Стратегия ABE BE Stochastic Engulfing

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// ABE BE Stoch strategy: Engulfing pattern with Stochastic confirmation.
/// Bullish engulfing + oversold stochastic for long, bearish engulfing + overbought for short.
/// </summary>
public class AbeBeStochStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<decimal> _oversold;
	private readonly StrategyParam<decimal> _overbought;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private readonly List<ICandleMessage> _candles = new();
	private decimal _prevK;
	private bool _hasPrevK;
	private int _candlesSinceTrade;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int StochPeriod { get => _stochPeriod.Value; set => _stochPeriod.Value = value; }
	public decimal Oversold { get => _oversold.Value; set => _oversold.Value = value; }
	public decimal Overbought { get => _overbought.Value; set => _overbought.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public AbeBeStochStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stoch Period", "Stochastic K period", "Indicators");
		_oversold = Param(nameof(Oversold), 30m)
			.SetDisplay("Oversold", "Stochastic oversold level", "Signals");
		_overbought = Param(nameof(Overbought), 70m)
			.SetDisplay("Overbought", "Stochastic overbought level", "Signals");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 6)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_candles.Clear();
		_prevK = 0m;
		_hasPrevK = false;
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_candles.Clear();
		_hasPrevK = false;
		_candlesSinceTrade = SignalCooldownCandles;
		var stoch = new StochasticOscillator { K = { Length = StochPeriod }, D = { Length = 3 } };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(stoch, ProcessCandle).Start();
	}

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

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		var stochTyped = stochValue as StochasticOscillatorValue;
		if (stochTyped?.K is not decimal kValue) return;

		_candles.Add(candle);
		if (_candles.Count > 5)
			_candles.RemoveAt(0);

		if (_candles.Count >= 2)
		{
			var curr = _candles[^1];
			var prev = _candles[^2];

			// Bullish engulfing: prev bearish, curr bullish, curr body engulfs prev body
			var bullishEngulfing = prev.OpenPrice > prev.ClosePrice
				&& curr.ClosePrice > curr.OpenPrice
				&& curr.OpenPrice <= prev.ClosePrice
				&& curr.ClosePrice >= prev.OpenPrice;

			// Bearish engulfing: prev bullish, curr bearish, curr body engulfs prev body
			var bearishEngulfing = prev.ClosePrice > prev.OpenPrice
				&& curr.OpenPrice > curr.ClosePrice
				&& curr.OpenPrice >= prev.ClosePrice
				&& curr.ClosePrice <= prev.OpenPrice;

			if (bullishEngulfing && kValue < Oversold && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				BuyMarket();
				_candlesSinceTrade = 0;
			}
			else if (bearishEngulfing && kValue > Overbought && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				SellMarket();
				_candlesSinceTrade = 0;
			}
		}

		// Exit on stochastic cross
		if (_hasPrevK)
		{
			if (Position > 0 && _prevK >= Overbought && kValue < Overbought && _candlesSinceTrade >= SignalCooldownCandles)
			{
				SellMarket();
				_candlesSinceTrade = 0;
			}
			else if (Position < 0 && _prevK <= Oversold && kValue > Oversold && _candlesSinceTrade >= SignalCooldownCandles)
			{
				BuyMarket();
				_candlesSinceTrade = 0;
			}
		}

		_prevK = kValue;
		_hasPrevK = true;
	}
}

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 StochasticOscillator
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(30)))
        self._stoch_period = self.Param("StochPeriod", 14)
        self._oversold = self.Param("Oversold", 30.0)
        self._overbought = self.Param("Overbought", 70.0)
        self._signal_cooldown_candles = self.Param("SignalCooldownCandles", 6)

        self._candles = []
        self._prev_k = 0.0
        self._has_prev_k = False
        self._candles_since_trade = 6

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

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    @property
    def StochPeriod(self):
        return self._stoch_period.Value

    @StochPeriod.setter
    def StochPeriod(self, value):
        self._stoch_period.Value = value

    @property
    def Oversold(self):
        return self._oversold.Value

    @Oversold.setter
    def Oversold(self, value):
        self._oversold.Value = value

    @property
    def Overbought(self):
        return self._overbought.Value

    @Overbought.setter
    def Overbought(self, value):
        self._overbought.Value = value

    @property
    def SignalCooldownCandles(self):
        return self._signal_cooldown_candles.Value

    @SignalCooldownCandles.setter
    def SignalCooldownCandles(self, value):
        self._signal_cooldown_candles.Value = value

    def OnReseted(self):
        super(abe_be_stoch_strategy, self).OnReseted()
        self._candles.clear()
        self._prev_k = 0.0
        self._has_prev_k = False
        self._candles_since_trade = self.SignalCooldownCandles

    def OnStarted2(self, time):
        super(abe_be_stoch_strategy, self).OnStarted2(time)
        self._candles.clear()
        self._has_prev_k = False
        self._candles_since_trade = self.SignalCooldownCandles

        stoch = StochasticOscillator()
        stoch.K.Length = self.StochPeriod
        stoch.D.Length = 3

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.BindEx(stoch, self._process_candle).Start()

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

        if self._candles_since_trade < self.SignalCooldownCandles:
            self._candles_since_trade += 1

        k_val = stoch_value.K
        if k_val is None:
            return
        k_value = float(k_val)

        self._candles.append(candle)
        if len(self._candles) > 5:
            self._candles.pop(0)

        if len(self._candles) >= 2:
            curr = self._candles[-1]
            prev = self._candles[-2]

            bullish_engulfing = (float(prev.OpenPrice) > float(prev.ClosePrice)
                and float(curr.ClosePrice) > float(curr.OpenPrice)
                and float(curr.OpenPrice) <= float(prev.ClosePrice)
                and float(curr.ClosePrice) >= float(prev.OpenPrice))

            bearish_engulfing = (float(prev.ClosePrice) > float(prev.OpenPrice)
                and float(curr.OpenPrice) > float(curr.ClosePrice)
                and float(curr.OpenPrice) >= float(prev.ClosePrice)
                and float(curr.ClosePrice) <= float(prev.OpenPrice))

            if bullish_engulfing and k_value < self.Oversold and self.Position <= 0 and self._candles_since_trade >= self.SignalCooldownCandles:
                self.BuyMarket()
                self._candles_since_trade = 0
            elif bearish_engulfing and k_value > self.Overbought and self.Position >= 0 and self._candles_since_trade >= self.SignalCooldownCandles:
                self.SellMarket()
                self._candles_since_trade = 0

        if self._has_prev_k:
            if self.Position > 0 and self._prev_k >= self.Overbought and k_value < self.Overbought and self._candles_since_trade >= self.SignalCooldownCandles:
                self.SellMarket()
                self._candles_since_trade = 0
            elif self.Position < 0 and self._prev_k <= self.Oversold and k_value > self.Oversold and self._candles_since_trade >= self.SignalCooldownCandles:
                self.BuyMarket()
                self._candles_since_trade = 0

        self._prev_k = k_value
        self._has_prev_k = True

    def CreateClone(self):
        return abe_be_stoch_strategy()