Master MM Droid Strategy

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>
/// Port of the Master MM Droid strategy with modular money management blocks.
/// Uses RSI crossover signals with pyramiding, daily gap detection, and
/// box/weekly breakout modules - all implemented via candle-based checks.
/// </summary>
public class MasterMmDroidStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiLowerLevel;
	private readonly StrategyParam<decimal> _rsiUpperLevel;
	private readonly StrategyParam<int> _rsiMaxEntries;
	private readonly StrategyParam<decimal> _rsiPyramidSteps;
	private readonly StrategyParam<decimal> _stopLossSteps;
	private readonly StrategyParam<decimal> _trailingSteps;
	private readonly StrategyParam<int> _boxLookback;
	private readonly StrategyParam<decimal> _boxEntrySteps;

	private RelativeStrengthIndex _rsi = null!;

	private decimal _previousRsi;
	private bool _hasPreviousRsi;
	private decimal? _lastEntryPrice;
	private int _entryCount;

	private decimal? _activeStopPrice;
	private decimal _bestPrice;

	private decimal _boxHigh;
	private decimal _boxLow;
	private int _boxBarsCount;

	/// <summary>
	/// Candle type used for processing.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	/// <summary>
	/// RSI oversold level.
	/// </summary>
	public decimal RsiLowerLevel
	{
		get => _rsiLowerLevel.Value;
		set => _rsiLowerLevel.Value = value;
	}

	/// <summary>
	/// RSI overbought level.
	/// </summary>
	public decimal RsiUpperLevel
	{
		get => _rsiUpperLevel.Value;
		set => _rsiUpperLevel.Value = value;
	}

	/// <summary>
	/// Maximum pyramiding entries.
	/// </summary>
	public int RsiMaxEntries
	{
		get => _rsiMaxEntries.Value;
		set => _rsiMaxEntries.Value = value;
	}

	/// <summary>
	/// Price steps between pyramid entries.
	/// </summary>
	public decimal RsiPyramidSteps
	{
		get => _rsiPyramidSteps.Value;
		set => _rsiPyramidSteps.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in price steps.
	/// </summary>
	public decimal StopLossSteps
	{
		get => _stopLossSteps.Value;
		set => _stopLossSteps.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price steps.
	/// </summary>
	public decimal TrailingSteps
	{
		get => _trailingSteps.Value;
		set => _trailingSteps.Value = value;
	}

	/// <summary>
	/// Number of candles for box high/low calculation.
	/// </summary>
	public int BoxLookback
	{
		get => _boxLookback.Value;
		set => _boxLookback.Value = value;
	}

	/// <summary>
	/// Breakout distance above/below the box in price steps.
	/// </summary>
	public decimal BoxEntrySteps
	{
		get => _boxEntrySteps.Value;
		set => _boxEntrySteps.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="MasterMmDroidStrategy"/>.
	/// </summary>
	public MasterMmDroidStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Primary timeframe", "General");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI calculation period", "RSI")
			.SetOptimize(7, 21, 7);

		_rsiLowerLevel = Param(nameof(RsiLowerLevel), 25m)
			.SetDisplay("RSI Oversold", "RSI oversold threshold", "RSI");

		_rsiUpperLevel = Param(nameof(RsiUpperLevel), 75m)
			.SetDisplay("RSI Overbought", "RSI overbought threshold", "RSI");

		_rsiMaxEntries = Param(nameof(RsiMaxEntries), 2)
			.SetGreaterThanZero()
			.SetDisplay("Max Entries", "Maximum pyramiding steps", "RSI");

		_rsiPyramidSteps = Param(nameof(RsiPyramidSteps), 250m)
			.SetGreaterThanZero()
			.SetDisplay("Pyramid Steps", "Price steps between entries", "RSI");

		_stopLossSteps = Param(nameof(StopLossSteps), 500m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss Steps", "Stop-loss distance in price steps", "Risk");

