Стратегия повторного входа по TTM Trend

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>
/// TTM Trend strategy with re-entry logic inspired by the MetaTrader expert.
/// Opens positions when the TTM Trend color flips and pyramids after price moves far enough.
/// </summary>
public class TtmTrendReopenStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _compBars;
	private readonly StrategyParam<int> _signalBar;
	private readonly StrategyParam<decimal> _priceStepPoints;
	private readonly StrategyParam<int> _maxPositions;
	private readonly StrategyParam<bool> _enableLongEntries;
	private readonly StrategyParam<bool> _enableShortEntries;
	private readonly StrategyParam<bool> _enableLongExits;
	private readonly StrategyParam<bool> _enableShortExits;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;

	private TtmTrendIndicator _ttmIndicator;
	private readonly List<int> _colorHistory = new();
	private int _longEntries;
	private int _shortEntries;
	private decimal _entryPrice;

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

	/// <summary>
	/// Number of Heikin-Ashi comparison bars maintained by the indicator.
	/// </summary>
	public int CompBars
	{
		get => _compBars.Value;
		set => _compBars.Value = Math.Max(1, value);
	}

	/// <summary>
	/// Offset of the bar used for signal detection (0 = latest closed candle).
	/// </summary>
	public int SignalBar
	{
		get => _signalBar.Value;
		set => _signalBar.Value = Math.Max(0, value);
	}

	/// <summary>
	/// Minimum favorable move in points before adding to an existing position.
	/// </summary>
	public decimal PriceStepPoints
	{
		get => _priceStepPoints.Value;
		set => _priceStepPoints.Value = Math.Max(0m, value);
	}

	/// <summary>
	/// Maximum number of entries per direction (including the first one).
	/// </summary>
	public int MaxPositions
	{
		get => _maxPositions.Value;
		set => _maxPositions.Value = Math.Max(1, value);
	}

	/// <summary>
	/// Allow opening new long positions on bullish colors.
	/// </summary>
	public bool EnableLongEntries
	{
		get => _enableLongEntries.Value;
		set => _enableLongEntries.Value = value;
	}

	/// <summary>
	/// Allow opening new short positions on bearish colors.
	/// </summary>
	public bool EnableShortEntries
	{
		get => _enableShortEntries.Value;
		set => _enableShortEntries.Value = value;
	}

	/// <summary>
	/// Allow closing long positions when a bearish color appears.
	/// </summary>
	public bool EnableLongExits
	{
		get => _enableLongExits.Value;
		set => _enableLongExits.Value = value;
	}

	/// <summary>
	/// Allow closing short positions when a bullish color appears.
	/// </summary>
	public bool EnableShortExits
	{
		get => _enableShortExits.Value;
		set => _enableShortExits.Value = value;
	}

	/// <summary>
	/// Stop-loss distance expressed in instrument points.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = Math.Max(0m, value);
	}

	/// <summary>
	/// Take-profit distance expressed in instrument points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = Math.Max(0m, value);
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="TtmTrendReopenStrategy"/>.
	/// </summary>
	public TtmTrendReopenStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Timeframe for the TTM Trend calculation", "General");

		_compBars = Param(nameof(CompBars), 6)
		.SetGreaterThanZero()
		.SetDisplay("Comparison Bars", "Heikin-Ashi bars stored for the color smoothing", "Indicator")
		
		.SetOptimize(3, 12, 1);

		_signalBar = Param(nameof(SignalBar), 1)
		.SetNotNegative()
		.SetDisplay("Signal Bar", "Offset of the bar used for trading decisions", "Indicator")
		
		.SetOptimize(0, 3, 1);

		_priceStepPoints = Param(nameof(PriceStepPoints), 1000m)
		.SetNotNegative()
		.SetDisplay("Re-entry Step", "Minimum favorable move (in points) before pyramiding", "Risk Management")
		
		.SetOptimize(100m, 600m, 100m);

		_maxPositions = Param(nameof(MaxPositions), 1)
		.SetGreaterThanZero()
		.SetDisplay("Max Entries", "Maximum number of stacked entries per direction", "Risk Management")
		
		.SetOptimize(1, 10, 1);

		_enableLongEntries = Param(nameof(EnableLongEntries), true)
		.SetDisplay("Enable Long Entries", "Allow buying when the TTM Trend turns bullish", "Trading Rules");

		_enableShortEntries = Param(nameof(EnableShortEntries), true)
		.SetDisplay("Enable Short Entries", "Allow selling when the TTM Trend turns bearish", "Trading Rules");

		_enableLongExits = Param(nameof(EnableLongExits), true)
		.SetDisplay("Enable Long Exits", "Close longs on bearish colors", "Trading Rules");

		_enableShortExits = Param(nameof(EnableShortExits), true)
		.SetDisplay("Enable Short Exits", "Close shorts on bullish colors", "Trading Rules");

