Стратегия Hans123 Trader v2

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>
/// Hans123 Trader v2 breakout strategy converted from the original MQL expert.
/// Enters on breakout of recent range extremes and manages trailing protection.
/// </summary>
public class Hans123TraderV2Strategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _endHour;
	private readonly StrategyParam<int> _breakoutPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _highest;
	private Lowest _lowest;

	private decimal _entryPrice;
	private decimal _pipSize;
	private decimal _stopLossDistance;
	private decimal _takeProfitDistance;
	private decimal _trailingStopDistance;
	private decimal _trailingStepDistance;
	private decimal _highestStopPrice;
	private decimal? _prevBreakoutHigh;
	private decimal? _prevBreakoutLow;

	/// <summary>
	/// Stop-loss distance in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take-profit distance in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in pips.
	/// </summary>
	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Trailing step in pips.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Session start hour.
	/// </summary>
	public int StartHour
	{
		get => _startHour.Value;
		set => _startHour.Value = value;
	}

	/// <summary>
	/// Session end hour.
	/// </summary>
	public int EndHour
	{
		get => _endHour.Value;
		set => _endHour.Value = value;
	}

	/// <summary>
	/// Lookback length for calculating highs and lows.
	/// </summary>
	public int BreakoutPeriod
	{
		get => _breakoutPeriod.Value;
		set => _breakoutPeriod.Value = value;
	}

	/// <summary>
	/// Candle type processed by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes <see cref="Hans123TraderV2Strategy"/>.
	/// </summary>
	public Hans123TraderV2Strategy()
	{
		_stopLossPips = Param(nameof(StopLossPips), 50m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (pips)", "Stop distance", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 50m)
			.SetNotNegative()
			.SetDisplay("Take Profit (pips)", "Target distance", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 10m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop (pips)", "Trailing distance", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
			.SetNotNegative()
			.SetDisplay("Trailing Step (pips)", "Extra profit before trailing", "Risk");

		_startHour = Param(nameof(StartHour), 0)
			.SetDisplay("Start Hour", "Session start hour", "Session");

		_endHour = Param(nameof(EndHour), 23)
			.SetDisplay("End Hour", "Session end hour", "Session");

		_breakoutPeriod = Param(nameof(BreakoutPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Breakout Period", "High/low lookback", "Trading");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_pipSize = 0m;
		_stopLossDistance = 0m;
		_takeProfitDistance = 0m;
		_trailingStopDistance = 0m;
		_trailingStepDistance = 0m;
		_highest = null;
		_lowest = null;
		_entryPrice = 0m;
		_highestStopPrice = 0m;
		_prevBreakoutHigh = null;
		_prevBreakoutLow = null;
	}

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

		_pipSize = Security?.PriceStep ?? 1m;
		UpdateDistanceCache();

		_highest = new Highest { Length = BreakoutPeriod };
		_lowest = new Lowest { Length = BreakoutPeriod };

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

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

	private void UpdateDistanceCache()
	{
		_stopLossDistance = StopLossPips * _pipSize;
		_takeProfitDistance = TakeProfitPips * _pipSize;
		_trailingStopDistance = TrailingStopPips * _pipSize;
		_trailingStepDistance = TrailingStepPips * _pipSize;
	}

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

		if (!_highest.IsFormed || !_lowest.IsFormed)
			return;

		// Manage existing position: trailing stop and SL/TP
		if (Position != 0)
		{
			ManagePosition(candle);
			return;
		}

		// Session filter
		var hour = candle.OpenTime.TimeOfDay.Hours;
		if (hour < StartHour || hour >= EndHour)
		{
			_prevBreakoutHigh = breakoutHigh;
			_prevBreakoutLow = breakoutLow;
			return;
		}

		// Breakout entry: buy when price breaks above previous bar's high, sell when below previous bar's low
		if (_prevBreakoutHigh.HasValue && _prevBreakoutLow.HasValue)
		{
			if (candle.HighPrice > _prevBreakoutHigh.Value)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_highestStopPrice = 0m;
			}
			else if (candle.LowPrice < _prevBreakoutLow.Value)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_highestStopPrice = 0m;
			}
		}

		_prevBreakoutHigh = breakoutHigh;
		_prevBreakoutLow = breakoutLow;
	}

	private void ManagePosition(ICandleMessage candle)
	{
		var price = candle.ClosePrice;

		if (Position > 0)
		{
			// Check stop loss
			if (_stopLossDistance > 0m && candle.LowPrice <= _entryPrice - _stopLossDistance)
			{
				SellMarket(Position);
				return;
			}

			// Check take profit
			if (_takeProfitDistance > 0m && candle.HighPrice >= _entryPrice + _takeProfitDistance)
			{
				SellMarket(Position);
				return;
			}

			// Trailing stop
			if (_trailingStopDistance > 0m)
			{
				var moveFromEntry = price - _entryPrice;
				if (moveFromEntry > _trailingStopDistance + _trailingStepDistance)
				{
					var newStop = price - _trailingStopDistance;
					if (newStop > _highestStopPrice + _trailingStepDistance)
						_highestStopPrice = newStop;

					if (_highestStopPrice > 0m && candle.LowPrice <= _highestStopPrice)
					{
						SellMarket(Position);
						return;
					}
				}
			}
		}
		else if (Position < 0)
		{
			var vol = Math.Abs(Position);

			// Check stop loss
			if (_stopLossDistance > 0m && candle.HighPrice >= _entryPrice + _stopLossDistance)
			{
				BuyMarket(vol);
				return;
			}

