Стратегия Expert610 Breakout

using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Expert610 Breakout: Previous candle high/low breakout with ATR stops.
/// </summary>
public class Expert610BreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevHigh;
	private decimal _prevLow;
	private decimal _entryPrice;

	public Expert610BreakoutStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetDisplay("EMA Length", "Trend filter.", "Indicators");

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

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

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

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

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

		_prevHigh = 0;
		_prevLow = 0;
		_entryPrice = 0;
	}

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

		_prevHigh = 0;
		_prevLow = 0;
		_entryPrice = 0;

		var ema = new ExponentialMovingAverage { Length = EmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

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

		var close = candle.ClosePrice;

		if (_prevHigh == 0 || _prevLow == 0 || atrVal <= 0)
		{
			_prevHigh = candle.HighPrice;
			_prevLow = candle.LowPrice;
			return;
		}

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 2.5m || close <= _entryPrice - atrVal * 1.5m)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 2.5m || close >= _entryPrice + atrVal * 1.5m)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (close > _prevHigh && close > emaVal)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (close < _prevLow && close < emaVal)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
	}
}

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 expert610_breakout_strategy(Strategy):
    """
    Expert610 Breakout: Previous candle high/low breakout with EMA trend filter and ATR stops.
    """

    def __init__(self):
        super(expert610_breakout_strategy, self).__init__()
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5))) \
            .SetDisplay("Candle Type", "Timeframe", "General")
        self._ema_length = self.Param("EmaLength", 50) \
            .SetDisplay("EMA Length", "Trend filter", "Indicators")
        self._atr_length = self.Param("AtrLength", 14) \
            .SetDisplay("ATR Length", "ATR period", "Indicators")

        self._prev_high = 0.0
        self._prev_low = 0.0
        self._entry_price = 0.0

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

    def OnReseted(self):
        super(expert610_breakout_strategy, self).OnReseted()
        self._prev_high = 0.0
        self._prev_low = 0.0
        self._entry_price = 0.0

    def OnStarted2(self, time):
        super(expert610_breakout_strategy, self).OnStarted2(time)

        self._prev_high = 0.0
        self._prev_low = 0.0
        self._entry_price = 0.0

        ema = ExponentialMovingAverage()
        ema.Length = self._ema_length.Value
        atr = AverageTrueRange()
        atr.Length = self._atr_length.Value

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

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

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

        close = float(candle.ClosePrice)
        ema_val = float(ema_val)
        atr_val = float(atr_val)

        if self._prev_high == 0.0 or self._prev_low == 0.0 or atr_val <= 0:
            self._prev_high = float(candle.HighPrice)
            self._prev_low = float(candle.LowPrice)
            return

        if self.Position > 0:
            if close >= self._entry_price + atr_val * 2.5 or close <= self._entry_price - atr_val * 1.5:
                self.SellMarket()
                self._entry_price = 0.0
        elif self.Position < 0:
            if close <= self._entry_price - atr_val * 2.5 or close >= self._entry_price + atr_val * 1.5:
                self.BuyMarket()
                self._entry_price = 0.0

        if self.Position == 0:
            if close > self._prev_high and close > ema_val:
                self._entry_price = close
                self.BuyMarket()
            elif close < self._prev_low and close < ema_val:
                self._entry_price = close
                self.SellMarket()

        self._prev_high = float(candle.HighPrice)
        self._prev_low = float(candle.LowPrice)

    def CreateClone(self):
        return expert610_breakout_strategy()