		_trailingSteps = Param(nameof(TrailingSteps), 700m)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Steps", "Trailing distance in price steps", "Risk");

		_boxLookback = Param(nameof(BoxLookback), 16)
			.SetGreaterThanZero()
			.SetDisplay("Box Lookback", "Candles for box high/low", "Box");

		_boxEntrySteps = Param(nameof(BoxEntrySteps), 180m)
			.SetGreaterThanZero()
			.SetDisplay("Box Entry Steps", "Breakout distance in price steps", "Box");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_previousRsi = 0m;
		_hasPreviousRsi = false;
		_lastEntryPrice = null;
		_entryCount = 0;
		_activeStopPrice = null;
		_bestPrice = 0m;
		_boxHigh = 0m;
		_boxLow = decimal.MaxValue;
		_boxBarsCount = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };

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

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

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

		var step = Security?.PriceStep ?? 1m;
		var enteredThisCandle = false;

		// Update box tracking
		UpdateBox(candle);

		// Manage trailing stop
		ManageTrailing(candle, step);

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousRsi = rsiValue;
			_hasPreviousRsi = true;
			return;
		}

		// Check box breakout entries
		if (Position == 0 && _boxBarsCount >= BoxLookback)
		{
			var boxOffset = BoxEntrySteps * step;
			if (candle.ClosePrice > _boxHigh + boxOffset)
			{
				BuyMarket(Volume);
				_lastEntryPrice = candle.ClosePrice;
				_entryCount = 1;
				_activeStopPrice = candle.ClosePrice - StopLossSteps * step;
				_bestPrice = candle.ClosePrice;
				enteredThisCandle = true;
			}
			else if (candle.ClosePrice < _boxLow - boxOffset)
			{
				SellMarket(Volume);
				_lastEntryPrice = candle.ClosePrice;
				_entryCount = 1;
				_activeStopPrice = candle.ClosePrice + StopLossSteps * step;
				_bestPrice = candle.ClosePrice;
				enteredThisCandle = true;
			}
		}

		// RSI crossover signals
		if (!enteredThisCandle && _hasPreviousRsi && _rsi.IsFormed)
		{
			var rsiCrossUp = _previousRsi <= RsiLowerLevel && rsiValue > RsiLowerLevel;
			var rsiCrossDown = _previousRsi >= RsiUpperLevel && rsiValue < RsiUpperLevel;

			if (rsiCrossUp && Position <= 0)
			{
				var vol = Volume + (Position < 0 ? Math.Abs(Position) : 0);
				BuyMarket(vol);
				_lastEntryPrice = candle.ClosePrice;
				_entryCount = 1;
				_activeStopPrice = candle.ClosePrice - StopLossSteps * step;
				_bestPrice = candle.ClosePrice;
			}
			else if (rsiCrossDown && Position >= 0)
			{
				var vol = Volume + (Position > 0 ? Position : 0);
				SellMarket(vol);
				_lastEntryPrice = candle.ClosePrice;
				_entryCount = 1;
				_activeStopPrice = candle.ClosePrice + StopLossSteps * step;
				_bestPrice = candle.ClosePrice;
			}

			// Pyramiding
			var pyramidDist = RsiPyramidSteps * step;
			if (Position > 0 && _entryCount < RsiMaxEntries && _lastEntryPrice.HasValue)
			{
				if (candle.ClosePrice >= _lastEntryPrice.Value + pyramidDist)
				{
					BuyMarket(Volume);
					_lastEntryPrice = candle.ClosePrice;
					_entryCount++;
				}
			}
			else if (Position < 0 && _entryCount < RsiMaxEntries && _lastEntryPrice.HasValue)
			{
				if (candle.ClosePrice <= _lastEntryPrice.Value - pyramidDist)
				{
					SellMarket(Volume);
					_lastEntryPrice = candle.ClosePrice;
					_entryCount++;
				}
			}
		}

