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Omar MMR-Strategie

Momentum-basierte Methode, die RSI, drei exponentielle gleitende Durchschnitte und eine MACD-Kreuzung kombiniert. Long-Trades entstehen, wenn der Kurs über der langsamen EMA liegt, die schnelle EMA die mittlere EMA übersteigt, MACD bullisch kreuzt und RSI in einer neutralen Zone zwischen 29 und 70 liegt.

Take-Profit- und Stop-Loss-Prozentsätze werden über das Schutzmodul des Motors angewendet. Das Setup konzentriert sich auf die Ausrichtung von Momentum und Trend und vermeidet dabei überdehnte RSI-Werte.

Details

  • Einstiegskriterien:
    • Long: Schluss über EMA C, EMA A > EMA B, MACD-Linie kreuzt über das Signal, RSI zwischen 29 und 70.
  • Ausstiegskriterien:
    • Verwaltung über Take-Profit oder Stop-Loss; kein expliziter Indikator-Ausstieg.
  • Indikatoren:
    • RSI (Länge 14)
    • EMA A/B/C (Perioden 20/50/200)
    • MACD (12,26,9)
  • Stops: Prozentbasierter Take-Profit 1,5% und Stop-Loss 2% standardmäßig.
  • Standardwerte:
    • RsiLength = 14
    • EmaALength = 20
    • EmaBLength = 50
    • EmaCLength = 200
    • MacdFastLength = 12
    • MacdSlowLength = 26
    • MacdSignalLength = 9
    • TakeProfitPercent = 1.5
    • StopLossPercent = 2.0
  • Filter:
    • Trendfortsetzung
    • Einzelner Zeitrahmen
    • Indikatoren: RSI, EMA, MACD
    • Stops: Ja
    • Komplexität: Moderat
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Omar MMR Strategy.
/// Uses RSI, triple EMA alignment, and MACD signal crossover for entries.
/// Buys when price > EMA C, EMA A > EMA B, MACD crosses above signal, RSI in range.
/// Sells when EMA alignment reverses or MACD crosses below signal.
/// </summary>
public class OmarMmrStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaALength;
	private readonly StrategyParam<int> _emaBLength;
	private readonly StrategyParam<int> _emaCLength;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _emaA;
	private ExponentialMovingAverage _emaB;
	private ExponentialMovingAverage _emaC;

	private decimal _prevEmaA;
	private decimal _prevEmaB;
	private int _cooldownRemaining;

	public OmarMmrStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

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

		_emaALength = Param(nameof(EmaALength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA A Length", "Fast EMA period", "Moving Averages");

		_emaBLength = Param(nameof(EmaBLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA B Length", "Medium EMA period", "Moving Averages");

		_emaCLength = Param(nameof(EmaCLength), 200)
			.SetGreaterThanZero()
			.SetDisplay("EMA C Length", "Slow EMA period", "Moving Averages");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

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

	public int EmaALength
	{
		get => _emaALength.Value;
		set => _emaALength.Value = value;
	}

	public int EmaBLength
	{
		get => _emaBLength.Value;
		set => _emaBLength.Value = value;
	}

	public int EmaCLength
	{
		get => _emaCLength.Value;
		set => _emaCLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

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

		_rsi = null;
		_emaA = null;
		_emaB = null;
		_emaC = null;
		_prevEmaA = 0;
		_prevEmaB = 0;
		_cooldownRemaining = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_emaA = new ExponentialMovingAverage { Length = EmaALength };
		_emaB = new ExponentialMovingAverage { Length = EmaBLength };
		_emaC = new ExponentialMovingAverage { Length = EmaCLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_rsi, _emaA, _emaB, _emaC, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, decimal rsiVal, decimal emaA, decimal emaB, decimal emaC)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_rsi.IsFormed || !_emaA.IsFormed || !_emaB.IsFormed || !_emaC.IsFormed)
		{
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		if (_prevEmaA == 0 || _prevEmaB == 0)
		{
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		// EMA alignment
		var bullishAlignment = emaA > emaB && candle.ClosePrice > emaC;
		var bearishAlignment = emaA < emaB && candle.ClosePrice < emaC;

		// EMA A/B crossover
		var emaCrossUp = emaA > emaB && _prevEmaA <= _prevEmaB;
		var emaCrossDown = emaA < emaB && _prevEmaA >= _prevEmaB;

		// RSI filter
		var rsiInBuyRange = rsiVal > 30 && rsiVal < 70;
		var rsiInSellRange = rsiVal > 30 && rsiVal < 70;

		// Buy: bullish EMA alignment + EMA cross up + RSI in range
		if (bullishAlignment && emaCrossUp && rsiInBuyRange && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: bearish EMA alignment + EMA cross down + RSI in range
		else if (bearishAlignment && emaCrossDown && rsiInSellRange && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: EMA A crosses below EMA B
		else if (Position > 0 && emaCrossDown)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: EMA A crosses above EMA B
		else if (Position < 0 && emaCrossUp)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevEmaA = emaA;
		_prevEmaB = emaB;
	}
}