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>
/// E-Friday strategy using EMA crossover.
/// Buys when fast EMA crosses above slow EMA, sells on reverse.
/// </summary>
public class EFridayStrategy : Strategy
{
private readonly StrategyParam<int> _fastPeriod;
private readonly StrategyParam<int> _slowPeriod;
private readonly StrategyParam<int> _stopLossPoints;
private readonly StrategyParam<int> _takeProfitPoints;
private ExponentialMovingAverage _fast;
private ExponentialMovingAverage _slow;
private decimal _prevFast;
private decimal _prevSlow;
private decimal _entryPrice;
private int _cooldown;
public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }
public EFridayStrategy()
{
_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
}
public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
{
yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
}
protected override void OnReseted()
{
base.OnReseted();
_fast = null; _slow = null;
_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
}
protected override void OnStarted2(DateTime time)
{
base.OnStarted2(time);
_fast = new ExponentialMovingAverage { Length = FastPeriod };
_slow = new ExponentialMovingAverage { Length = SlowPeriod };
var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
subscription.Bind(_fast, _slow, ProcessCandle);
subscription.Start();
}
private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
{
if (candle.State != CandleStates.Finished) return;
if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }
var close = candle.ClosePrice;
var step = Security?.PriceStep ?? 1m;
if (Position > 0 && _entryPrice > 0)
{
if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
}
else if (Position < 0 && _entryPrice > 0)
{
if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
}
if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }
_prevFast = fastValue; _prevSlow = slowValue;
}
}
import clr
clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")
from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy
class e_friday_strategy(Strategy):
def __init__(self):
super(e_friday_strategy, self).__init__()
self._fast_period = self.Param("FastPeriod", 14) \
.SetDisplay("Fast Period", "Fast MA period", "Indicator")
self._slow_period = self.Param("SlowPeriod", 50) \
.SetDisplay("Slow Period", "Slow MA period", "Indicator")
self._stop_loss_points = self.Param("StopLossPoints", 200) \
.SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk")
self._take_profit_points = self.Param("TakeProfitPoints", 400) \
.SetDisplay("Take Profit", "Take-profit in price steps", "Risk")
self._fast = None
self._slow = None
self._prev_fast = 0.0
self._prev_slow = 0.0
self._entry_price = 0.0
self._cooldown = 0
@property
def fast_period(self):
return self._fast_period.Value
@property
def slow_period(self):
return self._slow_period.Value
@property
def stop_loss_points(self):
return self._stop_loss_points.Value
@property
def take_profit_points(self):
return self._take_profit_points.Value
def OnReseted(self):
super(e_friday_strategy, self).OnReseted()
self._fast = None
self._slow = None
self._prev_fast = 0.0
self._prev_slow = 0.0
self._entry_price = 0.0
self._cooldown = 0
def OnStarted2(self, time):
super(e_friday_strategy, self).OnStarted2(time)
self._fast = ExponentialMovingAverage()
self._fast.Length = self.fast_period
self._slow = ExponentialMovingAverage()
self._slow.Length = self.slow_period
subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromMinutes(5)))
subscription.Bind(self._fast, self._slow, self._process_candle)
subscription.Start()
def _process_candle(self, candle, fast_value, slow_value):
if candle.State != CandleStates.Finished:
return
fast_val = float(fast_value)
slow_val = float(slow_value)
if not self._fast.IsFormed or not self._slow.IsFormed:
self._prev_fast = fast_val
self._prev_slow = slow_val
return
if self._cooldown > 0:
self._cooldown -= 1
self._prev_fast = fast_val
self._prev_slow = slow_val
return
close = float(candle.ClosePrice)
step = float(self.Security.PriceStep) if self.Security is not None and self.Security.PriceStep is not None else 1.0
if self.Position > 0 and self._entry_price > 0:
if self.stop_loss_points > 0 and close <= self._entry_price - self.stop_loss_points * step:
self.SellMarket()
self._entry_price = 0.0
self._cooldown = 100
self._prev_fast = fast_val
self._prev_slow = slow_val
return
if self.take_profit_points > 0 and close >= self._entry_price + self.take_profit_points * step:
self.SellMarket()
self._entry_price = 0.0
self._cooldown = 100
self._prev_fast = fast_val
self._prev_slow = slow_val
return
elif self.Position < 0 and self._entry_price > 0:
if self.stop_loss_points > 0 and close >= self._entry_price + self.stop_loss_points * step:
self.BuyMarket()
self._entry_price = 0.0
self._cooldown = 100
self._prev_fast = fast_val
self._prev_slow = slow_val
return
if self.take_profit_points > 0 and close <= self._entry_price - self.take_profit_points * step:
self.BuyMarket()
self._entry_price = 0.0
self._cooldown = 100
self._prev_fast = fast_val
self._prev_slow = slow_val
return
if self._prev_fast <= self._prev_slow and fast_val > slow_val and self.Position <= 0:
if self.Position < 0:
self.BuyMarket()
self.BuyMarket()
self._entry_price = close
self._cooldown = 100
elif self._prev_fast >= self._prev_slow and fast_val < slow_val and self.Position >= 0:
if self.Position > 0:
self.SellMarket()
self.SellMarket()
self._entry_price = close
self._cooldown = 100
self._prev_fast = fast_val
self._prev_slow = slow_val
def CreateClone(self):
return e_friday_strategy()