Стратегия AOCCI

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// AOCCI Pivot strategy - CCI crossover with momentum filter.
/// Buys when CCI crosses above 0 with positive momentum.
/// Sells when CCI crosses below 0 with negative momentum.
/// </summary>
public class AocciPivotFilterStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _momentumPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevCci;
	private bool _hasPrev;

	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	public int MomentumPeriod { get => _momentumPeriod.Value; set => _momentumPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AocciPivotFilterStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetDisplay("CCI Period", "CCI period", "Indicators");

		_momentumPeriod = Param(nameof(MomentumPeriod), 10)
			.SetDisplay("Momentum Period", "Momentum period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

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

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

		_hasPrev = false;

		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var mom = new Momentum { Length = MomentumPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(cci, mom, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevCci = cciValue;
			_hasPrev = true;
			return;
		}

		// CCI crosses above 0 with positive momentum
		if (_prevCci <= 0 && cciValue > 0 && momValue > 0 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// CCI crosses below 0 with negative momentum
		else if (_prevCci >= 0 && cciValue < 0 && momValue < 0 && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevCci = cciValue;
	}
}

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 CommodityChannelIndex, Momentum
from StockSharp.Algo.Strategies import Strategy


class aocci_pivot_filter_strategy(Strategy):
    def __init__(self):
        super(aocci_pivot_filter_strategy, self).__init__()
        self._cci_period = self.Param("CciPeriod", 14) \
            .SetDisplay("CCI Period", "CCI period", "Indicators")
        self._momentum_period = self.Param("MomentumPeriod", 10) \
            .SetDisplay("Momentum Period", "Momentum period", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_cci = 0.0
        self._has_prev = False

    @property
    def cci_period(self):
        return self._cci_period.Value

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

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

    def OnReseted(self):
        super(aocci_pivot_filter_strategy, self).OnReseted()
        self._prev_cci = 0.0
        self._has_prev = False

    def OnStarted2(self, time):
        super(aocci_pivot_filter_strategy, self).OnStarted2(time)
        self._has_prev = False
        cci = CommodityChannelIndex()
        cci.Length = self.cci_period
        mom = Momentum()
        mom.Length = self.momentum_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(cci, mom, self.process_candle).Start()

    def process_candle(self, candle, cci_value, mom_value):
        if candle.State != CandleStates.Finished:
            return
        cci_val = float(cci_value)
        mom_val = float(mom_value)
        if not self._has_prev:
            self._prev_cci = cci_val
            self._has_prev = True
            return
        if self._prev_cci <= 0 and cci_val > 0 and mom_val > 0 and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif self._prev_cci >= 0 and cci_val < 0 and mom_val < 0 and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        self._prev_cci = cci_val

    def CreateClone(self):
        return aocci_pivot_filter_strategy()