Стратегия WPR Custom Cloud Simple

using System;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Williams %R cloud breakout strategy converted from the MetaTrader expert advisor.
/// Looks for %R crossings above -80 to go long and below -20 to go short.
/// Positions are reversed when an opposite signal appears.
/// </summary>
public class WprCustomCloudSimpleStrategy : Strategy
{
	private readonly StrategyParam<int> _wprPeriod;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<DataType> _candleType;

	private WilliamsR _williamsR;
	private decimal? _previousWpr;
	private decimal? _olderWpr;

	public int WprPeriod
	{
		get => _wprPeriod.Value;
		set => _wprPeriod.Value = value;
	}

	public decimal OverboughtLevel
	{
		get => _overboughtLevel.Value;
		set => _overboughtLevel.Value = value;
	}

	public decimal OversoldLevel
	{
		get => _oversoldLevel.Value;
		set => _oversoldLevel.Value = value;
	}

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

	public WprCustomCloudSimpleStrategy()
	{
		_wprPeriod = Param(nameof(WprPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("WPR Period", "Williams %R lookback length", "Williams %R");

		_overboughtLevel = Param(nameof(OverboughtLevel), -10m)
			.SetDisplay("Overbought Level", "%R level that marks overbought conditions", "Williams %R");

		_oversoldLevel = Param(nameof(OversoldLevel), -90m)
			.SetDisplay("Oversold Level", "%R level that marks oversold conditions", "Williams %R");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for Williams %R", "Data");
	}

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

		_williamsR = new WilliamsR { Length = WprPeriod };
		_previousWpr = null;
		_olderWpr = null;

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

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

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

		if (!_williamsR.IsFormed)
		{
			_olderWpr = _previousWpr;
			_previousWpr = wprValue;
			return;
		}

		if (_previousWpr is not null && _olderWpr is not null)
		{
			var prev = _previousWpr.Value;
			var prevPrev = _olderWpr.Value;

			var crossedAboveOversold = prevPrev < OversoldLevel && prev > OversoldLevel;
			var crossedBelowOverbought = prevPrev > OverboughtLevel && prev < OverboughtLevel;

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

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

		_olderWpr = _previousWpr;
		_previousWpr = wprValue;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_williamsR = null;
		_previousWpr = null;
		_olderWpr = null;

		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 WilliamsR
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._wpr_period = self.Param("WprPeriod", 20)
        self._overbought_level = self.Param("OverboughtLevel", -10.0)
        self._oversold_level = self.Param("OversoldLevel", -90.0)

        self._prev_wpr = 0.0
        self._older_wpr = 0.0
        self._count = 0

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

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

    @property
    def WprPeriod(self):
        return self._wpr_period.Value

    @WprPeriod.setter
    def WprPeriod(self, value):
        self._wpr_period.Value = value

    @property
    def OverboughtLevel(self):
        return self._overbought_level.Value

    @OverboughtLevel.setter
    def OverboughtLevel(self, value):
        self._overbought_level.Value = value

    @property
    def OversoldLevel(self):
        return self._oversold_level.Value

    @OversoldLevel.setter
    def OversoldLevel(self, value):
        self._oversold_level.Value = value

    def OnReseted(self):
        super(wpr_custom_cloud_simple_strategy, self).OnReseted()
        self._prev_wpr = 0.0
        self._older_wpr = 0.0
        self._count = 0

    def OnStarted2(self, time):
        super(wpr_custom_cloud_simple_strategy, self).OnStarted2(time)
        self._prev_wpr = 0.0
        self._older_wpr = 0.0
        self._count = 0

        wpr = WilliamsR()
        wpr.Length = self.WprPeriod

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

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

        wpr_val = float(wpr_value)
        self._count += 1

        if self._count >= 3:
            oversold = float(self.OversoldLevel)
            overbought = float(self.OverboughtLevel)

            crossed_above_oversold = self._older_wpr < oversold and self._prev_wpr > oversold
            crossed_below_overbought = self._older_wpr > overbought and self._prev_wpr < overbought

            if crossed_above_oversold and self.Position <= 0:
                self.BuyMarket()
            elif crossed_below_overbought and self.Position >= 0:
                self.SellMarket()

        self._older_wpr = self._prev_wpr
        self._prev_wpr = wpr_val

    def CreateClone(self):
        return wpr_custom_cloud_simple_strategy()