            else:
                self._up_count = 0
                self._down_count = 0

        self._prev_close = close

        if self.Position != 0:
            if self.Position > 0:
                trail = close - float(self.TrailingAtrMult) * atr
                if self._stop_price is None or trail > self._stop_price:
                    self._stop_price = trail

                if close <= self._stop_price:
                    self.SellMarket(abs(self.Position))
                    self._stop_price = None
                    self._entry_price = 0.0
                    return
            else:
                trail = close + float(self.TrailingAtrMult) * atr
                if self._stop_price is None or trail < self._stop_price:
                    self._stop_price = trail

                if close >= self._stop_price:
                    self.BuyMarket(abs(self.Position))
                    self._stop_price = None
                    self._entry_price = 0.0
                    return

        if self._up_count >= self.SequenceLength and self.Position <= 0:
            vol = self.Volume + abs(self.Position)
            self.BuyMarket(vol)
            self._entry_price = close
            self._stop_price = close - float(self.StopLossAtrMult) * atr
            self._up_count = 0
        elif self._down_count >= self.SequenceLength and self.Position >= 0:
            vol = self.Volume + abs(self.Position)
            self.SellMarket(vol)
            self._entry_price = close
            self._stop_price = close + float(self.StopLossAtrMult) * atr
            self._down_count = 0

    def OnReseted(self):
        super(woc012_strategy, self).OnReseted()
        self._prev_close = 0.0
        self._up_count = 0
        self._down_count = 0
        self._entry_price = 0.0
        self._stop_price = None

    def CreateClone(self):
        return woc012_strategy()