Стратегия Hedge Any Positions

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Hedge Any Positions strategy using ATR-based mean reversion.
/// Enters long when price drops below EMA by ATR threshold, enters short on rally above.
/// Uses stop-loss and take-profit for risk management.
/// </summary>
public class HedgeAnyPositionsStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _ema;
	private AverageTrueRange _atr;

	private decimal _entryPrice;
	private int _cooldown;

	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Multiplier applied to ATR for entry threshold.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in price steps.
	/// </summary>
	public int StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take-profit distance in price steps.
	/// </summary>
	public int TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="HedgeAnyPositionsStrategy"/> class.
	/// </summary>
	public HedgeAnyPositionsStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period for mean price", "Indicator");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR calculation period", "Indicator");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "Multiplier for entry distance", "Indicator");

		_stopLossPoints = Param(nameof(StopLossPoints), 200)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop-loss distance in price steps", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 300)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take-profit distance in price steps", "Risk");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

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

		_ema = null;
		_atr = null;
		_entryPrice = 0;
		_cooldown = 0;
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaPeriod };
		_atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_ema, _atr, ProcessCandle);
		subscription.Start();
	}

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

		if (!_ema.IsFormed || !_atr.IsFormed)
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;
		var threshold = atrValue * AtrMultiplier;

		// Check SL/TP
		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step)
			{
				SellMarket();
				_entryPrice = 0;
				_cooldown = 80;
				return;
			}

			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step)
			{
				SellMarket();
				_entryPrice = 0;
				_cooldown = 80;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step)
			{
				BuyMarket();
				_entryPrice = 0;
				_cooldown = 80;
				return;
			}

			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step)
			{
				BuyMarket();
				_entryPrice = 0;
				_cooldown = 80;
				return;
			}
		}

		// Mean reversion: buy when price drops below EMA by threshold
		if (close < emaValue - threshold && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();

			BuyMarket();
			_entryPrice = close;
			_cooldown = 80;
		}
		// Mean reversion: sell when price rallies above EMA by threshold
		else if (close > emaValue + threshold && Position >= 0)
		{
			if (Position > 0)
				SellMarket();

			SellMarket();
			_entryPrice = close;
			_cooldown = 80;
		}
	}
}

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 ExponentialMovingAverage, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy

class hedge_any_positions_strategy(Strategy):
    """
    Hedge Any Positions: ATR-based mean reversion.
    Enters long when price drops below EMA by ATR*multiplier.
    Enters short when price rallies above EMA by ATR*multiplier.
    Uses SL/TP for risk management with cooldown.
    """

    def __init__(self):
        super(hedge_any_positions_strategy, self).__init__()
        self._ema_period = self.Param("EmaPeriod", 100) \
            .SetDisplay("EMA Period", "EMA period for mean price", "Indicator")
        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetDisplay("ATR Period", "ATR calculation period", "Indicator")
        self._atr_multiplier = self.Param("AtrMultiplier", 2.0) \
            .SetDisplay("ATR Multiplier", "Multiplier for entry distance", "Indicator")
        self._stop_loss_points = self.Param("StopLossPoints", 200) \
            .SetDisplay("Stop Loss", "Stop-loss distance in price steps", "Risk")
        self._take_profit_points = self.Param("TakeProfitPoints", 300) \
            .SetDisplay("Take Profit", "Take-profit distance in price steps", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

        self._entry_price = 0.0
        self._cooldown = 0

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

    def OnReseted(self):
        super(hedge_any_positions_strategy, self).OnReseted()
        self._entry_price = 0.0
        self._cooldown = 0

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

        ema = ExponentialMovingAverage()
        ema.Length = self._ema_period.Value
        atr = AverageTrueRange()
        atr.Length = self._atr_period.Value

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(ema, atr, self._process_candle).Start()

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

        if self._cooldown > 0:
            self._cooldown -= 1
            return

        close = float(candle.ClosePrice)
        ema = float(ema_val)
        atr = float(atr_val)

        step = 1.0
        if self.Security is not None and self.Security.PriceStep is not None:
            step = float(self.Security.PriceStep)
        if step <= 0:
            step = 1.0

        threshold = atr * self._atr_multiplier.Value

        if self.Position > 0 and self._entry_price > 0:
            sl_pts = self._stop_loss_points.Value
            tp_pts = self._take_profit_points.Value
            if sl_pts > 0 and close <= self._entry_price - sl_pts * step:
                self.SellMarket()
                self._entry_price = 0.0
                self._cooldown = 80
                return
            if tp_pts > 0 and close >= self._entry_price + tp_pts * step:
                self.SellMarket()
                self._entry_price = 0.0
                self._cooldown = 80
                return
        elif self.Position < 0 and self._entry_price > 0:
            sl_pts = self._stop_loss_points.Value
            tp_pts = self._take_profit_points.Value
            if sl_pts > 0 and close >= self._entry_price + sl_pts * step:
                self.BuyMarket()
                self._entry_price = 0.0
                self._cooldown = 80
                return
            if tp_pts > 0 and close <= self._entry_price - tp_pts * step:
                self.BuyMarket()
                self._entry_price = 0.0
                self._cooldown = 80
                return

        if close < ema - threshold and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._entry_price = close
            self._cooldown = 80
        elif close > ema + threshold and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._entry_price = close
            self._cooldown = 80

    def CreateClone(self):
        return hedge_any_positions_strategy()