Стратегия ADX System DI Cross

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ADX System DI Cross: trend-following using dual EMA crossover
/// (proxy for +DI/-DI cross) with ATR-based volatility filter.
/// </summary>
public class AdxSystemDiCrossStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrThreshold;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;

	public AdxSystemDiCrossStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_fastLength = Param(nameof(FastLength), 10)
			.SetDisplay("Fast EMA", "Fast EMA period (proxy for +DI).", "Indicators");

		_slowLength = Param(nameof(SlowLength), 20)
			.SetDisplay("Slow EMA", "Slow EMA period (proxy for -DI).", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period for trend strength.", "Indicators");

		_atrThreshold = Param(nameof(AtrThreshold), 50m)
			.SetDisplay("ATR Threshold", "Min ATR value for entry.", "Indicators");
	}

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

	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	public decimal AtrThreshold
	{
		get => _atrThreshold.Value;
		set => _atrThreshold.Value = value;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevFast = 0;
		_prevSlow = 0;
		_entryPrice = 0;
	}

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

		var fast = new ExponentialMovingAverage { Length = FastLength };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

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

		if (_prevFast == 0 || _prevSlow == 0)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			return;
		}

		var bullishCross = _prevFast <= _prevSlow && fastVal > slowVal;
		var bearishCross = _prevFast >= _prevSlow && fastVal < slowVal;

		// Exit on opposite cross
		if (Position > 0 && bearishCross)
		{
			SellMarket();
			_entryPrice = 0;
		}
		else if (Position < 0 && bullishCross)
		{
			BuyMarket();
			_entryPrice = 0;
		}

		// Entry on cross + volatility filter
		if (Position == 0 && atrVal >= AtrThreshold)
		{
			if (bullishCross)
			{
				_entryPrice = candle.ClosePrice;
				BuyMarket();
			}
			else if (bearishCross)
			{
				_entryPrice = candle.ClosePrice;
				SellMarket();
			}
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}

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 ExponentialMovingAverage, AverageTrueRange
from StockSharp.Algo.Strategies import Strategy

class adx_system_di_cross_strategy(Strategy):
    """
    ADX System DI Cross: trend-following using dual EMA crossover
    (proxy for +DI/-DI cross) with ATR-based volatility filter.
    """

    def __init__(self):
        super(adx_system_di_cross_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(15))) \
            .SetDisplay("Candle Type", "Timeframe.", "General")

        self._fast_length = self.Param("FastLength", 10) \
            .SetDisplay("Fast EMA", "Fast EMA period (proxy for +DI).", "Indicators")

        self._slow_length = self.Param("SlowLength", 20) \
            .SetDisplay("Slow EMA", "Slow EMA period (proxy for -DI).", "Indicators")

        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period for trend strength.", "Indicators")

        self._atr_threshold = self.Param("AtrThreshold", 50.0) \
            .SetDisplay("ATR Threshold", "Min ATR value for entry.", "Indicators")

        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0

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

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

    @property
    def FastLength(self):
        return self._fast_length.Value

    @FastLength.setter
    def FastLength(self, value):
        self._fast_length.Value = value

    @property
    def SlowLength(self):
        return self._slow_length.Value

    @SlowLength.setter
    def SlowLength(self, value):
        self._slow_length.Value = value

    @property
    def AtrLength(self):
        return self._atr_length.Value

    @AtrLength.setter
    def AtrLength(self, value):
        self._atr_length.Value = value

    @property
    def AtrThreshold(self):
        return self._atr_threshold.Value

    @AtrThreshold.setter
    def AtrThreshold(self, value):
        self._atr_threshold.Value = value

    def OnReseted(self):
        super(adx_system_di_cross_strategy, self).OnReseted()
        self._prev_fast = 0.0
        self._prev_slow = 0.0
        self._entry_price = 0.0

    def OnStarted2(self, time):
        super(adx_system_di_cross_strategy, self).OnStarted2(time)

        fast = ExponentialMovingAverage()
        fast.Length = self.FastLength
        slow = ExponentialMovingAverage()
        slow.Length = self.SlowLength
        atr = AverageTrueRange()
        atr.Length = self.AtrLength

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast, slow, atr, self.ProcessCandle).Start()

        area = self.CreateChartArea()
        if area is not None:
            self.DrawCandles(area, subscription)
            self.DrawIndicator(area, fast)
            self.DrawIndicator(area, slow)
            self.DrawOwnTrades(area)

    def ProcessCandle(self, candle, fast_val, slow_val, atr_val):
        if candle.State != CandleStates.Finished:
            return

        if self._prev_fast == 0 or self._prev_slow == 0:
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            return

        bullish_cross = self._prev_fast <= self._prev_slow and fast_val > slow_val
        bearish_cross = self._prev_fast >= self._prev_slow and fast_val < slow_val

        # Exit on opposite cross
        if self.Position > 0 and bearish_cross:
            self.SellMarket()
            self._entry_price = 0.0
        elif self.Position < 0 and bullish_cross:
            self.BuyMarket()
            self._entry_price = 0.0

        # Entry on cross + volatility filter
        if self.Position == 0 and atr_val >= self.AtrThreshold:
            if bullish_cross:
                self._entry_price = float(candle.ClosePrice)
                self.BuyMarket()
            elif bearish_cross:
                self._entry_price = float(candle.ClosePrice)
                self.SellMarket()

        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        """!! REQUIRED!! Creates a new instance of the strategy."""
        return adx_system_di_cross_strategy()