Donchian Scalper

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Donchian Channel scalper with EMA filter.
/// Buys on upper channel breakout above EMA, sells on lower breakout below EMA.
/// Exits at middle band.
/// </summary>
public class DonchianScalperStrategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<DataType> _candleType;

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

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

	public DonchianScalperStrategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Channel Period", "Donchian channel lookback", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var donchian = new DonchianChannels { Length = ChannelPeriod };
		var ema = new ExponentialMovingAverage { Length = ChannelPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(donchian, ema, (candle, donchianVal, emaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (donchianVal is not DonchianChannelsValue dcValue)
					return;

				if (dcValue.UpperBand is not decimal upper ||
					dcValue.LowerBand is not decimal lower ||
					dcValue.Middle is not decimal middle)
					return;

				if (emaVal.IsEmpty)
					return;

				var emaValue = emaVal.GetValue<decimal>();
				var close = candle.ClosePrice;

				// Long: close breaks above upper Donchian and is above EMA
				if (Position == 0 && close >= upper && close > emaValue)
					BuyMarket();
				// Short: close breaks below lower Donchian and is below EMA
				else if (Position == 0 && close <= lower && close < emaValue)
					SellMarket();
			})
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

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

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, Unit, UnitTypes
from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._channel_period = self.Param("ChannelPeriod", 50)

        self._highs = []
        self._lows = []

    @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(donchian_scalper_strategy, self).OnReseted()
        self._highs = []
        self._lows = []

    def OnStarted2(self, time):
        super(donchian_scalper_strategy, self).OnStarted2(time)
        self._highs = []
        self._lows = []

        ema = ExponentialMovingAverage()
        ema.Length = self.ChannelPeriod

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

        self.StartProtection(
            takeProfit=Unit(2, UnitTypes.Percent),
            stopLoss=Unit(1, UnitTypes.Percent))

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

        high = float(candle.HighPrice)
        low = float(candle.LowPrice)
        close = float(candle.ClosePrice)
        ema_val = float(ema_value)
        period = self.ChannelPeriod

        self._highs.append(high)
        self._lows.append(low)
        while len(self._highs) > period:
            self._highs.pop(0)
            self._lows.pop(0)

        if len(self._highs) < period:
            return

        upper = max(self._highs)
        lower = min(self._lows)

        # Long: close breaks above upper Donchian and is above EMA
        if self.Position == 0 and close >= upper and close > ema_val:
            self.BuyMarket()
        # Short: close breaks below lower Donchian and is below EMA
        elif self.Position == 0 and close <= lower and close < ema_val:
            self.SellMarket()

    def CreateClone(self):
        return donchian_scalper_strategy()