Стратегия ComFracti Fractal RSI

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ComFracti Fractal RSI: Fractal breakout with RSI filter and ATR stops.
/// </summary>
public class ComFractiFractalRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _entryPrice;
	private decimal _prevHigh5;
	private decimal _prevLow5;
	private decimal _high1, _high2, _high3, _high4, _high5;
	private decimal _low1, _low2, _low3, _low4, _low5;
	private int _barCount;

	public ComFractiFractalRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(8).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period.", "Indicators");

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

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

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

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

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

		_entryPrice = 0;
		_barCount = 0;
		_prevHigh5 = 0;
		_prevLow5 = 0;
		_high1 = _high2 = _high3 = _high4 = _high5 = 0;
		_low1 = _low2 = _low3 = _low4 = _low5 = 0;
	}

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

		_entryPrice = 0;
		_barCount = 0;
		_prevHigh5 = 0;
		_prevLow5 = 0;
		_high1 = _high2 = _high3 = _high4 = _high5 = 0;
		_low1 = _low2 = _low3 = _low4 = _low5 = 0;

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

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

		// Shift fractal window
		_high5 = _high4; _high4 = _high3; _high3 = _high2; _high2 = _high1;
		_high1 = candle.HighPrice;
		_low5 = _low4; _low4 = _low3; _low3 = _low2; _low2 = _low1;
		_low1 = candle.LowPrice;
		_barCount++;

		if (_barCount < 5 || atrVal <= 0)
			return;

		var close = candle.ClosePrice;

		// Detect fractal high (center bar _high3 is highest)
		var fractalUp = _high3 > _high1 && _high3 > _high2 && _high3 > _high4 && _high3 > _high5;
		// Detect fractal low (center bar _low3 is lowest)
		var fractalDown = _low3 < _low1 && _low3 < _low2 && _low3 < _low4 && _low3 < _low5;

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 3m || close <= _entryPrice - atrVal * 2m || fractalDown)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 3m || close >= _entryPrice + atrVal * 2m || fractalUp)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (fractalDown && rsiVal < 45)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (fractalUp && rsiVal > 55)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevHigh5 = _high5;
		_prevLow5 = _low5;
	}
}

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.Strategies import Strategy
from StockSharp.Algo.Indicators import RelativeStrengthIndex, AverageTrueRange

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(8))) \
            .SetDisplay("Candle Type", "Timeframe.", "General")
        self._rsi_length = self.Param("RsiLength", 14) \
            .SetDisplay("RSI Length", "RSI period.", "Indicators")
        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period.", "Indicators")

        self._entry_price = 0.0
        self._prev_high5 = 0.0
        self._prev_low5 = 0.0
        self._high1 = 0.0
        self._high2 = 0.0
        self._high3 = 0.0
        self._high4 = 0.0
        self._high5 = 0.0
        self._low1 = 0.0
        self._low2 = 0.0
        self._low3 = 0.0
        self._low4 = 0.0
        self._low5 = 0.0
        self._bar_count = 0

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

    @property
    def RsiLength(self):
        return self._rsi_length.Value

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

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

        self._entry_price = 0.0
        self._bar_count = 0
        self._prev_high5 = 0.0
        self._prev_low5 = 0.0
        self._high1 = self._high2 = self._high3 = self._high4 = self._high5 = 0.0
        self._low1 = self._low2 = self._low3 = self._low4 = self._low5 = 0.0

        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = self.RsiLength
        self._atr = AverageTrueRange()
        self._atr.Length = self.AtrLength

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(self._rsi, self._atr, self.ProcessCandle).Start()

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

        rv = float(rsi_val)
        av = float(atr_val)

        # Shift fractal window
        self._high5 = self._high4
        self._high4 = self._high3
        self._high3 = self._high2
        self._high2 = self._high1
        self._high1 = float(candle.HighPrice)
        self._low5 = self._low4
        self._low4 = self._low3
        self._low3 = self._low2
        self._low2 = self._low1
        self._low1 = float(candle.LowPrice)
        self._bar_count += 1

        if self._bar_count < 5 or av <= 0:
            return

        close = float(candle.ClosePrice)

        # Detect fractal high (center bar _high3 is highest)
        fractal_up = (self._high3 > self._high1 and self._high3 > self._high2 and
                      self._high3 > self._high4 and self._high3 > self._high5)
        # Detect fractal low (center bar _low3 is lowest)
        fractal_down = (self._low3 < self._low1 and self._low3 < self._low2 and
                        self._low3 < self._low4 and self._low3 < self._low5)

        if self.Position > 0:
            if close >= self._entry_price + av * 3.0 or close <= self._entry_price - av * 2.0 or fractal_down:
                self.SellMarket()
                self._entry_price = 0.0
        elif self.Position < 0:
            if close <= self._entry_price - av * 3.0 or close >= self._entry_price + av * 2.0 or fractal_up:
                self.BuyMarket()
                self._entry_price = 0.0

        if not self.IsFormedAndOnlineAndAllowTrading():
            self._prev_high5 = self._high5
            self._prev_low5 = self._low5
            return

        if self.Position == 0:
            if fractal_down and rv < 45:
                self._entry_price = close
                self.BuyMarket()
            elif fractal_up and rv > 55:
                self._entry_price = close
                self.SellMarket()

        self._prev_high5 = self._high5
        self._prev_low5 = self._low5

    def OnReseted(self):
        super(com_fracti_fractal_rsi_strategy, self).OnReseted()
        self._entry_price = 0.0
        self._bar_count = 0
        self._prev_high5 = 0.0
        self._prev_low5 = 0.0
        self._high1 = self._high2 = self._high3 = self._high4 = self._high5 = 0.0
        self._low1 = self._low2 = self._low3 = self._low4 = self._low5 = 0.0

    def CreateClone(self):
        return com_fracti_fractal_rsi_strategy()