		_stopLossPoints = Param(nameof(StopLossPoints), 1000m)
		.SetNotNegative()
		.SetDisplay("Stop Loss (points)", "Protective stop distance in price points", "Risk Management")
		
		.SetOptimize(200m, 2000m, 200m);

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 2000m)
		.SetNotNegative()
		.SetDisplay("Take Profit (points)", "Profit target distance in price points", "Risk Management")
		
		.SetOptimize(500m, 4000m, 500m);
	}

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

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

		_colorHistory.Clear();
		_longEntries = 0;
		_shortEntries = 0;
		_entryPrice = 0m;
		_ttmIndicator = null!;
	}

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

		_colorHistory.Clear();
		_longEntries = 0;
		_shortEntries = 0;

		_ttmIndicator = new TtmTrendIndicator
		{
			CompBars = CompBars
		};

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

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

		var step = Security?.PriceStep ?? 1m;
		Unit stopLossUnit = StopLossPoints > 0m ? new Unit(StopLossPoints * step, UnitTypes.Absolute) : null;
		Unit takeProfitUnit = TakeProfitPoints > 0m ? new Unit(TakeProfitPoints * step, UnitTypes.Absolute) : null;

		if (stopLossUnit != null || takeProfitUnit != null)
			StartProtection(stopLossUnit, takeProfitUnit);
	}

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

		if (!ttmValue.IsFinal)
		return;

		var colorDecimal = ttmValue.GetValue<decimal>();
		var color = (int)Math.Round(colorDecimal);
		_colorHistory.Add(color);

		var offset = Math.Max(0, SignalBar - 1);
		var signalIndex = _colorHistory.Count - 1 - offset;
		if (signalIndex < 0)
		return;

		var currentColor = _colorHistory[signalIndex];
		int? previousColor = signalIndex > 0 ? _colorHistory[signalIndex - 1] : null;

		var isBullishColor = currentColor is 1 or 4;
		var isBearishColor = currentColor is 0 or 3;

		var wasBullish = previousColor.HasValue && (previousColor.Value == 1 || previousColor.Value == 4);
		var wasBearish = previousColor.HasValue && (previousColor.Value == 0 || previousColor.Value == 3);

		// Close existing positions before opening new ones.
		if (EnableLongExits && isBearishColor && Position > 0)
		{
			SellMarket(Position);
			_longEntries = 0;
		}

		if (EnableShortExits && isBullishColor && Position < 0)
		{
			BuyMarket(-Position);
			_shortEntries = 0;
		}

		// Open a fresh long when the color flips to bullish.
		if (EnableLongEntries && isBullishColor && previousColor.HasValue && !wasBullish && Position <= 0)
		{
			BuyMarket(Volume + (Position < 0 ? -Position : 0m));
			_longEntries = 1;
			_shortEntries = 0;
			_entryPrice = candle.ClosePrice;
		}
		// Open a fresh short when the color flips to bearish.
		else if (EnableShortEntries && isBearishColor && previousColor.HasValue && !wasBearish && Position >= 0)
		{
			SellMarket(Volume + (Position > 0 ? Position : 0m));
			_shortEntries = 1;
			_longEntries = 0;
			_entryPrice = candle.ClosePrice;
		}

		var step = Security?.PriceStep ?? 1m;
		var reentryStep = PriceStepPoints * step;

		// Add to an existing long once price moves in favor.
		if (EnableLongEntries && Position > 0 && reentryStep > 0m && _longEntries > 0 && _longEntries < MaxPositions)
		{
			var distance = candle.ClosePrice - _entryPrice;
			if (distance >= reentryStep)
			{
				BuyMarket(Volume);
				_longEntries++;
				_entryPrice = candle.ClosePrice;
			}
		}
		// Add to an existing short once price moves in favor.
		else if (EnableShortEntries && Position < 0 && reentryStep > 0m && _shortEntries > 0 && _shortEntries < MaxPositions)
		{
			var distance = _entryPrice - candle.ClosePrice;
			if (distance >= reentryStep)
			{
				SellMarket(Volume);
				_shortEntries++;
				_entryPrice = candle.ClosePrice;
			}
		}

		var keep = Math.Max(offset + 2, 3);
		if (_colorHistory.Count > keep)
		_colorHistory.RemoveRange(0, _colorHistory.Count - keep);
	}

	/// <inheritdoc />
	protected override void OnPositionReceived(Position position)
	{
		base.OnPositionReceived(position);

		if (Position == 0m)
		{
			_longEntries = 0;
			_shortEntries = 0;
		}
	}

	/// <summary>
	/// Internal indicator reproducing the MetaTrader TTM Trend color output.
	/// </summary>
	private sealed class TtmTrendIndicator : BaseIndicator
	{
		private readonly List<TtmEntry> _history = [];
		private readonly object _sync = new();

		public int CompBars { get; set; } = 6;

		private decimal? _prevHaOpen;
		private decimal? _prevHaClose;

