Стратегия ZigZag EvgeTrofi

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>
/// ZigZag pivot strategy based on the original ZigZagEvgeTrofi expert advisor.
/// Reacts to the most recent zigzag swing and enters within a limited number of bars.
/// </summary>
public class ZigZagEvgeTrofiStrategy : Strategy
{
	private enum PivotTypes
	{
		None,
		High,
		Low
	}

	private readonly StrategyParam<int> _depth;
	private readonly StrategyParam<decimal> _deviation;
	private readonly StrategyParam<int> _backstep;
	private readonly StrategyParam<int> _urgency;
	private readonly StrategyParam<bool> _signalReverse;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _volume;

	private Highest _highest;
	private Lowest _lowest;
	private PivotTypes _pivotType;
	private decimal _pivotPrice;
	private int _barsSincePivot;
	private decimal _priceStep;

	/// <summary>
	/// ZigZag depth parameter controlling the swing detection window.
	/// </summary>
	public int Depth
	{
		get => _depth.Value;
		set => _depth.Value = value;
	}

	/// <summary>
	/// Minimum deviation in price steps required to confirm a new pivot.
	/// </summary>
	public decimal Deviation
	{
		get => _deviation.Value;
		set => _deviation.Value = value;
	}

	/// <summary>
	/// Minimum number of bars between opposite pivot updates.
	/// </summary>
	public int Backstep
	{
		get => _backstep.Value;
		set => _backstep.Value = value;
	}

	/// <summary>
	/// Maximum number of bars after a pivot when entries are allowed.
	/// </summary>
	public int Urgency
	{
		get => _urgency.Value;
		set => _urgency.Value = value;
	}

	/// <summary>
	/// Reverses the direction of the generated signals.
	/// </summary>
	public bool SignalReverse
	{
		get => _signalReverse.Value;
		set => _signalReverse.Value = value;
	}

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

	/// <summary>
	/// Trading volume submitted on every entry.
	/// </summary>
	public decimal VolumePerTrade
	{
		get => _volume.Value;
		set => _volume.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="ZigZagEvgeTrofiStrategy"/> class.
	/// </summary>
	public ZigZagEvgeTrofiStrategy()
	{
		_depth = Param(nameof(Depth), 17)
			.SetGreaterThanZero()
			.SetDisplay("Depth", "ZigZag depth parameter", "ZigZag")
			
			.SetOptimize(5, 40, 1);

		_deviation = Param(nameof(Deviation), 7m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation", "Minimum price movement in points", "ZigZag")
			
			.SetOptimize(1m, 20m, 1m);

		_backstep = Param(nameof(Backstep), 5)
			.SetGreaterThanZero()
			.SetDisplay("Backstep", "Bars to lock a pivot before switching", "ZigZag")
			
			.SetOptimize(1, 15, 1);

		_urgency = Param(nameof(Urgency), 2)
			.SetNotNegative()
			.SetDisplay("Urgency", "Maximum bars to use the latest signal", "Trading")
			
			.SetOptimize(0, 5, 1);

		_signalReverse = Param(nameof(SignalReverse), false)
			.SetDisplay("Signal Reverse", "Flip long and short entries", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for analysis", "General");

		_volume = Param(nameof(VolumePerTrade), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Volume", "Order volume per trade", "Trading");
	}

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

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

		_highest = null;
		_lowest = null;
		_pivotType = PivotTypes.None;
		_pivotPrice = 0m;
		_barsSincePivot = int.MaxValue;
		_priceStep = 0m;
	}

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

		_priceStep = GetEffectivePriceStep();
		_highest = new Highest { Length = Depth };
		_lowest = new Lowest { Length = Depth };

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

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

	private void ProcessCandle(ICandleMessage candle, decimal highestValue, decimal lowestValue)
	{
		// Skip unfinished candles to ensure decisions are made on closed bars only.
		if (candle.State != CandleStates.Finished)
			return;

		// Wait until both indicators are fully formed before reacting.
		if (_highest == null || _lowest == null || !_highest.IsFormed || !_lowest.IsFormed)
			return;

		// Increment the bar counter that measures freshness of the latest pivot.
		if (_pivotType != PivotTypes.None && _barsSincePivot < int.MaxValue)
			_barsSincePivot++;

		var deviationPrice = Math.Max(GetDeviationInPrice(), _priceStep);
		var canSwitch = _pivotType == PivotTypes.None || _barsSincePivot >= Backstep;

		// Detect a fresh swing high if price pushes above the tracked maximum.
		if (candle.HighPrice >= highestValue && highestValue > 0m)
		{
			var difference = candle.HighPrice - _pivotPrice;
			if ((_pivotType != PivotTypes.High && canSwitch) || (_pivotType == PivotTypes.High && difference >= deviationPrice))
				SetPivot(PivotTypes.High, candle.HighPrice);
		}
		// Detect a fresh swing low when price dips under the tracked minimum.
		else if (candle.LowPrice <= lowestValue && lowestValue > 0m)
		{
			var difference = _pivotPrice - candle.LowPrice;
			if ((_pivotType != PivotTypes.Low && canSwitch) || (_pivotType == PivotTypes.Low && difference >= deviationPrice))
				SetPivot(PivotTypes.Low, candle.LowPrice);
		}

		if (_pivotType == PivotTypes.None)
			return;

		var isBuySignal = _pivotType == PivotTypes.High ? !SignalReverse : SignalReverse;

