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EMA-Crossover-Trailing-Stop-Strategie

Die EMA-Crossover-Trailing-Stop-Strategie eröffnet eine Long-Position, wenn die kurze EMA die lange EMA nach oben kreuzt, und eine Short-Position, wenn sie nach unten kreuzt. Ein Trailing Stop, der auf dem höchsten oder niedrigsten Preis nach dem Einstieg basiert, schließt die Position, wenn der Preis um einen festgelegten Prozentsatz zurückläuft.

Details

  • Einstiegskriterien: Kreuzung der kurzen EMA über der langen EMA.
  • Long/Short: beide Richtungen.
  • Ausstiegskriterien: entgegengesetzte Kreuzung oder Trailing Stop.
  • Stops: Trailing Stop, der den höchsten/niedrigsten Preis seit dem Einstieg verwendet.
  • Standardwerte:
    • ShortLength = 9
    • LongLength = 21
    • TrailStopPercent = 1
  • Filter:
    • Kategorie: Trendfolge
    • Richtung: Beide
    • Indikatoren: EMA
    • Stops: Trailing Stop
    • Komplexität: Grundlegend
    • Zeitrahmen: Kurzfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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>
/// EMA crossover trailing stop strategy.
/// The short EMA crossing above the long EMA goes long and crossing below goes short, reversing an opposite position.
/// A percent trailing stop follows the best price since entry and closes the position when price reverses by TrailStopPercent.
/// </summary>
public class EmaCrossoverTrailingStopStrategy : Strategy
{
	private readonly StrategyParam<int> _shortLength;
	private readonly StrategyParam<int> _longLength;
	private readonly StrategyParam<decimal> _trailStopPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevShort;
	private decimal? _prevLong;

	/// <summary>
	/// Short EMA length.
	/// </summary>
	public int ShortLength
	{
		get => _shortLength.Value;
		set => _shortLength.Value = value;
	}

	/// <summary>
	/// Long EMA length.
	/// </summary>
	public int LongLength
	{
		get => _longLength.Value;
		set => _longLength.Value = value;
	}

	/// <summary>
	/// Trailing stop percentage.
	/// </summary>
	public decimal TrailStopPercent
	{
		get => _trailStopPercent.Value;
		set => _trailStopPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public EmaCrossoverTrailingStopStrategy()
	{
		_shortLength = Param(nameof(ShortLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("Short EMA", "Short EMA length", "Indicators");

		_longLength = Param(nameof(LongLength), 21)
			.SetGreaterThanZero()
			.SetDisplay("Long EMA", "Long EMA length", "Indicators");

		_trailStopPercent = Param(nameof(TrailStopPercent), 1m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop %", "Trailing stop percentage from the best price", "Risk");

		_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();
		_prevShort = null;
		_prevLong = null;
	}

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

		_prevShort = null;
		_prevLong = null;

		var shortEma = new ExponentialMovingAverage { Length = ShortLength };
		var longEma = new ExponentialMovingAverage { Length = LongLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(shortEma, longEma, ProcessCandle)
			.Start();

		if (TrailStopPercent > 0m)
			StartProtection(new Unit(), new Unit(TrailStopPercent, UnitTypes.Percent), isStopTrailing: true, useMarketOrders: true);

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

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

		var prevShort = _prevShort;
		var prevLong = _prevLong;
		_prevShort = shortValue;
		_prevLong = longValue;

		if (prevShort is not decimal ps || prevLong is not decimal pl)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (ps <= pl && shortValue > longValue && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (ps >= pl && shortValue < longValue && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}