		/// <inheritdoc />
		protected override IIndicatorValue OnProcess(IIndicatorValue input)
		{
			lock (_sync)
			{
				ICandleMessage candle;
				try { candle = input.GetValue<ICandleMessage>(default); }
				catch { return new DecimalIndicatorValue(this, default, input.Time); }
				if (candle == null || candle.State != CandleStates.Finished)
					return new DecimalIndicatorValue(this, default, input.Time);

				var haClose = (candle.OpenPrice + candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 4m;
				decimal haOpen;

				if (_prevHaOpen is null || _prevHaClose is null)
				{
					haOpen = (candle.OpenPrice + candle.ClosePrice) / 2m;
				}
				else
				{
					haOpen = (_prevHaOpen.Value + _prevHaClose.Value) / 2m;
				}

				_prevHaOpen = haOpen;
				_prevHaClose = haClose;

				var color = CalculateBaseColor(candle, haOpen, haClose);

				foreach (var entry in _history)
				{
					var high = Math.Max(entry.HaOpen, entry.HaClose);
					var low = Math.Min(entry.HaOpen, entry.HaClose);

					if (haOpen <= high && haOpen >= low && haClose <= high && haClose >= low)
					{
						color = entry.Color;
						break;
					}
				}

				_history.Insert(0, new TtmEntry(haOpen, haClose, color));

				while (_history.Count > Math.Max(1, CompBars))
					_history.RemoveAt(_history.Count - 1);

				IsFormed = true;
				return new DecimalIndicatorValue(this, color, input.Time);
			}
		}

		/// <inheritdoc />
		public override void Reset()
		{
			lock (_sync)
			{
				base.Reset();
				_history.Clear();
				_prevHaOpen = null;
				_prevHaClose = null;
			}
		}

		private static int CalculateBaseColor(ICandleMessage candle, decimal haOpen, decimal haClose)
		{
			const int neutral = 2;

			if (haClose > haOpen)
			return candle.OpenPrice <= candle.ClosePrice ? 4 : 3;

			if (haClose < haOpen)
			return candle.OpenPrice > candle.ClosePrice ? 0 : 1;

			return neutral;
		}

		private readonly record struct TtmEntry(decimal HaOpen, decimal HaClose, int Color);
	}
}

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.Indicators import BaseIndicator
from StockSharp.Algo.Strategies import Strategy
from datatype_extensions import *
from indicator_extensions import *

class ttm_trend_reopen_strategy(Strategy):
    def __init__(self):
        super(ttm_trend_reopen_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))).SetDisplay("Candle Type", "Timeframe", "General")
        self._comp_bars = self.Param("CompBars", 6).SetGreaterThanZero().SetDisplay("Comparison Bars", "HA bars for color smoothing", "Indicator")
        self._signal_bar = self.Param("SignalBar", 1).SetNotNegative().SetDisplay("Signal Bar", "Offset of signal bar", "Indicator")
        self._price_step_points = self.Param("PriceStepPoints", 1000.0).SetNotNegative().SetDisplay("Re-entry Step", "Min favorable move for pyramiding", "Risk")
        self._max_positions = self.Param("MaxPositions", 1).SetGreaterThanZero().SetDisplay("Max Entries", "Max stacked entries per direction", "Risk")
        self._enable_long_entries = self.Param("EnableLongEntries", True).SetDisplay("Enable Long Entries", "Allow buying on bullish", "Trading Rules")
        self._enable_short_entries = self.Param("EnableShortEntries", True).SetDisplay("Enable Short Entries", "Allow selling on bearish", "Trading Rules")
        self._enable_long_exits = self.Param("EnableLongExits", True).SetDisplay("Enable Long Exits", "Close longs on bearish", "Trading Rules")
        self._enable_short_exits = self.Param("EnableShortExits", True).SetDisplay("Enable Short Exits", "Close shorts on bullish", "Trading Rules")
        self._sl_points = self.Param("StopLossPoints", 1000.0).SetNotNegative().SetDisplay("Stop Loss (points)", "SL distance", "Risk")
        self._tp_points = self.Param("TakeProfitPoints", 2000.0).SetNotNegative().SetDisplay("Take Profit (points)", "TP distance", "Risk")

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

    def OnReseted(self):
        super(ttm_trend_reopen_strategy, self).OnReseted()
        self._color_history = []
        self._long_entries = 0
        self._short_entries = 0
        self._entry_price = 0
        self._prev_ha_open = None
        self._prev_ha_close = None
        self._ha_history = []

    def OnStarted2(self, time):
        super(ttm_trend_reopen_strategy, self).OnStarted2(time)
        self._color_history = []
        self._long_entries = 0
        self._short_entries = 0
        self._entry_price = 0
        self._prev_ha_open = None
        self._prev_ha_close = None
        self._ha_history = []

