Стратегия MACD Simple Reshetov

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>
/// MACD-based strategy adapted from Yury Reshetov's MACDSimple expert advisor.
/// </summary>
public class MacdSimpleReshetovStrategy : Strategy
{
	private readonly StrategyParam<int> _df;
	private readonly StrategyParam<int> _ds;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private MovingAverageConvergenceDivergenceSignal _macd;

	public int Df { get => _df.Value; set => _df.Value = value; }
	public int Ds { get => _ds.Value; set => _ds.Value = value; }
	public int SignalPeriod { get => _signalPeriod.Value; set => _signalPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MacdSimpleReshetovStrategy()
	{

		_df = Param(nameof(Df), 1)
			.SetNotNegative()
			.SetDisplay("DF", "Offset for the fast EMA", "Indicators");

		_ds = Param(nameof(Ds), 2)
			.SetNotNegative()
			.SetDisplay("DS", "Offset for the slow EMA", "Indicators");

		_signalPeriod = Param(nameof(SignalPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Signal Period", "Signal line period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		// The MQL version derives MACD periods from the signal period with DF and DS offsets.
		var fastPeriod = SignalPeriod + Df;
		var slowPeriod = SignalPeriod + Ds + Df;

		_macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd = { ShortMa = { Length = fastPeriod }, LongMa = { Length = slowPeriod } },
			SignalMa = { Length = SignalPeriod }
		};

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

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

		var result = _macd.Process(candle);
		if (!_macd.IsFormed)
			return;

		var macdValue = result as MovingAverageConvergenceDivergenceSignalValue;
		if (macdValue == null)
			return;

		var macdLine = macdValue.Macd ?? 0m;
		var signalLine = macdValue.Signal ?? 0m;

		// Manage existing positions before evaluating new signals.
		if (Position > 0)
		{
			if (macdLine < 0m)
				SellMarket(Position);

			return;
		}

		if (Position < 0)
		{
			if (macdLine > 0m)
				BuyMarket(-Position);

			return;
		}

		// Enter only when MACD and signal lines share the same sign.
		if (macdLine * signalLine <= 0m)
			return;

		if (macdLine > 0m && macdLine > signalLine)
		{
			BuyMarket(Volume);
		}
		else if (macdLine < 0m && macdLine < signalLine)
		{
			SellMarket(Volume);
		}
	}
}

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 MovingAverageConvergenceDivergenceSignal, CandleIndicatorValue
from StockSharp.Algo.Strategies import Strategy


class macd_simple_reshetov_strategy(Strategy):

    def __init__(self):
        super(macd_simple_reshetov_strategy, self).__init__()
        self._df = self.Param("Df", 1)
        self._ds = self.Param("Ds", 2)
        self._signal_period = self.Param("SignalPeriod", 10)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))
        self._macd = None

    @property
    def Df(self):
        return self._df.Value

    @property
    def Ds(self):
        return self._ds.Value

    @property
    def SignalPeriod(self):
        return self._signal_period.Value

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

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

        fast_period = self.SignalPeriod + self.Df
        slow_period = self.SignalPeriod + self.Ds + self.Df

        self._macd = MovingAverageConvergenceDivergenceSignal()
        self._macd.Macd.ShortMa.Length = fast_period
        self._macd.Macd.LongMa.Length = slow_period
        self._macd.SignalMa.Length = self.SignalPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._process_candle).Start()

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

        civ = CandleIndicatorValue(self._macd, candle)
        civ.IsFinal = True
        result = self._macd.Process(civ)
        if not self._macd.IsFormed:
            return

        try:
            macd_line = float(result.Macd) if result.Macd is not None else 0.0
            signal_line = float(result.Signal) if result.Signal is not None else 0.0
        except:
            return

        pos = float(self.Position)

        if pos > 0:
            if macd_line < 0:
                self.SellMarket(pos)
            return

        if pos < 0:
            if macd_line > 0:
                self.BuyMarket(abs(pos))
            return

        if macd_line * signal_line <= 0:
            return

        if macd_line > 0 and macd_line > signal_line:
            self.BuyMarket(float(self.Volume))
        elif macd_line < 0 and macd_line < signal_line:
            self.SellMarket(float(self.Volume))

    def OnReseted(self):
        super(macd_simple_reshetov_strategy, self).OnReseted()
        self._macd = None

    def CreateClone(self):
        return macd_simple_reshetov_strategy()