Стратегия Ichimoku Cloud Retrace

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>
/// Ichimoku cloud retrace strategy.
/// Takes trades when price pulls back inside the cloud in the direction of the kumo slope.
/// Uses optional fixed offsets for stop-loss and take-profit management.
/// </summary>
public class IchimokuCloudRetraceStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanBPeriod;
	private readonly StrategyParam<decimal> _stopLossOffset;
	private readonly StrategyParam<decimal> _takeProfitOffset;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;

	/// <summary>
	/// Tenkan-sen period.
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}

	/// <summary>
	/// Kijun-sen period.
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}

	/// <summary>
	/// Senkou Span B period.
	/// </summary>
	public int SenkouSpanBPeriod
	{
		get => _senkouSpanBPeriod.Value;
		set => _senkouSpanBPeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss offset in price units. Set to zero to disable.
	/// </summary>
	public decimal StopLossOffset
	{
		get => _stopLossOffset.Value;
		set => _stopLossOffset.Value = value;
	}

	/// <summary>
	/// Take-profit offset in price units. Set to zero to disable.
	/// </summary>
	public decimal TakeProfitOffset
	{
		get => _takeProfitOffset.Value;
		set => _takeProfitOffset.Value = value;
	}

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public IchimokuCloudRetraceStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Tenkan-sen length", "Ichimoku Settings")
			
			.SetOptimize(5, 15, 1);

		_kijunPeriod = Param(nameof(KijunPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Kijun-sen length", "Ichimoku Settings")
			
			.SetOptimize(20, 40, 2);

		_senkouSpanBPeriod = Param(nameof(SenkouSpanBPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Senkou Span B Period", "Senkou Span B length", "Ichimoku Settings")
			
			.SetOptimize(40, 70, 5);

		_stopLossOffset = Param(nameof(StopLossOffset), 0m)
			.SetDisplay("Stop Loss Offset", "Distance from entry for stop-loss (price units)", "Risk Management");

		_takeProfitOffset = Param(nameof(TakeProfitOffset), 0m)
			.SetDisplay("Take Profit Offset", "Distance from entry for take-profit (price units)", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for analysis", "General");
	}

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

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

		// Reset internal state values.
		_entryPrice = 0m;
	}

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

		// Prepare Ichimoku indicator with user-defined lengths.
		var ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanBPeriod }
		};

		// Subscribe to candle data and bind the indicator for processing.
		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(ichimoku, ProcessCandle)
			.Start();

		// Draw helper visuals if a chart is available.
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ichimoku);
			DrawOwnTrades(area);
		}
	}

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

		if (!ichimokuValue.IsFinal)
			return;

		// Manage open positions using the latest close before looking for new entries.
		ManageRisk(candle);

		if (Position == 0)
			_entryPrice = 0m;

		var ichimoku = (IchimokuValue)ichimokuValue;

		if (ichimoku.SenkouA is not decimal senkouA ||
			ichimoku.SenkouB is not decimal senkouB)
			return;

		var open = candle.OpenPrice;
		var close = candle.ClosePrice;

		var lowerSpan = Math.Min(senkouA, senkouB);
		var upperSpan = Math.Max(senkouA, senkouB);

		var priceInsideCloud = close > lowerSpan && close < upperSpan;

		var bullishCloud = senkouA > senkouB;
		var bearishCloud = senkouB > senkouA;

		var shouldBuy = bullishCloud && close > open && priceInsideCloud;
		var shouldSell = bearishCloud && open > close && priceInsideCloud;

		if (shouldBuy && Position <= 0)
		{
			// Combine reversal and new entry volume in a single market order.
			var volume = Volume + (Position < 0 ? Math.Abs(Position) : 0m);

			if (volume > 0)
			{
				_entryPrice = close;
				BuyMarket(volume);
			}
		}
		else if (shouldSell && Position >= 0)
		{
			// Combine reversal and new entry volume in a single market order.
			var volume = Volume + (Position > 0 ? Math.Abs(Position) : 0m);

			if (volume > 0)
			{
				_entryPrice = close;
				SellMarket(volume);
			}
		}
	}

	private void ManageRisk(ICandleMessage candle)
	{
		if (_entryPrice == 0m)
			return;

		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if (StopLossOffset > 0m && close <= _entryPrice - StopLossOffset)
			{
				var volumeToClose = Math.Abs(Position);

				if (volumeToClose > 0m)
				{
					SellMarket(volumeToClose);
					_entryPrice = 0m;
					return;
				}
			}

			if (TakeProfitOffset > 0m && close >= _entryPrice + TakeProfitOffset)
			{
				var volumeToClose = Math.Abs(Position);

				if (volumeToClose > 0m)
				{
					SellMarket(volumeToClose);
					_entryPrice = 0m;
				}
			}
		}
		else if (Position < 0)
		{
			if (StopLossOffset > 0m && close >= _entryPrice + StopLossOffset)
			{
				var volumeToClose = Math.Abs(Position);

				if (volumeToClose > 0m)
				{
					BuyMarket(volumeToClose);
					_entryPrice = 0m;
					return;
				}
			}

			if (TakeProfitOffset > 0m && close <= _entryPrice - TakeProfitOffset)
			{
				var volumeToClose = Math.Abs(Position);

				if (volumeToClose > 0m)
				{
					BuyMarket(volumeToClose);
					_entryPrice = 0m;
				}
			}
		}
	}
}

