Brakeout Trader v1

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>
/// Breakout strategy that trades when the closing price crosses a predefined level.
/// The strategy sizes positions based on the selected risk percentage and applies static stop-loss and take-profit levels.
/// </summary>
public class BrakeoutTraderV1Strategy : Strategy
{
	private readonly StrategyParam<decimal> _breakoutLevel;
	private readonly StrategyParam<bool> _enableLong;
	private readonly StrategyParam<bool> _enableShort;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousClose;
	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takePrice;
	private decimal _pipSize;

	/// <summary>
	/// Price level that must be broken to generate signals.
	/// </summary>
	public decimal BreakoutLevel
	{
		get => _breakoutLevel.Value;
		set => _breakoutLevel.Value = value;
	}

	/// <summary>
	/// Enables or disables long breakout trades.
	/// </summary>
	public bool EnableLong
	{
		get => _enableLong.Value;
		set => _enableLong.Value = value;
	}

	/// <summary>
	/// Enables or disables short breakout trades.
	/// </summary>
	public bool EnableShort
	{
		get => _enableShort.Value;
		set => _enableShort.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in points relative to the pip size.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take-profit distance in points relative to the pip size.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Percentage of account equity to risk on each trade.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="BrakeoutTraderV1Strategy"/>.
	/// </summary>
	public BrakeoutTraderV1Strategy()
	{
		_breakoutLevel = Param(nameof(BreakoutLevel), 65000m)
			.SetDisplay("Breakout Level", "Static price level monitored for breakouts", "Signal");

		_enableLong = Param(nameof(EnableLong), true)
			.SetDisplay("Enable Long", "Allow long breakout positions", "Signal");

		_enableShort = Param(nameof(EnableShort), true)
			.SetDisplay("Enable Short", "Allow short breakout positions", "Signal");

		_stopLossPoints = Param(nameof(StopLossPoints), 140m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss Points", "Stop-loss distance expressed in pip points", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 180m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit Points", "Take-profit distance expressed in pip points", "Risk");

		_riskPercent = Param(nameof(RiskPercent), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Risk %", "Percentage of equity risked per trade", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Time frame used for breakout detection", "General");
	}

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

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

		_previousClose = null;
		_entryPrice = null;
		_stopPrice = null;
		_takePrice = null;
		_pipSize = 0m;
	}

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

		var priceStep = Security?.PriceStep ?? 1m;
		var decimals = Security?.Decimals;
		_pipSize = priceStep;

		if (decimals is 3 or 5)
			_pipSize *= 10m;

		if (_pipSize <= 0m)
			_pipSize = 1m;

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

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

		// removed StartProtection(null, null)
	}

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

		if (ManageOpenPosition(candle))
		{
			UpdatePreviousClose(candle.ClosePrice);
			return;
		}

		var prevClose = _previousClose;
		if (prevClose is null)
		{
			_previousClose = candle.ClosePrice;
			return;
		}

		var currentClose = candle.ClosePrice;
		var prevValue = prevClose.Value;

		var breakoutUp = currentClose > BreakoutLevel && prevValue <= BreakoutLevel;
		var breakoutDown = currentClose < BreakoutLevel && prevValue >= BreakoutLevel;

		if (breakoutUp && EnableLong)
		{
			EnterLong(currentClose);
		}
		else if (breakoutDown && EnableShort)
		{
			EnterShort(currentClose);
		}

		_previousClose = currentClose;
	}

	private bool ManageOpenPosition(ICandleMessage candle)
	{
		if (Position > 0)
		{
			// Exit long if stop-loss is touched.
			if (_stopPrice is decimal stop && candle.LowPrice <= stop)
			{
				SellMarket();
				ResetPositionState();
				return true;
			}

			// Exit long if take-profit is reached.
			if (_takePrice is decimal take && candle.HighPrice >= take)
			{
				SellMarket();
				ResetPositionState();
				return true;
			}
		}
		else if (Position < 0)
		{
			// Exit short if stop-loss is touched.
			if (_stopPrice is decimal stop && candle.HighPrice >= stop)
			{
				BuyMarket();
				ResetPositionState();
				return true;
			}