			// Check take profit
			if (_takeProfitDistance > 0m && candle.LowPrice <= _entryPrice - _takeProfitDistance)
			{
				BuyMarket(vol);
				return;
			}

			// Trailing stop
			if (_trailingStopDistance > 0m)
			{
				var moveFromEntry = _entryPrice - price;
				if (moveFromEntry > _trailingStopDistance + _trailingStepDistance)
				{
					var newStop = price + _trailingStopDistance;
					if (_highestStopPrice == 0m || newStop < _highestStopPrice - _trailingStepDistance)
						_highestStopPrice = newStop;

					if (_highestStopPrice > 0m && candle.HighPrice >= _highestStopPrice)
					{
						BuyMarket(vol);
						return;
					}
				}
			}
		}
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from StockSharp.Algo.Indicators import Highest, Lowest
from StockSharp.Algo.Strategies import Strategy
from StockSharp.Messages import DataType, CandleStates
from System import TimeSpan, Math


class hans123_trader_v2_strategy(Strategy):
    def __init__(self):
        super(hans123_trader_v2_strategy, self).__init__()

        self._stop_loss_pips = self.Param("StopLossPips", 50.0)
        self._take_profit_pips = self.Param("TakeProfitPips", 50.0)
        self._trailing_stop_pips = self.Param("TrailingStopPips", 10.0)
        self._trailing_step_pips = self.Param("TrailingStepPips", 5.0)
        self._start_hour = self.Param("StartHour", 0)
        self._end_hour = self.Param("EndHour", 23)
        self._breakout_period = self.Param("BreakoutPeriod", 10)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4)))

        self._highest = None
        self._lowest = None
        self._entry_price = 0.0
        self._pip_size = 1.0
        self._sl_dist = 0.0
        self._tp_dist = 0.0
        self._trail_dist = 0.0
        self._trail_step_dist = 0.0
        self._highest_stop = 0.0
        self._prev_high = None
        self._prev_low = None

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

    def OnStarted2(self, time):
        super(hans123_trader_v2_strategy, self).OnStarted2(time)

        self._pip_size = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0
        self._sl_dist = self._stop_loss_pips.Value * self._pip_size
        self._tp_dist = self._take_profit_pips.Value * self._pip_size
        self._trail_dist = self._trailing_stop_pips.Value * self._pip_size
        self._trail_step_dist = self._trailing_step_pips.Value * self._pip_size

        self._highest = Highest()
        self._highest.Length = self._breakout_period.Value
        self._lowest = Lowest()
        self._lowest.Length = self._breakout_period.Value

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

    def _process_candle(self, candle, breakout_high_val, breakout_low_val):
        if not self._highest.IsFormed or not self._lowest.IsFormed:
            return

        breakout_high = float(breakout_high_val)
        breakout_low = float(breakout_low_val)

        if self.Position != 0:
            self._manage_position(candle)
            return

        hour = candle.OpenTime.TimeOfDay.Hours
        if hour < self._start_hour.Value or hour >= self._end_hour.Value:
            self._prev_high = breakout_high
            self._prev_low = breakout_low
            return

        if self._prev_high is not None and self._prev_low is not None:
            if float(candle.HighPrice) > self._prev_high:
                self.BuyMarket()
                self._entry_price = float(candle.ClosePrice)
                self._highest_stop = 0.0
            elif float(candle.LowPrice) < self._prev_low:
                self.SellMarket()
                self._entry_price = float(candle.ClosePrice)
                self._highest_stop = 0.0

        self._prev_high = breakout_high
        self._prev_low = breakout_low

    def _manage_position(self, candle):
        price = float(candle.ClosePrice)

        if self.Position > 0:
            if self._sl_dist > 0 and float(candle.LowPrice) <= self._entry_price - self._sl_dist:
                self.SellMarket(self.Position)
                return
            if self._tp_dist > 0 and float(candle.HighPrice) >= self._entry_price + self._tp_dist:
                self.SellMarket(self.Position)
                return
            if self._trail_dist > 0:
                move = price - self._entry_price
                if move > self._trail_dist + self._trail_step_dist:
                    new_stop = price - self._trail_dist
                    if new_stop > self._highest_stop + self._trail_step_dist:
                        self._highest_stop = new_stop
                    if self._highest_stop > 0 and float(candle.LowPrice) <= self._highest_stop:
                        self.SellMarket(self.Position)
                        return
        elif self.Position < 0:
            vol = abs(self.Position)
            if self._sl_dist > 0 and float(candle.HighPrice) >= self._entry_price + self._sl_dist:
                self.BuyMarket(vol)
                return
            if self._tp_dist > 0 and float(candle.LowPrice) <= self._entry_price - self._tp_dist:
                self.BuyMarket(vol)
                return
            if self._trail_dist > 0:
                move = self._entry_price - price
                if move > self._trail_dist + self._trail_step_dist:
                    new_stop = price + self._trail_dist
                    if self._highest_stop == 0 or new_stop < self._highest_stop - self._trail_step_dist:
                        self._highest_stop = new_stop
                    if self._highest_stop > 0 and float(candle.HighPrice) >= self._highest_stop:
                        self.BuyMarket(vol)
                        return

    def OnReseted(self):
        super(hans123_trader_v2_strategy, self).OnReseted()
        self._entry_price = 0.0
        self._highest_stop = 0.0
        self._prev_high = None
        self._prev_low = None

    def CreateClone(self):
        return hans123_trader_v2_strategy()