Стратегия OsMA Four Colors Arrow

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>
/// Simplified from "OsMA Four Colors Arrow" MetaTrader expert.
/// Uses MACD histogram (OsMA) zero-crossing as entry signal.
/// Buys when histogram crosses above zero, sells when it crosses below.
/// </summary>
public class OsMaFourColorsArrowStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _signalPeriod;

	private MovingAverageConvergenceDivergence _macd;
	private readonly Queue<decimal> _macdHistory = new();
	private decimal? _prevHistogram;

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

	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	public int SignalPeriod
	{
		get => _signalPeriod.Value;
		set => _signalPeriod.Value = value;
	}

	public OsMaFourColorsArrowStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for signal generation", "General");

		_fastPeriod = Param(nameof(FastPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA length for MACD", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA length for MACD", "Indicators");

		_signalPeriod = Param(nameof(SignalPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Signal Period", "Signal line smoothing period", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevHistogram = null;
		_macdHistory.Clear();

		_macd = new MovingAverageConvergenceDivergence
		{
			ShortMa = { Length = FastPeriod },
			LongMa = { Length = SlowPeriod },
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_macd, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _macd);
			DrawOwnTrades(area);
		}
	}

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

		if (!_macd.IsFormed)
			return;

		// Compute signal line as SMA of MACD values
		_macdHistory.Enqueue(macdValue);
		if (_macdHistory.Count > SignalPeriod)
			_macdHistory.Dequeue();

		if (_macdHistory.Count < SignalPeriod)
		{
			_prevHistogram = null;
			return;
		}

		decimal sum = 0;
		var history = _macdHistory.ToArray();
		foreach (var v in history)
			sum += v;
		var signal = sum / history.Length;

		// OsMA = MACD - Signal (histogram)
		var histogram = macdValue - signal;

		if (_prevHistogram is null)
		{
			_prevHistogram = histogram;
			return;
		}

		var volume = Volume;
		if (volume <= 0)
			volume = 1;

		var crossUp = _prevHistogram.Value <= 0 && histogram > 0;
		var crossDown = _prevHistogram.Value >= 0 && histogram < 0;

		if (crossUp)
		{
			if (Position <= 0)
				BuyMarket(Position < 0 ? Math.Abs(Position) + volume : volume);
		}
		else if (crossDown)
		{
			if (Position >= 0)
				SellMarket(Position > 0 ? Math.Abs(Position) + volume : volume);
		}

		_prevHistogram = histogram;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_macd = null;
		_prevHistogram = null;
		_macdHistory.Clear();

		base.OnReseted();
	}
}

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 MovingAverageConvergenceDivergence
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._fast_period = self.Param("FastPeriod", 20)
        self._slow_period = self.Param("SlowPeriod", 50)
        self._signal_period = self.Param("SignalPeriod", 12)

        self._macd_history = []
        self._prev_histogram = 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 FastPeriod(self):
        return self._fast_period.Value

    @FastPeriod.setter
    def FastPeriod(self, value):
        self._fast_period.Value = value

    @property
    def SlowPeriod(self):
        return self._slow_period.Value

    @SlowPeriod.setter
    def SlowPeriod(self, value):
        self._slow_period.Value = value

    @property
    def SignalPeriod(self):
        return self._signal_period.Value

    @SignalPeriod.setter
    def SignalPeriod(self, value):
        self._signal_period.Value = value

    def OnReseted(self):
        super(os_ma_four_colors_arrow_strategy, self).OnReseted()
        self._macd_history = []
        self._prev_histogram = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(os_ma_four_colors_arrow_strategy, self).OnStarted2(time)
        self._macd_history = []
        self._prev_histogram = 0.0
        self._has_prev = False

        macd = MovingAverageConvergenceDivergence()
        macd.ShortMa.Length = self.FastPeriod
        macd.LongMa.Length = self.SlowPeriod

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

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

        macd_val = float(macd_value)
        sig_len = self.SignalPeriod

        self._macd_history.append(macd_val)
        while len(self._macd_history) > sig_len:
            self._macd_history.pop(0)

        if len(self._macd_history) < sig_len:
            return

        signal_val = sum(self._macd_history) / sig_len
        histogram = macd_val - signal_val

        if self._has_prev:
            cross_up = self._prev_histogram <= 0 and histogram > 0
            cross_down = self._prev_histogram >= 0 and histogram < 0

            if cross_up and self.Position <= 0:
                self.BuyMarket()
            elif cross_down and self.Position >= 0:
                self.SellMarket()

        self._prev_histogram = histogram
        self._has_prev = True

    def CreateClone(self):
        return os_ma_four_colors_arrow_strategy()