Стратегия Doji Arrows

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>
/// Doji Arrows breakout strategy.
/// Detects doji candles (small body) and trades breakout of the doji range on the next candle.
/// Uses ATR to define what constitutes a small body.
/// </summary>
public class DojiArrowsBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _dojiThreshold;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _prevWasDoji;
	private bool _hasPrev;

	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal DojiThreshold { get => _dojiThreshold.Value; set => _dojiThreshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public DojiArrowsBreakoutStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "ATR period for doji detection", "Indicators");

		_dojiThreshold = Param(nameof(DojiThreshold), 0.3m)
			.SetDisplay("Doji Threshold", "Max body/ATR ratio for doji", "Indicators");

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

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevHigh = 0m; _prevLow = 0m; _prevWasDoji = false; _hasPrev = false; }

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

		_hasPrev = false;
		_prevWasDoji = false;

		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

		if (atr <= 0)
			return;

		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		var isDoji = body / atr < DojiThreshold;

		if (_hasPrev && _prevWasDoji)
		{
			// Breakout above doji high
			if (candle.ClosePrice > _prevHigh && Position <= 0)
			{
				if (Position < 0)
					BuyMarket();
				BuyMarket();
			}
			// Breakout below doji low
			else if (candle.ClosePrice < _prevLow && Position >= 0)
			{
				if (Position > 0)
					SellMarket();
				SellMarket();
			}
		}

		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
		_prevWasDoji = isDoji;
		_hasPrev = true;
	}
}

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 AverageTrueRange
from StockSharp.Algo.Strategies import Strategy


class doji_arrows_breakout_strategy(Strategy):
    def __init__(self):
        super(doji_arrows_breakout_strategy, self).__init__()
        self._atr_period = self.Param("AtrPeriod", 14) \
            .SetDisplay("ATR Period", "ATR period for doji detection", "Indicators")
        self._doji_threshold = self.Param("DojiThreshold", 0.3) \
            .SetDisplay("Doji Threshold", "Max body/ATR ratio for doji", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._prev_was_doji = False
        self._has_prev = False

    @property
    def atr_period(self):
        return self._atr_period.Value

    @property
    def doji_threshold(self):
        return self._doji_threshold.Value

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

    def OnReseted(self):
        super(doji_arrows_breakout_strategy, self).OnReseted()
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._prev_was_doji = False
        self._has_prev = False

    def OnStarted2(self, time):
        super(doji_arrows_breakout_strategy, self).OnStarted2(time)
        self._has_prev = False
        self._prev_was_doji = False
        atr = AverageTrueRange()
        atr.Length = self.atr_period
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.Bind(atr, self.process_candle).Start()

    def process_candle(self, candle, atr):
        if candle.State != CandleStates.Finished:
            return
        atr_val = float(atr)
        if atr_val <= 0:
            return
        body = abs(float(candle.ClosePrice) - float(candle.OpenPrice))
        is_doji = body / atr_val < self.doji_threshold
        if self._has_prev and self._prev_was_doji:
            if float(candle.ClosePrice) > self._prev_high and self.Position <= 0:
                if self.Position < 0:
                    self.BuyMarket()
                self.BuyMarket()
            elif float(candle.ClosePrice) < self._prev_low and self.Position >= 0:
                if self.Position > 0:
                    self.SellMarket()
                self.SellMarket()
        self._prev_high = float(candle.HighPrice)
        self._prev_low = float(candle.LowPrice)
        self._prev_was_doji = is_doji
        self._has_prev = True

    def CreateClone(self):
        return doji_arrows_breakout_strategy()