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MA-Ausbruch von Hochs und Tiefs

Preisaktionsstrategie, die Long einsteigt, wenn der Preis über einem gleitenden Durchschnitt der Hochs schließt, und Short einsteigt, wenn der Preis unter einem gleitenden Durchschnitt der Tiefs schließt. Positionen werden mit optionalen Take-Profit- und Stop-Loss-Niveaus verwaltet.

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 price crossing moving averages of highs and lows.
/// Buys when price closes above the high-based moving average and sells when closing below the low-based moving average.
/// </summary>
public class HighLowMaBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _maHighPeriod;
	private readonly StrategyParam<int> _maLowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevMaHigh;
	private decimal _prevMaLow;
	private decimal _prevClose;
	private bool _hasPrev;

	public int MaHighPeriod { get => _maHighPeriod.Value; set => _maHighPeriod.Value = value; }
	public int MaLowPeriod { get => _maLowPeriod.Value; set => _maLowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public HighLowMaBreakoutStrategy()
	{
		_maHighPeriod = Param(nameof(MaHighPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("High MA Period", "Period of high price MA", "Parameters");

		_maLowPeriod = Param(nameof(MaLowPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Low MA Period", "Period of low price MA", "Parameters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMaHigh = 0;
		_prevMaLow = 0;
		_prevClose = 0;
		_hasPrev = false;
	}

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

		var maHigh = new SimpleMovingAverage { Length = MaHighPeriod };
		var maLow = new SimpleMovingAverage { Length = MaLowPeriod };

		SubscribeCandles(CandleType).Bind(maHigh, maLow, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevClose = close;
			_prevMaHigh = maHigh;
			_prevMaLow = maLow;
			_hasPrev = true;
			return;
		}

		// Cross above high MA => buy
		if (_prevClose <= _prevMaHigh && close > maHigh && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		// Cross below low MA => sell
		else if (_prevClose >= _prevMaLow && close < maLow && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevClose = close;
		_prevMaHigh = maHigh;
		_prevMaLow = maLow;
	}
}