Exp RJTX Matches Smoothed Duplex

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>
/// Exp RJTX Matches Smoothed Duplex strategy using SmoothedMA crossover.
/// Buys when fast SmoothedMA crosses above slow SmoothedMA.
/// Sells on reverse crossover.
/// </summary>
public class ExpRjtxMatchesSmoothedDuplexStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private SmoothedMovingAverage _fast;
	private SmoothedMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	/// <summary>
	/// Fast smoothed MA period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow smoothed MA period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.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="ExpRjtxMatchesSmoothedDuplexStrategy"/> class.
	/// </summary>
	public ExpRjtxMatchesSmoothedDuplexStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast smoothed MA period", "Indicator");

		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow smoothed MA period", "Indicator");

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

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take-profit 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();

		_fast = null;
		_slow = null;
		_prevFast = 0;
		_prevSlow = 0;
		_entryPrice = 0;
		_cooldown = 0;
	}

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

		_fast = new SmoothedMovingAverage { Length = FastPeriod };
		_slow = new SmoothedMovingAverage { Length = SlowPeriod };

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

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

		if (!_fast.IsFormed || !_slow.IsFormed)
		{
			_prevFast = fastValue;
			_prevSlow = slowValue;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevFast = fastValue;
			_prevSlow = slowValue;
			return;
		}

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

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

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

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

		// SmoothedMA crossover
		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();

			BuyMarket();
			_entryPrice = close;
			_cooldown = 80;
		}
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{
			if (Position > 0)
				SellMarket();

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

		_prevFast = fastValue;
		_prevSlow = slowValue;
	}
}

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 SmoothedMovingAverage
from StockSharp.Algo.Strategies import Strategy

class exp_rjtx_matches_smoothed_duplex_strategy(Strategy):
    """
    SmoothedMA crossover strategy with SL/TP and cooldown.
    Buys when fast SmoothedMA crosses above slow, sells on reverse.
    """

    def __init__(self):
        super(exp_rjtx_matches_smoothed_duplex_strategy, self).__init__()
        self._fast_period = self.Param("FastPeriod", 12) \
            .SetDisplay("Fast Period", "Fast smoothed MA period", "Indicator")
        self._slow_period = self.Param("SlowPeriod", 50) \
            .SetDisplay("Slow Period", "Slow smoothed MA period", "Indicator")
        self._stop_loss_points = self.Param("StopLossPoints", 200) \
            .SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk")
        self._take_profit_points = self.Param("TakeProfitPoints", 400) \
            .SetDisplay("Take Profit", "Take-profit in price steps", "Risk")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Timeframe", "General")

        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._cooldown = 0

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

    def OnReseted(self):
        super(exp_rjtx_matches_smoothed_duplex_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0
        self._cooldown = 0

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

        fast = SmoothedMovingAverage()
        fast.Length = self._fast_period.Value
        slow = SmoothedMovingAverage()
        slow.Length = self._slow_period.Value

        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(fast, slow, self._process_candle).Start()

    def _process_candle(self, candle, fast_val, slow_val):
        if candle.State != CandleStates.Finished:
            return
        if not self.IsFormedAndOnlineAndAllowTrading():
            self._prev_fast = float(fast_val)
            self._prev_slow = float(slow_val)
            return

        fast_val = float(fast_val)
        slow_val = float(slow_val)

        if self._cooldown > 0:
            self._cooldown -= 1
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            return

        close = float(candle.ClosePrice)
        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

        sl_pts = self._stop_loss_points.Value
        tp_pts = self._take_profit_points.Value

        if self.Position > 0 and self._entry_price > 0:
            if sl_pts > 0 and close <= self._entry_price - sl_pts * step:
                self.SellMarket()
                self._entry_price = 0.0
                self._cooldown = 80
                self._prev_fast = fast_val
                self._prev_slow = slow_val
                return
            if tp_pts > 0 and close >= self._entry_price + tp_pts * step:
                self.SellMarket()
                self._entry_price = 0.0
                self._cooldown = 80
                self._prev_fast = fast_val
                self._prev_slow = slow_val
                return
        elif self.Position < 0 and self._entry_price > 0:
            if sl_pts > 0 and close >= self._entry_price + sl_pts * step:
                self.BuyMarket()
                self._entry_price = 0.0
                self._cooldown = 80
                self._prev_fast = fast_val
                self._prev_slow = slow_val
                return
            if tp_pts > 0 and close <= self._entry_price - tp_pts * step:
                self.BuyMarket()
                self._entry_price = 0.0
                self._cooldown = 80
                self._prev_fast = fast_val
                self._prev_slow = slow_val
                return

        if self._prev_fast <= self._prev_slow and fast_val > slow_val and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._entry_price = close
            self._cooldown = 80
        elif self._prev_fast >= self._prev_slow and fast_val < slow_val and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._entry_price = close
            self._cooldown = 80

        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        return exp_rjtx_matches_smoothed_duplex_strategy()