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Molly ETF EMA Crossover-Strategie

Die Strategie eröffnet eine Long-Position, wenn die schnelle EMA die langsame EMA von unten kreuzt, und schließt sie, wenn die schnelle EMA die langsame EMA von oben kreuzt. Sie enthält optionale Parameter zur Einschränkung des Handels auf einen bestimmten Datumsbereich.

Details

  • Einstiegskriterien:
    • Long: Die schnelle EMA kreuzt die langsame EMA nach oben innerhalb des Datumsbereichs.
  • Long/Short: Nur Long.
  • Ausstiegskriterien:
    • Die schnelle EMA kreuzt die langsame EMA nach unten oder der Datumsbereich endet.
  • Stops: Keine.
  • Standardwerte:
    • Fast EMA = 10
    • Slow EMA = 21
    • Start Date = 2018-01-01
    • End Date = 2023-09-07
  • Filter:
    • Kategorie: Trendfolge
    • Richtung: Nur Long
    • Indikatoren: EMA
    • Stops: Nein
    • Komplexität: Grundlegend
    • Zeitrahmen: Beliebig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Niedrig
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Molly ETF EMA crossover strategy.
/// Goes long when fast EMA crosses above slow EMA and exits on opposite cross.
/// Supports optional date range filter.
/// </summary>
public class MollyEtfEmaCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<bool> _useDateFilter;
	private readonly StrategyParam<DateTime> _startDate;
	private readonly StrategyParam<DateTime> _endDate;
	private readonly StrategyParam<DataType> _candleType;

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

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

	/// <summary>
	/// Enable trading only within specified date range.
	/// </summary>
	public bool UseDateFilter
	{
		get => _useDateFilter.Value;
		set => _useDateFilter.Value = value;
	}

	/// <summary>
	/// Start date of allowed trading period.
	/// </summary>
	public DateTime StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	/// <summary>
	/// End date of allowed trading period.
	/// </summary>
	public DateTime EndDate
	{
		get => _endDate.Value;
		set => _endDate.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="MollyEtfEmaCrossoverStrategy"/> class.
	/// </summary>
	public MollyEtfEmaCrossoverStrategy()
	{
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Length of the fast EMA", "Parameters");

		_slowLength = Param(nameof(SlowLength), 21)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Length of the slow EMA", "Parameters");

		_useDateFilter = Param(nameof(UseDateFilter), false)
			.SetDisplay("Use Date Filter", "Enable date range filtering", "Date Range");

		_startDate = Param(nameof(StartDate), new DateTime(2018, 1, 1))
			.SetDisplay("Start Date", "Beginning of trading period", "Date Range");

		_endDate = Param(nameof(EndDate), new DateTime(2030, 1, 1))
			.SetDisplay("End Date", "End of trading period", "Date Range");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fastEma = new EMA { Length = FastLength };
		var slowEma = new EMA { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);

		var wasFastAboveSlow = false;
		var initialized = false;
		var wasInTradeWindow = false;

		subscription
			.Bind(fastEma, slowEma, (candle, fastValue, slowValue) =>
			{
			if (candle.State != CandleStates.Finished)
			return;

			var candleTime = candle.OpenTime;
			var inTradeWindow = !UseDateFilter || (candleTime >= StartDate && candleTime < EndDate);

			if (!inTradeWindow && wasInTradeWindow)
			{
			CancelActiveOrders();
			ClosePosition();
			}

			wasInTradeWindow = inTradeWindow;

			if (!inTradeWindow)
			return;

			if (!initialized)
			{
			if (fastEma.IsFormed && slowEma.IsFormed)
			{
			wasFastAboveSlow = fastValue > slowValue;
			initialized = true;
			}

			return;
			}

			var isFastAboveSlow = fastValue > slowValue;
			var crossOver = !wasFastAboveSlow && isFastAboveSlow;
			var crossUnder = wasFastAboveSlow && !isFastAboveSlow;

			if (crossOver && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));

			if (crossUnder && Position > 0)
			SellMarket(Math.Abs(Position));

			wasFastAboveSlow = isFastAboveSlow;
			})
			.Start();

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