Стратегия Close Profit End Of Week

namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// Close Profit End Of Week strategy: Momentum + EMA trend following.
/// Buys when momentum positive and close above EMA, sells when momentum negative and close below EMA.
/// </summary>
public class CloseProfitEndOfWeekStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _momPeriod;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<decimal> _momentumLevel;

	private decimal _prevMom;
	private bool _hasPrev;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int MomPeriod { get => _momPeriod.Value; set => _momPeriod.Value = value; }
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public decimal MomentumLevel { get => _momentumLevel.Value; set => _momentumLevel.Value = value; }

	public CloseProfitEndOfWeekStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_momPeriod = Param(nameof(MomPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Momentum Period", "Momentum period", "Indicators");
		_emaPeriod = Param(nameof(EmaPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA filter period", "Indicators");
		_momentumLevel = Param(nameof(MomentumLevel), 101m)
			.SetDisplay("Momentum Level", "Momentum threshold", "Signals");
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevMom = 0;
		_hasPrev = false;
		var mom = new Momentum { Length = MomPeriod };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(mom, ema, ProcessCandle).Start();
	}

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

		if (_hasPrev)
		{
			if (_prevMom <= MomentumLevel && momValue > MomentumLevel && candle.ClosePrice > emaValue && Position <= 0)
				BuyMarket();
			else if (_prevMom >= 200m - MomentumLevel && momValue < 200m - MomentumLevel && candle.ClosePrice < emaValue && Position >= 0)
				SellMarket();
		}

		_prevMom = momValue;
		_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 Momentum, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._mom_period = self.Param("MomPeriod", 20)
        self._ema_period = self.Param("EmaPeriod", 50)
        self._momentum_level = self.Param("MomentumLevel", 101.0)

        self._prev_mom = 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 MomPeriod(self):
        return self._mom_period.Value

    @MomPeriod.setter
    def MomPeriod(self, value):
        self._mom_period.Value = value

    @property
    def EmaPeriod(self):
        return self._ema_period.Value

    @EmaPeriod.setter
    def EmaPeriod(self, value):
        self._ema_period.Value = value

    @property
    def MomentumLevel(self):
        return self._momentum_level.Value

    @MomentumLevel.setter
    def MomentumLevel(self, value):
        self._momentum_level.Value = value

    def OnReseted(self):
        super(close_profit_end_of_week_strategy, self).OnReseted()
        self._prev_mom = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(close_profit_end_of_week_strategy, self).OnStarted2(time)
        self._prev_mom = 0.0
        self._has_prev = False

        mom = Momentum()
        mom.Length = self.MomPeriod
        ema = ExponentialMovingAverage()
        ema.Length = self.EmaPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(mom, ema, self._process_candle).Start()

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

        mom_val = float(mom_value)
        ema_val = float(ema_value)
        close = float(candle.ClosePrice)
        level = float(self.MomentumLevel)

        if self._has_prev:
            if self._prev_mom <= level and mom_val > level and close > ema_val and self.Position <= 0:
                self.BuyMarket()
            elif self._prev_mom >= (200.0 - level) and mom_val < (200.0 - level) and close < ema_val and self.Position >= 0:
                self.SellMarket()

        self._prev_mom = mom_val
        self._has_prev = True

    def CreateClone(self):
        return close_profit_end_of_week_strategy()