			// Exit short if take-profit is reached.
			if (_takePrice is decimal take && candle.LowPrice <= take)
			{
				BuyMarket();
				ResetPositionState();
				return true;
			}
		}
		else if (_entryPrice.HasValue)
		{
			// Reset cached levels after position is fully closed.
			ResetPositionState();
		}

		return false;
	}

	private void EnterLong(decimal price)
	{
		if (Position > 0)
			return;

		var volume = CalculateOrderVolume();
		var closingVolume = Position < 0 ? Math.Abs(Position) : 0m;
		var totalVolume = closingVolume + volume;

		if (totalVolume <= 0m)
			return;

		if (closingVolume > 0m)
			ResetPositionState();

		BuyMarket();
		SetPositionTargets(price, true, volume > 0m);
	}

	private void EnterShort(decimal price)
	{
		if (Position < 0)
			return;

		var volume = CalculateOrderVolume();
		var closingVolume = Position > 0 ? Position : 0m;
		var totalVolume = closingVolume + volume;

		if (totalVolume <= 0m)
			return;

		if (closingVolume > 0m)
			ResetPositionState();

		SellMarket();
		SetPositionTargets(price, false, volume > 0m);
	}

	private void SetPositionTargets(decimal entryPrice, bool isLong, bool hasNewPosition)
	{
		if (!hasNewPosition)
		{
			return;
		}

		_entryPrice = entryPrice;

		if (StopLossPoints > 0m && _pipSize > 0m)
			_stopPrice = isLong
				? entryPrice - StopLossPoints * _pipSize
				: entryPrice + StopLossPoints * _pipSize;
		else
			_stopPrice = null;

		if (TakeProfitPoints > 0m && _pipSize > 0m)
			_takePrice = isLong
				? entryPrice + TakeProfitPoints * _pipSize
				: entryPrice - TakeProfitPoints * _pipSize;
		else
			_takePrice = null;
	}

	private decimal CalculateOrderVolume()
	{
		var baseVolume = Volume;
		var stopDistance = StopLossPoints * _pipSize;

		if (stopDistance <= 0m || RiskPercent <= 0m)
			return AdjustVolume(baseVolume);

		var equity = Portfolio?.CurrentValue ?? 0m;
		if (equity <= 0m)
			return AdjustVolume(baseVolume);

		var riskValue = equity * RiskPercent / 100m;
		if (riskValue <= 0m)
			return AdjustVolume(baseVolume);

		var qty = riskValue / stopDistance;
		var adjusted = AdjustVolume(qty);

		return adjusted > 0m ? adjusted : AdjustVolume(baseVolume);
	}

	private decimal AdjustVolume(decimal volume)
	{
		var security = Security;
		if (security != null)
		{
			var step = security.VolumeStep;
			if (step is decimal s && s > 0m)
			{
				volume = Math.Floor(volume / s) * s;
			}

			var min = security.MinVolume;
			if (min is decimal minVol && volume < minVol)
				volume = minVol;

			var max = security.MaxVolume;
			if (max is decimal maxVol && maxVol > 0m && volume > maxVol)
				volume = maxVol;

			if (volume <= 0m)
				volume = step is decimal stepVal && stepVal > 0m ? stepVal : 0m;
		}

		if (volume <= 0m)
			volume = volume == 0m ? 1m : Math.Abs(volume);

		return volume;
	}

	private void UpdatePreviousClose(decimal close)
	{
		_previousClose = close;
	}

	private void ResetPositionState()
	{
		_entryPrice = null;
		_stopPrice = null;
		_takePrice = null;
	}
}

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, Unit, UnitTypes
from StockSharp.Algo.Strategies import Strategy


class brakeout_trader_v1_strategy(Strategy):
    def __init__(self):
        super(brakeout_trader_v1_strategy, self).__init__()

        self._breakout_level = self.Param("BreakoutLevel", 65000.0)
        self._enable_long = self.Param("EnableLong", True)
        self._enable_short = self.Param("EnableShort", True)
        self._stop_loss_points = self.Param("StopLossPoints", 140.0)
        self._take_profit_points = self.Param("TakeProfitPoints", 180.0)
        self._risk_percent = self.Param("RiskPercent", 10.0)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))

        self._previous_close = None
        self._entry_price = None
        self._stop_price = None
        self._take_price = None
        self._pip_size = 0.0

