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Auto KD Crossover Strategy

Overview

The Auto KD Crossover strategy replicates the original MQL5 autoKD_EA example.
It uses the StochasticOscillator indicator to generate buy and sell signals based on crossovers of the %K and %D lines.

The base calculation uses the RSV formula: RSV = (Close - LowestLow) / (HighestHigh - LowestLow) * 100 where the highest high and lowest low are computed over KDPeriod bars.
The %K line is a moving average of RSV with length KPeriod; %D is a moving average of %K with length DPeriod.

Parameters

Name Description Default
KDPeriod Number of bars for the RSV base period. 30
KPeriod Smoothing period for the %K line. 3
DPeriod Smoothing period for the %D line. 6
CandleType Type and timeframe of candles used for calculations. 5 minute time frame
Volume Order volume inherited from Strategy. Strategy.Volume

All parameters are available for optimization.

Trading Logic

  1. Subscribe to the selected candle series and compute the Stochastic oscillator.
  2. When the previous value of %K was below %D and the current %K crosses above %D, a long position is opened.
  3. When the previous value of %K was above %D and the current %K crosses below %D, a short position is opened.
  4. The strategy maintains only one position at a time. Crosses in the opposite direction close the position and open the opposite side.
  5. StartProtection() enables default loss/profit protection mechanisms provided by StockSharp.

Visualization

The strategy automatically displays candles, the Stochastic indicator, and executed trades on the chart.

Notes

  • Works on any instrument and timeframe.
  • Parameters should be adapted to the volatility of the selected market.
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>
/// Strategy based on %K and %D crossover from the Stochastic oscillator.
/// </summary>
public class AutoKdStrategy : Strategy
{
	private readonly StrategyParam<int> _kdPeriod;
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevK;
	private decimal? _prevD;

	/// <summary>
	/// Lookback period for RSV calculation.
	/// </summary>
	public int KdPeriod
	{
		get => _kdPeriod.Value;
		set => _kdPeriod.Value = value;
	}

	/// <summary>
	/// Smoothing period for %K.
	/// </summary>
	public int KPeriod
	{
		get => _kPeriod.Value;
		set => _kPeriod.Value = value;
	}

	/// <summary>
	/// Smoothing period for %D.
	/// </summary>
	public int DPeriod
	{
		get => _dPeriod.Value;
		set => _dPeriod.Value = value;
	}

	/// <summary>
	/// Type of candles used by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="AutoKdStrategy"/>.
	/// </summary>
	public AutoKdStrategy()
	{
		_kdPeriod = Param(nameof(KdPeriod), 30)
		.SetGreaterThanZero()
		.SetDisplay("KD Period", "Base period for RSV", "Parameters")
		
		.SetOptimize(10, 60, 5);

		_kPeriod = Param(nameof(KPeriod), 3)
		.SetGreaterThanZero()
		.SetDisplay("K Period", "%K smoothing", "Parameters")
		
		.SetOptimize(1, 10, 1);

		_dPeriod = Param(nameof(DPeriod), 6)
		.SetGreaterThanZero()
		.SetDisplay("D Period", "%D smoothing", "Parameters")
		
		.SetOptimize(1, 10, 1);

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevK = null;
		_prevD = null;
	}

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

		var stochastic = new StochasticOscillator();
		stochastic.K.Length = KdPeriod;
		stochastic.D.Length = DPeriod;

		var subscription = SubscribeCandles(CandleType);
		subscription
		.BindEx(stochastic, ProcessCandle)
		.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue stochValue)
	{
		if (candle.State != CandleStates.Finished)
		return;

		if (!IsFormedAndOnlineAndAllowTrading())
		return;

		var stoch = (StochasticOscillatorValue)stochValue;
		if (stoch.K is not decimal k || stoch.D is not decimal d)
			return;

		if (_prevK is decimal prevK && _prevD is decimal prevD)
		{
			if (prevK < prevD && k > d && Math.Min(prevK, k) < 30m && Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
			else if (prevK > prevD && k < d && Math.Max(prevK, k) > 70m && Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
		}

		_prevK = k;
		_prevD = d;
	}
}