		// Close opposite exposure before entering in the new direction.
		if (isBuySignal)
		{
			if (Position < 0)
			{
				var closeVolume = Math.Abs(Position);
				if (closeVolume > 0m)
					BuyMarket(closeVolume);
			}
		}
		else
		{
			if (Position > 0)
			{
				var closeVolume = Math.Abs(Position);
				if (closeVolume > 0m)
					SellMarket(closeVolume);
			}
		}

		// Enter the market while the pivot is still considered fresh.
		if (_barsSincePivot > Urgency)
			return;

		var volume = VolumePerTrade;
		if (volume <= 0m)
			return;

		if (isBuySignal)
			BuyMarket(volume);
		else
			SellMarket(volume);
	}

	// Update the stored pivot information when a new swing is confirmed.
	private void SetPivot(PivotTypes type, decimal price)
	{
		_pivotType = type;
		_pivotPrice = price;
		_barsSincePivot = 0;
	}

	// Convert the deviation input expressed in points to a price value.
	private decimal GetDeviationInPrice()
	{
		return Deviation * _priceStep;
	}

	// Determine the effective price step for translating point-based parameters.
	private decimal GetEffectivePriceStep()
	{
		if (Security?.PriceStep is > 0m)
			return Security.PriceStep.Value;

		return 1m;
	}
}

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 Highest, Lowest
from StockSharp.Algo.Strategies import Strategy


# Pivot type constants
PIVOT_NONE = 0
PIVOT_HIGH = 1
PIVOT_LOW = 2


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

        self._depth = self.Param("Depth", 17)
        self._deviation = self.Param("Deviation", 7.0)
        self._backstep = self.Param("Backstep", 5)
        self._urgency = self.Param("Urgency", 2)
        self._signal_reverse = self.Param("SignalReverse", False)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))

        self._highest = None
        self._lowest = None
        self._pivot_type = PIVOT_NONE
        self._pivot_price = 0.0
        self._bars_since_pivot = 999999
        self._price_step = 1.0

    @property
    def CandleType(self):
        return self._candle_type.Value

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

    @property
    def Depth(self):
        return self._depth.Value

    @property
    def Deviation(self):
        return self._deviation.Value

    @property
    def Backstep(self):
        return self._backstep.Value

    @property
    def Urgency(self):
        return self._urgency.Value

    @property
    def SignalReverse(self):
        return self._signal_reverse.Value

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

        sec = self.Security
        if sec is not None and sec.PriceStep is not None and float(sec.PriceStep) > 0:
            self._price_step = float(sec.PriceStep)
        else:
            self._price_step = 1.0

        self._highest = Highest()
        self._highest.Length = self.Depth
        self._lowest = Lowest()
        self._lowest.Length = self.Depth

        self._pivot_type = PIVOT_NONE
        self._pivot_price = 0.0
        self._bars_since_pivot = 999999

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._highest, self._lowest, self._process_candle).Start()

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

    def _process_candle(self, candle, highest_v, lowest_v):
        if candle.State != CandleStates.Finished:
            return

        if not self._highest.IsFormed or not self._lowest.IsFormed:
            return

        if self._pivot_type != PIVOT_NONE and self._bars_since_pivot < 999999:
            self._bars_since_pivot += 1

        hv = float(highest_v)
        lv = float(lowest_v)
        high = float(candle.HighPrice)
        low = float(candle.LowPrice)

        deviation_price = max(self.Deviation * self._price_step, self._price_step)
        can_switch = self._pivot_type == PIVOT_NONE or self._bars_since_pivot >= self.Backstep

        if high >= hv and hv > 0:
            difference = high - self._pivot_price
            if (self._pivot_type != PIVOT_HIGH and can_switch) or (self._pivot_type == PIVOT_HIGH and difference >= deviation_price):
                self._set_pivot(PIVOT_HIGH, high)
        elif low <= lv and lv > 0:
            difference = self._pivot_price - low
            if (self._pivot_type != PIVOT_LOW and can_switch) or (self._pivot_type == PIVOT_LOW and difference >= deviation_price):
                self._set_pivot(PIVOT_LOW, low)

        if self._pivot_type == PIVOT_NONE:
            return

        is_buy_signal = (self._pivot_type != PIVOT_HIGH) if self.SignalReverse else (self._pivot_type == PIVOT_HIGH)

        if is_buy_signal:
            if self.Position < 0:
                self.BuyMarket()
        else:
            if self.Position > 0:
                self.SellMarket()

        if self._bars_since_pivot > self.Urgency:
            return

        if is_buy_signal:
            self.BuyMarket()
        else:
            self.SellMarket()

    def _set_pivot(self, pivot_type, price):
        self._pivot_type = pivot_type
        self._pivot_price = price
        self._bars_since_pivot = 0

    def OnReseted(self):
        super(zig_zag_evge_trofi_strategy, self).OnReseted()
        self._highest = None
        self._lowest = None
        self._pivot_type = PIVOT_NONE
        self._pivot_price = 0.0
        self._bars_since_pivot = 999999
        self._price_step = 1.0

    def CreateClone(self):
        return zig_zag_evge_trofi_strategy()