Стратегия Range Breakout Weekly (ID 3412)

namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// Range Breakout Weekly strategy: periodic range breakout using highest/lowest channels.
/// Buys on breakout above recent high, sells on breakout below recent low.
/// </summary>
public class RangeBreakoutWeeklyStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _channelPeriod;

	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrev;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int ChannelPeriod { get => _channelPeriod.Value; set => _channelPeriod.Value = value; }

	public RangeBreakoutWeeklyStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_channelPeriod = Param(nameof(ChannelPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Channel Period", "Highest/Lowest period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHigh = 0m;
		_prevLow = 0m;
		_hasPrev = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrev = false;
		var highest = new Highest { Length = ChannelPeriod };
		var lowest = new Lowest { Length = ChannelPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(highest, lowest, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;

		if (_hasPrev)
		{
			if (close > _prevHigh && Position <= 0)
				BuyMarket();
			else if (close < _prevLow && Position >= 0)
				SellMarket();
		}

		_prevHigh = highValue;
		_prevLow = lowValue;
		_hasPrev = 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 Highest, Lowest
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._channel_period = self.Param("ChannelPeriod", 20)

        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False

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

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

    @property
    def ChannelPeriod(self):
        return self._channel_period.Value

    @ChannelPeriod.setter
    def ChannelPeriod(self, value):
        self._channel_period.Value = value

    def OnReseted(self):
        super(range_breakout_weekly_strategy, self).OnReseted()
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(range_breakout_weekly_strategy, self).OnStarted2(time)
        self._has_prev = False

        highest = Highest()
        highest.Length = self.ChannelPeriod

        lowest = Lowest()
        lowest.Length = self.ChannelPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(highest, lowest, self._process_candle).Start()

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

        close = float(candle.ClosePrice)

        if self._has_prev:
            if close > self._prev_high and self.Position <= 0:
                self.BuyMarket()
            elif close < self._prev_low and self.Position >= 0:
                self.SellMarket()

        self._prev_high = float(high_value)
        self._prev_low = float(low_value)
        self._has_prev = True

    def CreateClone(self):
        return range_breakout_weekly_strategy()