Стратегия Ambush

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 converted from the Ambush MQL5 expert.
/// Enters on breakouts above/below previous candle range with trailing stop management.
/// </summary>
public class AmbushStrategy : Strategy
{
	private readonly StrategyParam<decimal> _indentationPoints;
	private readonly StrategyParam<decimal> _trailingStopPoints;
	private readonly StrategyParam<decimal> _trailingStepPoints;
	private readonly StrategyParam<decimal> _equityTakeProfit;
	private readonly StrategyParam<decimal> _equityStopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private ICandleMessage _previousCandle;
	private decimal _entryPrice;
	private decimal? _stopPrice;
	private decimal _priceStep;

	/// <summary>
	/// Distance from the market price for breakout detection, in points.
	/// </summary>
	public decimal IndentationPoints
	{
		get => _indentationPoints.Value;
		set => _indentationPoints.Value = value;
	}

	/// <summary>
	/// Trailing distance for stop orders, in points.
	/// </summary>
	public decimal TrailingStopPoints
	{
		get => _trailingStopPoints.Value;
		set => _trailingStopPoints.Value = value;
	}

	/// <summary>
	/// Trailing step added to the base trailing distance, in points.
	/// </summary>
	public decimal TrailingStepPoints
	{
		get => _trailingStepPoints.Value;
		set => _trailingStepPoints.Value = value;
	}

	/// <summary>
	/// Target equity profit that triggers position flattening.
	/// </summary>
	public decimal EquityTakeProfit
	{
		get => _equityTakeProfit.Value;
		set => _equityTakeProfit.Value = value;
	}

	/// <summary>
	/// Maximum equity drawdown allowed before flattening positions.
	/// </summary>
	public decimal EquityStopLoss
	{
		get => _equityStopLoss.Value;
		set => _equityStopLoss.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="AmbushStrategy"/> class.
	/// </summary>
	public AmbushStrategy()
	{
		_indentationPoints = Param(nameof(IndentationPoints), 10m)
			.SetNotNegative()
			.SetDisplay("Indentation (points)", "Distance from price for breakout", "Orders");

		_trailingStopPoints = Param(nameof(TrailingStopPoints), 10m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop (points)", "Base trailing distance", "Orders");

		_trailingStepPoints = Param(nameof(TrailingStepPoints), 1m)
			.SetNotNegative()
			.SetDisplay("Trailing Step (points)", "Additional trailing offset", "Orders");

		_equityTakeProfit = Param(nameof(EquityTakeProfit), 15m)
			.SetNotNegative()
			.SetDisplay("Equity Take Profit", "Flatten positions once this profit is reached", "Risk");

		_equityStopLoss = Param(nameof(EquityStopLoss), 5m)
			.SetNotNegative()
			.SetDisplay("Equity Stop Loss", "Flatten positions after this loss", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(6).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for breakout detection", "General");

		Volume = 1;
	}

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

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

		_previousCandle = null;
		_entryPrice = 0m;
		_stopPrice = null;
		_priceStep = 0m;
	}

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

		_priceStep = Security?.PriceStep ?? 1m;
		if (_priceStep <= 0m) _priceStep = 1m;

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

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

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

		// Check equity targets.
		var pnl = PnL;
		if (EquityTakeProfit > 0m && pnl >= EquityTakeProfit)
		{
			FlattenPosition();
			_previousCandle = candle;
			return;
		}
		if (EquityStopLoss > 0m && pnl <= -EquityStopLoss)
		{
			FlattenPosition();
			_previousCandle = candle;
			return;
		}

		// Check trailing stop.
		if (Position > 0 && _stopPrice.HasValue && candle.LowPrice <= _stopPrice.Value)
		{
			SellMarket(Position);
			ResetTargets();
		}
		else if (Position < 0 && _stopPrice.HasValue && candle.HighPrice >= _stopPrice.Value)
		{
			BuyMarket(Math.Abs(Position));
			ResetTargets();
		}

		// Update trailing stop.
		UpdateTrailing(candle);

		// Entry logic - breakout above/below previous candle range.
		if (Position == 0 && _previousCandle != null)
		{
			var indentation = IndentationPoints * _priceStep;
			var buyLevel = _previousCandle.HighPrice + indentation;
			var sellLevel = _previousCandle.LowPrice - indentation;

			if (candle.HighPrice >= buyLevel)
			{
				BuyMarket(Volume);
				_entryPrice = candle.ClosePrice;
				var trailDist = (TrailingStopPoints + TrailingStepPoints) * _priceStep;
				_stopPrice = trailDist > 0m ? _entryPrice - trailDist : null;
			}
			else if (candle.LowPrice <= sellLevel)
			{
				SellMarket(Volume);
				_entryPrice = candle.ClosePrice;
				var trailDist = (TrailingStopPoints + TrailingStepPoints) * _priceStep;
				_stopPrice = trailDist > 0m ? _entryPrice + trailDist : null;
			}
		}