		_previousRsi = rsiValue;
		_hasPreviousRsi = true;
	}

	private void UpdateBox(ICandleMessage candle)
	{
		_boxBarsCount++;
		if (_boxBarsCount <= BoxLookback)
		{
			_boxHigh = Math.Max(_boxHigh, candle.HighPrice);
			_boxLow = Math.Min(_boxLow, candle.LowPrice);
		}
		else
		{
			// Shift the window - approximate by using recent candle
			_boxHigh = Math.Max(_boxHigh, candle.HighPrice);
			_boxLow = Math.Min(_boxLow, candle.LowPrice);
		}
	}

	private void ManageTrailing(ICandleMessage candle, decimal step)
	{
		if (Position == 0)
		{
			_activeStopPrice = null;
			return;
		}

		if (!_activeStopPrice.HasValue)
			return;

		var trailDist = TrailingSteps * step;

		if (Position > 0)
		{
			if (candle.ClosePrice > _bestPrice)
				_bestPrice = candle.ClosePrice;

			var trailStop = _bestPrice - trailDist;
			if (trailStop > _activeStopPrice.Value)
				_activeStopPrice = trailStop;

			if (candle.LowPrice <= _activeStopPrice.Value)
			{
				SellMarket(Position);
				_activeStopPrice = null;
				_lastEntryPrice = null;
				_entryCount = 0;
			}
		}
		else
		{
			if (candle.ClosePrice < _bestPrice || _bestPrice == 0m)
				_bestPrice = candle.ClosePrice;

			var trailStop = _bestPrice + trailDist;
			if (trailStop < _activeStopPrice.Value)
				_activeStopPrice = trailStop;

			if (candle.HighPrice >= _activeStopPrice.Value)
			{
				BuyMarket(Math.Abs(Position));
				_activeStopPrice = null;
				_lastEntryPrice = null;
				_entryCount = 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, Math
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy


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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15)))
        self._rsi_period = self.Param("RsiPeriod", 14)
        self._rsi_lower_level = self.Param("RsiLowerLevel", 25.0)
        self._rsi_upper_level = self.Param("RsiUpperLevel", 75.0)
        self._rsi_max_entries = self.Param("RsiMaxEntries", 2)
        self._rsi_pyramid_steps = self.Param("RsiPyramidSteps", 250.0)
        self._stop_loss_steps = self.Param("StopLossSteps", 500.0)
        self._trailing_steps = self.Param("TrailingSteps", 700.0)
        self._box_lookback = self.Param("BoxLookback", 16)
        self._box_entry_steps = self.Param("BoxEntrySteps", 180.0)

        self._previous_rsi = 0.0
        self._has_previous_rsi = False
        self._last_entry_price = None
        self._entry_count = 0
        self._active_stop_price = None
        self._best_price = 0.0
        self._box_high = 0.0
        self._box_low = 999999999.0
        self._box_bars_count = 0

    @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(master_mm_droid_strategy, self).OnStarted2(time)

        self._previous_rsi = 0.0
        self._has_previous_rsi = False
        self._last_entry_price = None
        self._entry_count = 0
        self._active_stop_price = None
        self._best_price = 0.0
        self._box_high = 0.0
        self._box_low = 999999999.0
        self._box_bars_count = 0

        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = int(self._rsi_period.Value)

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._rsi, self.ProcessCandle).Start()

    def ProcessCandle(self, candle, rsi_value):
        if candle.State != CandleStates.Finished:
            return

        rsi_val = float(rsi_value)
        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        step = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0

        entered_this_candle = False

        self._update_box(candle)
        self._manage_trailing(candle, step)

        if not self.IsFormedAndOnlineAndAllowTrading():
            self._previous_rsi = rsi_val
            self._has_previous_rsi = True
            return

        vol = float(self.Volume)
        box_lookback = int(self._box_lookback.Value)

