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EMA50 Crossover Monthly DCA Strategy

EMA50 Crossover Monthly DCA buys when price closes above the 50-period EMA and accumulates additional positions each month. Uninvested DCA amounts are stored as cash and deployed once the trend resumes.

The strategy sells when price falls below the EMA, exiting the position.

Details

  • Entry Criteria: close > EMA(50)
  • Long/Short: Long only
  • Exit Criteria: price crosses below EMA(50)
  • Stops: No
  • Default Values:
    • CandleType = 1 week
    • DcaAmount = 100000
    • StartDate = 1980-01-01
  • Filters:
    • Category: Trend following
    • Direction: Long
    • Indicators: EMA
    • Stops: No
    • Complexity: Beginner
    • Timeframe: Long-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// 50 EMA crossover strategy.
/// Buys when price crosses above EMA 50.
/// Sells when price crosses below EMA 50.
/// Uses RSI as momentum filter.
/// </summary>
public class Ema50CrossoverMonthlyDcaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ema;
	private RelativeStrengthIndex _rsi;
	private decimal _prevClose;
	private decimal _prevEma;
	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public Ema50CrossoverMonthlyDcaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period", "Indicators");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_ema = null;
		_rsi = null;
		_prevClose = 0;
		_prevEma = 0;
		_cooldownRemaining = 0;
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaLength };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ema, _rsi, ProcessCandle)
			.Start();

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

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

		if (!_ema.IsFormed || !_rsi.IsFormed)
		{
			_prevClose = candle.ClosePrice;
			_prevEma = emaValue;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevClose = candle.ClosePrice;
			_prevEma = emaValue;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = candle.ClosePrice;
			_prevEma = emaValue;
			return;
		}

		var close = candle.ClosePrice;

		// Buy: price crosses above EMA + RSI not overbought
		var bullCross = _prevClose > 0 && _prevClose <= _prevEma && close > emaValue;
		if (bullCross && rsiValue < 70 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: price crosses below EMA + RSI not oversold
		else if (_prevClose > 0 && _prevClose >= _prevEma && close < emaValue && rsiValue > 30 && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: deep below EMA
		else if (Position > 0 && close < emaValue * 0.98m)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: deep above EMA
		else if (Position < 0 && close > emaValue * 1.02m)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevClose = close;
		_prevEma = emaValue;
	}
}