		_previousCandle = candle;
	}

	private void UpdateTrailing(ICandleMessage candle)
	{
		if (TrailingStopPoints <= 0m)
			return;

		var trailDist = (TrailingStopPoints + TrailingStepPoints) * _priceStep;
		if (trailDist <= 0m)
			return;

		if (Position > 0)
		{
			var newStop = candle.ClosePrice - trailDist;
			if (!_stopPrice.HasValue || newStop > _stopPrice.Value)
				_stopPrice = newStop;
		}
		else if (Position < 0)
		{
			var newStop = candle.ClosePrice + trailDist;
			if (!_stopPrice.HasValue || newStop < _stopPrice.Value)
				_stopPrice = newStop;
		}
	}

	private void FlattenPosition()
	{
		if (Position > 0)
			SellMarket(Position);
		else if (Position < 0)
			BuyMarket(Math.Abs(Position));
		ResetTargets();
	}

	private void ResetTargets()
	{
		_entryPrice = 0m;
		_stopPrice = 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
from StockSharp.Algo.Strategies import Strategy


class ambush_strategy(Strategy):

    def __init__(self):
        super(ambush_strategy, self).__init__()
        self._indentation_points = self.Param("IndentationPoints", 10.0)
        self._trailing_stop_points = self.Param("TrailingStopPoints", 10.0)
        self._trailing_step_points = self.Param("TrailingStepPoints", 1.0)
        self._equity_take_profit = self.Param("EquityTakeProfit", 15.0)
        self._equity_stop_loss = self.Param("EquityStopLoss", 5.0)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(6)))
        self.Volume = 1
        self._previous_candle = None
        self._entry_price = 0.0
        self._stop_price = None
        self._price_step = 1.0

    @property
    def IndentationPoints(self):
        return self._indentation_points.Value

    @property
    def TrailingStopPoints(self):
        return self._trailing_stop_points.Value

    @property
    def TrailingStepPoints(self):
        return self._trailing_step_points.Value

    @property
    def EquityTakeProfit(self):
        return self._equity_take_profit.Value

    @property
    def EquityStopLoss(self):
        return self._equity_stop_loss.Value

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

    def OnStarted2(self, time):
        super(ambush_strategy, self).OnStarted2(time)
        sec = self.Security
        self._price_step = float(sec.PriceStep) if sec is not None and sec.PriceStep is not None and float(sec.PriceStep) > 0 else 1.0
        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._process_candle).Start()
        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawOwnTrades(area)

    def _process_candle(self, candle):
        if candle.State != CandleStates.Finished:
            return
        pos = float(self.Position)
        pnl = float(self.PnL)

        if float(self.EquityTakeProfit) > 0 and pnl >= float(self.EquityTakeProfit):
            self._flatten_position()
            self._previous_candle = candle
            return
        if float(self.EquityStopLoss) > 0 and pnl <= -float(self.EquityStopLoss):
            self._flatten_position()
            self._previous_candle = candle
            return

        if pos > 0 and self._stop_price is not None and float(candle.LowPrice) <= self._stop_price:
            self.SellMarket(pos)
            self._reset_targets()
        elif pos < 0 and self._stop_price is not None and float(candle.HighPrice) >= self._stop_price:
            self.BuyMarket(abs(pos))
            self._reset_targets()

        self._update_trailing(candle)

        pos = float(self.Position)
        if pos == 0 and self._previous_candle is not None:
            indentation = float(self.IndentationPoints) * self._price_step
            buy_level = float(self._previous_candle.HighPrice) + indentation
            sell_level = float(self._previous_candle.LowPrice) - indentation

            if float(candle.HighPrice) >= buy_level:
                self.BuyMarket(float(self.Volume))
                self._entry_price = float(candle.ClosePrice)
                trail_dist = (float(self.TrailingStopPoints) + float(self.TrailingStepPoints)) * self._price_step
                self._stop_price = self._entry_price - trail_dist if trail_dist > 0 else None
            elif float(candle.LowPrice) <= sell_level:
                self.SellMarket(float(self.Volume))
                self._entry_price = float(candle.ClosePrice)
                trail_dist = (float(self.TrailingStopPoints) + float(self.TrailingStepPoints)) * self._price_step
                self._stop_price = self._entry_price + trail_dist if trail_dist > 0 else None

        self._previous_candle = candle

    def _update_trailing(self, candle):
        if float(self.TrailingStopPoints) <= 0:
            return
        trail_dist = (float(self.TrailingStopPoints) + float(self.TrailingStepPoints)) * self._price_step
        if trail_dist <= 0:
            return
        pos = float(self.Position)
        if pos > 0:
            new_stop = float(candle.ClosePrice) - trail_dist
            if self._stop_price is None or new_stop > self._stop_price:
                self._stop_price = new_stop
        elif pos < 0:
            new_stop = float(candle.ClosePrice) + trail_dist
            if self._stop_price is None or new_stop < self._stop_price:
                self._stop_price = new_stop

    def _flatten_position(self):
        pos = float(self.Position)
        if pos > 0:
            self.SellMarket(pos)
        elif pos < 0:
            self.BuyMarket(abs(pos))
        self._reset_targets()

    def _reset_targets(self):
        self._entry_price = 0.0
        self._stop_price = None

    def OnReseted(self):
        super(ambush_strategy, self).OnReseted()
        self._previous_candle = None
        self._entry_price = 0.0
        self._stop_price = None
        self._price_step = 0.0

    def CreateClone(self):
        return ambush_strategy()