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Backtesting Module

This strategy replicates the default behaviour of the TradingView "Backtesting Module". It trades a simple moving average crossover: a long position is opened when the 50-period SMA crosses above the 200-period SMA, and a short position is opened when the opposite crossover occurs. Trading is allowed only between the specified start and end times.

Details

  • Entry Criteria: 50-period SMA crossing 200-period SMA.
  • Long/Short: Both.
  • Exit Criteria: Opposite crossover or leaving the time interval.
  • Stops: None.
  • Default Values:
    • FastLength = 50
    • SlowLength = 200
    • StartTime = 1 Jan 1980
    • EndTime = 31 Dec 2050
    • CandleType = TimeSpan.FromMinutes(1)
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: SMA
    • Stops: No
    • Complexity: Basic
    • Timeframe: Variable
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on SMA crossover with cooldown.
/// Buys when fast SMA crosses above slow SMA, sells on cross below.
/// </summary>
public class BacktestingModuleStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private int _barIndex;
	private int _lastTradeBar;

	/// <summary>
	/// Fast SMA period.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow SMA period.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public BacktestingModuleStrategy()
	{
		_fastLength = Param(nameof(FastLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Fast SMA", "Period for fast SMA", "Indicators");

		_slowLength = Param(nameof(SlowLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow SMA", "Period for slow SMA", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 350)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_barIndex = 0;
		_lastTradeBar = 0;
	}

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

		var fastSma = new SimpleMovingAverage { Length = FastLength };
		var slowSma = new SimpleMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastSma, slowSma, ProcessCandle)
			.Start();

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

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

		_barIndex++;

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		var crossUp = _prevFast > 0 && _prevFast <= _prevSlow && fast > slow;
		var crossDown = _prevFast > 0 && _prevFast >= _prevSlow && fast < slow;

		if (crossUp && Position <= 0 && cooldownOk)
		{
			BuyMarket();
			_lastTradeBar = _barIndex;
		}
		else if (crossDown && Position >= 0 && cooldownOk)
		{
			SellMarket();
			_lastTradeBar = _barIndex;
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}