Стратегия «Условное открытие позиций»

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simplified from "Conditional Position Opener" MetaTrader expert.
/// Uses Momentum indicator to conditionally open long or short positions.
/// Opens long when momentum is positive, short when negative.
/// </summary>
public class ConditionalPositionOpenerStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _momentumPeriod;

	private Momentum _momentum;
	private decimal? _prevMomentum;

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

	public int MomentumPeriod
	{
		get => _momentumPeriod.Value;
		set => _momentumPeriod.Value = value;
	}

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

		_momentumPeriod = Param(nameof(MomentumPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Momentum Period", "Momentum indicator period", "Indicators");
	}

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

		_prevMomentum = null;
		_momentum = new Momentum { Length = MomentumPeriod };

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

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

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

		if (!_momentum.IsFormed)
		{
			_prevMomentum = momentumValue;
			return;
		}

		if (_prevMomentum is null)
		{
			_prevMomentum = momentumValue;
			return;
		}

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

		// Cross above 101 (positive momentum)
		var crossUp = _prevMomentum.Value <= 101m && momentumValue > 101m;
		// Cross below 99 (negative momentum)
		var crossDown = _prevMomentum.Value >= 99m && momentumValue < 99m;

		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);
		}

		_prevMomentum = momentumValue;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_momentum = null;
		_prevMomentum = 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 Momentum
from StockSharp.Algo.Strategies import Strategy

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

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

        self._prev_momentum = None

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

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

    @property
    def MomentumPeriod(self):
        return self._momentum_period.Value

    @MomentumPeriod.setter
    def MomentumPeriod(self, value):
        self._momentum_period.Value = value

    def OnReseted(self):
        super(conditional_position_opener_strategy, self).OnReseted()
        self._prev_momentum = None

    def OnStarted2(self, time):
        super(conditional_position_opener_strategy, self).OnStarted2(time)
        self._prev_momentum = None

        momentum = Momentum()
        momentum.Length = self.MomentumPeriod

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

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

        mom_val = float(momentum_value)

        if self._prev_momentum is None:
            self._prev_momentum = mom_val
            return

        # Cross above 101 (positive momentum)
        cross_up = self._prev_momentum <= 101.0 and mom_val > 101.0
        # Cross below 99 (negative momentum)
        cross_down = self._prev_momentum >= 99.0 and mom_val < 99.0

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

        self._prev_momentum = mom_val

    def CreateClone(self):
        return conditional_position_opener_strategy()