    @property
    def BreakoutLevel(self):
        return self._breakout_level.Value

    @BreakoutLevel.setter
    def BreakoutLevel(self, value):
        self._breakout_level.Value = value

    @property
    def EnableLong(self):
        return self._enable_long.Value

    @EnableLong.setter
    def EnableLong(self, value):
        self._enable_long.Value = value

    @property
    def EnableShort(self):
        return self._enable_short.Value

    @EnableShort.setter
    def EnableShort(self, value):
        self._enable_short.Value = value

    @property
    def StopLossPoints(self):
        return self._stop_loss_points.Value

    @StopLossPoints.setter
    def StopLossPoints(self, value):
        self._stop_loss_points.Value = value

    @property
    def TakeProfitPoints(self):
        return self._take_profit_points.Value

    @TakeProfitPoints.setter
    def TakeProfitPoints(self, value):
        self._take_profit_points.Value = value

    @property
    def RiskPercent(self):
        return self._risk_percent.Value

    @RiskPercent.setter
    def RiskPercent(self, value):
        self._risk_percent.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(brakeout_trader_v1_strategy, self).OnStarted2(time)

        ps = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0
        self._pip_size = ps

        if self.Security is not None and self.Security.Decimals is not None:
            d = self.Security.Decimals
            if d == 3 or d == 5:
                self._pip_size = ps * 10.0

        if self._pip_size <= 0.0:
            self._pip_size = 1.0

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

        self.StartProtection(
            Unit(2000.0, UnitTypes.Absolute),
            Unit(1000.0, UnitTypes.Absolute))

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

        if self._manage_open_position(candle):
            self._previous_close = float(candle.ClosePrice)
            return

        if self._previous_close is None:
            self._previous_close = float(candle.ClosePrice)
            return

        current_close = float(candle.ClosePrice)
        prev_value = self._previous_close
        level = float(self.BreakoutLevel)

        breakout_up = current_close > level and prev_value <= level
        breakout_down = current_close < level and prev_value >= level

        if breakout_up and self.EnableLong:
            self._enter_long(current_close)
        elif breakout_down and self.EnableShort:
            self._enter_short(current_close)

        self._previous_close = current_close

    def _manage_open_position(self, candle):
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)

        if self.Position > 0:
            if self._stop_price is not None and low <= self._stop_price:
                self.SellMarket()
                self._reset_position_state()
                return True
            if self._take_price is not None and high >= self._take_price:
                self.SellMarket()
                self._reset_position_state()
                return True
        elif self.Position < 0:
            if self._stop_price is not None and high >= self._stop_price:
                self.BuyMarket()
                self._reset_position_state()
                return True
            if self._take_price is not None and low <= self._take_price:
                self.BuyMarket()
                self._reset_position_state()
                return True
        elif self._entry_price is not None:
            self._reset_position_state()

        return False

    def _enter_long(self, price):
        if self.Position > 0:
            return

        if self.Position < 0:
            self._reset_position_state()

        self.BuyMarket()
        self._set_position_targets(price, True)

    def _enter_short(self, price):
        if self.Position < 0:
            return

        if self.Position > 0:
            self._reset_position_state()

        self.SellMarket()
        self._set_position_targets(price, False)

    def _set_position_targets(self, entry_price, is_long):
        self._entry_price = entry_price
        sl = float(self.StopLossPoints)
        tp = float(self.TakeProfitPoints)

        if sl > 0.0 and self._pip_size > 0.0:
            self._stop_price = entry_price - sl * self._pip_size if is_long else entry_price + sl * self._pip_size
        else:
            self._stop_price = None

        if tp > 0.0 and self._pip_size > 0.0:
            self._take_price = entry_price + tp * self._pip_size if is_long else entry_price - tp * self._pip_size
        else:
            self._take_price = None

    def _reset_position_state(self):
        self._entry_price = None
        self._stop_price = None
        self._take_price = None

    def OnReseted(self):
        super(brakeout_trader_v1_strategy, self).OnReseted()
        self._previous_close = None
        self._entry_price = None
        self._stop_price = None
        self._take_price = None
        self._pip_size = 0.0

    def CreateClone(self):
        return brakeout_trader_v1_strategy()