        pos = float(self.Position)
        if pos == 0 and self._box_bars_count >= box_lookback:
            box_offset = float(self._box_entry_steps.Value) * step
            if close > self._box_high + box_offset:
                self.BuyMarket(vol)
                self._last_entry_price = close
                self._entry_count = 1
                self._active_stop_price = close - float(self._stop_loss_steps.Value) * step
                self._best_price = close
                entered_this_candle = True
            elif close < self._box_low - box_offset:
                self.SellMarket(vol)
                self._last_entry_price = close
                self._entry_count = 1
                self._active_stop_price = close + float(self._stop_loss_steps.Value) * step
                self._best_price = close
                entered_this_candle = True

        if not entered_this_candle and self._has_previous_rsi and self._rsi.IsFormed:
            rsi_lower = float(self._rsi_lower_level.Value)
            rsi_upper = float(self._rsi_upper_level.Value)
            rsi_cross_up = self._previous_rsi <= rsi_lower and rsi_val > rsi_lower
            rsi_cross_down = self._previous_rsi >= rsi_upper and rsi_val < rsi_upper

            pos = float(self.Position)
            if rsi_cross_up and pos <= 0:
                entry_vol = vol + (abs(pos) if pos < 0 else 0.0)
                self.BuyMarket(entry_vol)
                self._last_entry_price = close
                self._entry_count = 1
                self._active_stop_price = close - float(self._stop_loss_steps.Value) * step
                self._best_price = close
            elif rsi_cross_down and pos >= 0:
                entry_vol = vol + (pos if pos > 0 else 0.0)
                self.SellMarket(entry_vol)
                self._last_entry_price = close
                self._entry_count = 1
                self._active_stop_price = close + float(self._stop_loss_steps.Value) * step
                self._best_price = close

            pyramid_dist = float(self._rsi_pyramid_steps.Value) * step
            max_entries = int(self._rsi_max_entries.Value)
            pos = float(self.Position)
            if pos > 0 and self._entry_count < max_entries and self._last_entry_price is not None:
                if close >= self._last_entry_price + pyramid_dist:
                    self.BuyMarket(vol)
                    self._last_entry_price = close
                    self._entry_count += 1
            elif pos < 0 and self._entry_count < max_entries and self._last_entry_price is not None:
                if close <= self._last_entry_price - pyramid_dist:
                    self.SellMarket(vol)
                    self._last_entry_price = close
                    self._entry_count += 1

        self._previous_rsi = rsi_val
        self._has_previous_rsi = True

    def _update_box(self, candle):
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        self._box_bars_count += 1
        if high > self._box_high:
            self._box_high = high
        if low < self._box_low:
            self._box_low = low

    def _manage_trailing(self, candle, step):
        pos = float(self.Position)
        if pos == 0:
            self._active_stop_price = None
            return

        if self._active_stop_price is None:
            return

        close = float(candle.ClosePrice)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        trail_dist = float(self._trailing_steps.Value) * step

        if pos > 0:
            if close > self._best_price:
                self._best_price = close
            trail_stop = self._best_price - trail_dist
            if trail_stop > self._active_stop_price:
                self._active_stop_price = trail_stop
            if low <= self._active_stop_price:
                self.SellMarket(pos)
                self._active_stop_price = None
                self._last_entry_price = None
                self._entry_count = 0
        else:
            if close < self._best_price or self._best_price == 0.0:
                self._best_price = close
            trail_stop = self._best_price + trail_dist
            if trail_stop < self._active_stop_price:
                self._active_stop_price = trail_stop
            if high >= self._active_stop_price:
                self.BuyMarket(abs(pos))
                self._active_stop_price = None
                self._last_entry_price = None
                self._entry_count = 0

    def OnReseted(self):
        super(master_mm_droid_strategy, self).OnReseted()
        self._previous_rsi = 0.0
        self._has_previous_rsi = False
        self._last_entry_price = None
        self._entry_count = 0
        self._active_stop_price = None
        self._best_price = 0.0
        self._box_high = 0.0
        self._box_low = 999999999.0
        self._box_bars_count = 0

    def CreateClone(self):
        return master_mm_droid_strategy()