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self._on_candle).Start()

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

        step = 1.0
        if self.Security is not None and self.Security.PriceStep is not None:
            step = float(self.Security.PriceStep)

        sl = float(self._sl_points.Value)
        tp = float(self._tp_points.Value)
        sl_unit = Unit(sl * step, UnitTypes.Absolute) if sl > 0 else None
        tp_unit = Unit(tp * step, UnitTypes.Absolute) if tp > 0 else None
        if sl_unit is not None or tp_unit is not None:
            self.StartProtection(sl_unit, tp_unit)

    def _calc_base_color(self, candle, ha_open, ha_close):
        if ha_close > ha_open:
            return 4 if float(candle.OpenPrice) <= float(candle.ClosePrice) else 3
        elif ha_close < ha_open:
            return 0 if float(candle.OpenPrice) > float(candle.ClosePrice) else 1
        else:
            return 2

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

        o = float(candle.OpenPrice)
        h = float(candle.HighPrice)
        l = float(candle.LowPrice)
        c = float(candle.ClosePrice)

        ha_close = (o + h + l + c) / 4.0
        if self._prev_ha_open is None or self._prev_ha_close is None:
            ha_open = (o + c) / 2.0
        else:
            ha_open = (self._prev_ha_open + self._prev_ha_close) / 2.0

        self._prev_ha_open = ha_open
        self._prev_ha_close = ha_close

        color = self._calc_base_color(candle, ha_open, ha_close)

        comp = int(self._comp_bars.Value)
        for entry in self._ha_history:
            e_high = max(entry[0], entry[1])
            e_low = min(entry[0], entry[1])
            if ha_open <= e_high and ha_open >= e_low and ha_close <= e_high and ha_close >= e_low:
                color = entry[2]
                break

        self._ha_history.insert(0, (ha_open, ha_close, color))
        while len(self._ha_history) > max(1, comp):
            self._ha_history.pop()

        self._color_history.append(color)

        signal_bar = int(self._signal_bar.Value)
        offset = max(0, signal_bar - 1)
        signal_index = len(self._color_history) - 1 - offset
        if signal_index < 0:
            return

        current_color = self._color_history[signal_index]
        previous_color = self._color_history[signal_index - 1] if signal_index > 0 else None

        is_bullish = current_color == 1 or current_color == 4
        is_bearish = current_color == 0 or current_color == 3

        was_bullish = previous_color is not None and (previous_color == 1 or previous_color == 4)
        was_bearish = previous_color is not None and (previous_color == 0 or previous_color == 3)

        enable_long_exits = self._enable_long_exits.Value
        enable_short_exits = self._enable_short_exits.Value
        enable_long_entries = self._enable_long_entries.Value
        enable_short_entries = self._enable_short_entries.Value

        pos = self.Position

        if enable_long_exits and is_bearish and pos > 0:
            self.SellMarket()
            self._long_entries = 0

        if enable_short_exits and is_bullish and pos < 0:
            self.BuyMarket()
            self._short_entries = 0

        pos = self.Position

        if enable_long_entries and is_bullish and previous_color is not None and not was_bullish and pos <= 0:
            if pos < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._long_entries = 1
            self._short_entries = 0
            self._entry_price = float(candle.ClosePrice)
        elif enable_short_entries and is_bearish and previous_color is not None and not was_bearish and pos >= 0:
            if pos > 0:
                self.SellMarket()
            self.SellMarket()
            self._short_entries = 1
            self._long_entries = 0
            self._entry_price = float(candle.ClosePrice)

        step = 1.0
        if self.Security is not None and self.Security.PriceStep is not None:
            step = float(self.Security.PriceStep)
        reentry_step = float(self._price_step_points.Value) * step
        max_pos = int(self._max_positions.Value)

        pos = self.Position
        if enable_long_entries and pos > 0 and reentry_step > 0 and self._long_entries > 0 and self._long_entries < max_pos:
            distance = float(candle.ClosePrice) - self._entry_price
            if distance >= reentry_step:
                self.BuyMarket()
                self._long_entries += 1
                self._entry_price = float(candle.ClosePrice)
        elif enable_short_entries and pos < 0 and reentry_step > 0 and self._short_entries > 0 and self._short_entries < max_pos:
            distance = self._entry_price - float(candle.ClosePrice)
            if distance >= reentry_step:
                self.SellMarket()
                self._short_entries += 1
                self._entry_price = float(candle.ClosePrice)

        keep = max(offset + 2, 3)
        if len(self._color_history) > keep:
            self._color_history = self._color_history[len(self._color_history) - keep:]

    def CreateClone(self):
        return ttm_trend_reopen_strategy()