Стратегия двойного подтверждения тренда скользящими средними

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;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Dual moving average trend confirmation strategy.
/// Uses a slow EMA and a fast LWMA to detect synchronized trends.
/// Enters long when both averages slope upward, price stays above the slow EMA, and the slow EMA is above the fast LWMA.
/// Enters short when both averages slope downward, price stays below the slow EMA, and the slow EMA is below the fast LWMA.
/// Built-in stop-loss and take-profit are defined in instrument points.
/// </summary>
public class DualMaTrendConfirmationStrategy : Strategy
{
	private readonly StrategyParam<int> _slowMaLength;
	private readonly StrategyParam<int> _fastMaLength;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _previousClose;
	private decimal _slowPrevious;
	private decimal _slowPrevious2;
	private decimal _fastPrevious;
	private decimal _fastPrevious2;
	private int _historyCount;

	/// <summary>
	/// Slow EMA period length.
	/// </summary>
	public int SlowMaLength
	{
		get => _slowMaLength.Value;
		set => _slowMaLength.Value = value;
	}

	/// <summary>
	/// Fast LWMA period length.
	/// </summary>
	public int FastMaLength
	{
		get => _fastMaLength.Value;
		set => _fastMaLength.Value = value;
	}

	/// <summary>
	/// Stop-loss distance expressed in instrument points.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take-profit distance expressed in instrument points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="DualMaTrendConfirmationStrategy"/> class.
	/// </summary>
	public DualMaTrendConfirmationStrategy()
	{
		_slowMaLength = Param(nameof(SlowMaLength), 57)
			.SetDisplay("Slow EMA Length", "Period for the slow EMA trend filter", "Moving Averages")
			.SetRange(10, 200)
			;

		_fastMaLength = Param(nameof(FastMaLength), 3)
			.SetDisplay("Fast LWMA Length", "Period for the fast LWMA confirmation filter", "Moving Averages")
			.SetRange(1, 50)
			;

		_stopLossPoints = Param(nameof(StopLossPoints), 100m)
			.SetDisplay("Stop Loss (points)", "Stop-loss distance measured in instrument points", "Risk Management")
			.SetRange(10m, 500m)
			;

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 100m)
			.SetDisplay("Take Profit (points)", "Take-profit distance measured in instrument points", "Risk Management")
			.SetRange(10m, 500m)
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles used for moving average calculations", "General");
	}

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

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

		// Clear stored history so the next candle starts with a clean state.
		_previousClose = 0m;
		_slowPrevious = 0m;
		_slowPrevious2 = 0m;
		_fastPrevious = 0m;
		_fastPrevious2 = 0m;
		_historyCount = 0;
	}

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

		var slowEma = new ExponentialMovingAverage
		{
			Length = SlowMaLength
		};

		var fastLwma = new WeightedMovingAverage
		{
			Length = FastMaLength
		};

		var subscription = SubscribeCandles(CandleType);

		var step = Security.PriceStep ?? 1m;

		// Enable automatic stop-loss and take-profit management based on point offsets.
		StartProtection(
			takeProfit: new Unit(TakeProfitPoints * step, UnitTypes.Absolute),
			stopLoss: new Unit(StopLossPoints * step, UnitTypes.Absolute),
			useMarketOrders: true);

		subscription
			.Bind(slowEma, fastLwma, (candle, slowValue, fastValue) => ProcessCandle(candle, slowValue, fastValue, slowEma, fastLwma))
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal slowValue, decimal fastValue, ExponentialMovingAverage slowEma, WeightedMovingAverage fastLwma)
	{
		// Work only with fully formed candles to avoid premature decisions.
		if (candle.State != CandleStates.Finished)
			return;

		// Ensure both indicators produced reliable values before trading logic.
		if (!slowEma.IsFormed || !fastLwma.IsFormed)
		{
			UpdateHistory(slowValue, fastValue, candle.ClosePrice);
			return;
		}

		// Accumulate at least two previous candles for slope calculations.
		if (_historyCount < 2)
		{
			UpdateHistory(slowValue, fastValue, candle.ClosePrice);
			return;
		}

		var slowRising = slowValue > _slowPrevious && _slowPrevious > _slowPrevious2;
		var fastRising = fastValue > _fastPrevious && _fastPrevious > _fastPrevious2;
		var slowFalling = slowValue < _slowPrevious && _slowPrevious < _slowPrevious2;
		var fastFalling = fastValue < _fastPrevious && _fastPrevious < _fastPrevious2;
		var priceAboveSlow = _previousClose > _slowPrevious;
		var priceBelowSlow = _previousClose < _slowPrevious;
		var slowAboveFast = slowValue > fastValue;
		var slowBelowFast = slowValue < fastValue;

		if (slowRising && fastRising && priceAboveSlow && slowAboveFast && Position <= 0)
		{
			BuyMarket();
		}
		else if (slowFalling && fastFalling && priceBelowSlow && slowBelowFast && Position >= 0)
		{
			SellMarket();
		}