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.Indicators import Ichimoku
from StockSharp.Algo.Strategies import Strategy


class ichimoku_cloud_retrace_strategy(Strategy):
    """Ichimoku cloud retrace: trades when price pulls back inside the cloud in direction of kumo slope."""

    def __init__(self):
        super(ichimoku_cloud_retrace_strategy, self).__init__()

        self._tenkan_period = self.Param("TenkanPeriod", 9) \
            .SetGreaterThanZero() \
            .SetDisplay("Tenkan Period", "Tenkan-sen length", "Ichimoku Settings")
        self._kijun_period = self.Param("KijunPeriod", 26) \
            .SetGreaterThanZero() \
            .SetDisplay("Kijun Period", "Kijun-sen length", "Ichimoku Settings")
        self._senkou_span_b_period = self.Param("SenkouSpanBPeriod", 52) \
            .SetGreaterThanZero() \
            .SetDisplay("Senkou Span B Period", "Senkou Span B length", "Ichimoku Settings")
        self._stop_loss_offset = self.Param("StopLossOffset", 0.0) \
            .SetDisplay("Stop Loss Offset", "Distance from entry for stop-loss (price units)", "Risk Management")
        self._take_profit_offset = self.Param("TakeProfitOffset", 0.0) \
            .SetDisplay("Take Profit Offset", "Distance from entry for take-profit (price units)", "Risk Management")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1))) \
            .SetDisplay("Candle Type", "Type of candles for analysis", "General")

        self._entry_price = 0.0

    @property
    def TenkanPeriod(self):
        return int(self._tenkan_period.Value)
    @property
    def KijunPeriod(self):
        return int(self._kijun_period.Value)
    @property
    def SenkouSpanBPeriod(self):
        return int(self._senkou_span_b_period.Value)
    @property
    def StopLossOffset(self):
        return float(self._stop_loss_offset.Value)
    @property
    def TakeProfitOffset(self):
        return float(self._take_profit_offset.Value)
    @property
    def CandleType(self):
        return self._candle_type.Value

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

        self._entry_price = 0.0

        ichimoku = Ichimoku()
        ichimoku.Tenkan.Length = self.TenkanPeriod
        ichimoku.Kijun.Length = self.KijunPeriod
        ichimoku.SenkouB.Length = self.SenkouSpanBPeriod

        self._ichimoku = ichimoku

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.BindEx(ichimoku, self.process_candle).Start()

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

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

        if not ichimoku_value.IsFinal:
            return

        self._manage_risk(candle)

        if self.Position == 0:
            self._entry_price = 0.0

        senkou_a_val = ichimoku_value.SenkouA
        senkou_b_val = ichimoku_value.SenkouB

        if senkou_a_val is None or senkou_b_val is None:
            return

        senkou_a = float(senkou_a_val)
        senkou_b = float(senkou_b_val)

        open_p = float(candle.OpenPrice)
        close = float(candle.ClosePrice)

        lower_span = min(senkou_a, senkou_b)
        upper_span = max(senkou_a, senkou_b)

        price_inside_cloud = close > lower_span and close < upper_span

        bullish_cloud = senkou_a > senkou_b
        bearish_cloud = senkou_b > senkou_a

        should_buy = bullish_cloud and close > open_p and price_inside_cloud
        should_sell = bearish_cloud and open_p > close and price_inside_cloud

        if should_buy and self.Position <= 0:
            self._entry_price = close
            self.BuyMarket()
        elif should_sell and self.Position >= 0:
            self._entry_price = close
            self.SellMarket()

    def _manage_risk(self, candle):
        if self._entry_price == 0.0:
            return

        close = float(candle.ClosePrice)

        if self.Position > 0:
            if self.StopLossOffset > 0 and close <= self._entry_price - self.StopLossOffset:
                self.SellMarket()
                self._entry_price = 0.0
                return

            if self.TakeProfitOffset > 0 and close >= self._entry_price + self.TakeProfitOffset:
                self.SellMarket()
                self._entry_price = 0.0

        elif self.Position < 0:
            if self.StopLossOffset > 0 and close >= self._entry_price + self.StopLossOffset:
                self.BuyMarket()
                self._entry_price = 0.0
                return

            if self.TakeProfitOffset > 0 and close <= self._entry_price - self.TakeProfitOffset:
                self.BuyMarket()
                self._entry_price = 0.0

    def OnReseted(self):
        super(ichimoku_cloud_retrace_strategy, self).OnReseted()
        self._entry_price = 0.0

    def CreateClone(self):
        return ichimoku_cloud_retrace_strategy()