		UpdateHistory(slowValue, fastValue, candle.ClosePrice);
	}

	private void UpdateHistory(decimal slowValue, decimal fastValue, decimal closePrice)
	{
		// Shift previous values so the last two candles are always available.
		_slowPrevious2 = _slowPrevious;
		_slowPrevious = slowValue;
		_fastPrevious2 = _fastPrevious;
		_fastPrevious = fastValue;
		_previousClose = closePrice;

		if (_historyCount < 2)
			_historyCount++;
	}
}

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 ExponentialMovingAverage, WeightedMovingAverage
from StockSharp.Algo.Strategies import Strategy


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

        self._slow_ma_length = self.Param("SlowMaLength", 57)
        self._fast_ma_length = self.Param("FastMaLength", 3)
        self._stop_loss_points = self.Param("StopLossPoints", 100.0)
        self._take_profit_points = self.Param("TakeProfitPoints", 100.0)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))

        self._previous_close = 0.0
        self._slow_previous = 0.0
        self._slow_previous2 = 0.0
        self._fast_previous = 0.0
        self._fast_previous2 = 0.0
        self._history_count = 0

    @property
    def SlowMaLength(self):
        return self._slow_ma_length.Value

    @SlowMaLength.setter
    def SlowMaLength(self, value):
        self._slow_ma_length.Value = value

    @property
    def FastMaLength(self):
        return self._fast_ma_length.Value

    @FastMaLength.setter
    def FastMaLength(self, value):
        self._fast_ma_length.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 CandleType(self):
        return self._candle_type.Value

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

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

        self._previous_close = 0.0
        self._slow_previous = 0.0
        self._slow_previous2 = 0.0
        self._fast_previous = 0.0
        self._fast_previous2 = 0.0
        self._history_count = 0

        self._slow_ema = ExponentialMovingAverage()
        self._slow_ema.Length = self.SlowMaLength

        self._fast_lwma = WeightedMovingAverage()
        self._fast_lwma.Length = self.FastMaLength

        step = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0
        if step <= 0.0:
            step = 1.0

        self.StartProtection(
            Unit(float(self.TakeProfitPoints) * step, UnitTypes.Absolute),
            Unit(float(self.StopLossPoints) * step, UnitTypes.Absolute),
            False, None, None, True)

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

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

        sv = float(slow_value)
        fv = float(fast_value)
        close = float(candle.ClosePrice)

        if not self._slow_ema.IsFormed or not self._fast_lwma.IsFormed:
            self._update_history(sv, fv, close)
            return

        if self._history_count < 2:
            self._update_history(sv, fv, close)
            return

        slow_rising = sv > self._slow_previous and self._slow_previous > self._slow_previous2
        fast_rising = fv > self._fast_previous and self._fast_previous > self._fast_previous2
        slow_falling = sv < self._slow_previous and self._slow_previous < self._slow_previous2
        fast_falling = fv < self._fast_previous and self._fast_previous < self._fast_previous2
        price_above_slow = self._previous_close > self._slow_previous
        price_below_slow = self._previous_close < self._slow_previous
        slow_above_fast = sv > fv
        slow_below_fast = sv < fv

        if slow_rising and fast_rising and price_above_slow and slow_above_fast and self.Position <= 0:
            self.BuyMarket()
        elif slow_falling and fast_falling and price_below_slow and slow_below_fast and self.Position >= 0:
            self.SellMarket()

        self._update_history(sv, fv, close)

    def _update_history(self, slow_value, fast_value, close):
        self._slow_previous2 = self._slow_previous
        self._slow_previous = slow_value
        self._fast_previous2 = self._fast_previous
        self._fast_previous = fast_value
        self._previous_close = close
        if self._history_count < 2:
            self._history_count += 1

    def OnReseted(self):
        super(dual_ma_trend_confirmation_strategy, self).OnReseted()
        self._previous_close = 0.0
        self._slow_previous = 0.0
        self._slow_previous2 = 0.0
        self._fast_previous = 0.0
        self._fast_previous2 = 0.0
        self._history_count = 0

    def CreateClone(self):
        return dual_ma_trend_confirmation_strategy()