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Ema50 Crossover Monthly Dca

Trading rules

Use finished weekly candles and a formed EmaLength EMA of closes, seeded with its first complete-window arithmetic mean. Eligible closes begin at StartDate. Credit DcaAmount once in the first observed eligible calendar month and for elapsed months thereafter, including during EMA warmup. Do not fabricate decades of contributions before the first observed candle. Above EMA invest accumulated cash in native rounded units; below EMA sell the whole actual long; equality holds. Cash tracks gross actual fills and sale proceeds; it is a strategy allocation ledger, not an account deposit or financing model. Await pending orders, respect volume limits, remain long-only and retain unspent cash. No RSI filter, cooldown or protective stops.

Parameters

Parameter Default
CandleType TimeSpan.FromMinutes(10080).TimeFrame()
EmaLength 50
DcaAmount 100000
StartDate 1980-01-01

Verification

Both languages are checked with the packaged BTC/TON history, independent formulas, actual order sides/quantities, fills, positions and exits. Dated price/factor and calendar fixtures test mechanics; relocated OHLC/volume is not multi-year market history. Two rank buckets, TopN=1 and SMA=2 are explicit small-universe test profiles. Published long lookbacks/defaults are checked separately. No profitability claim is made.

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using System.Globalization;
using System.IO;
using System.Linq;

using Ecng.Common;

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

/// <summary>Monthly cash contributions invested above a formed weekly EMA, with complete long exits below it.</summary>
public class Ema50CrossoverMonthlyDcaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<decimal> _dcaAmount;
	private readonly StrategyParam<DateTime> _startDate;
	private Order _pending;
	private ExponentialMovingAverage _ema;
	private decimal _cash;
	private int _lastMonth;
	/// <summary>Finished signal candle type.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>Weekly close EMA length.</summary>
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }

	/// <summary>Cash contribution per observed calendar month.</summary>
	public decimal DcaAmount { get => _dcaAmount.Value; set => _dcaAmount.Value = value; }

	/// <summary>Earliest eligible historical candle close.</summary>
	public DateTime StartDate { get => _startDate.Value; set => _startDate.Value = value; }

	/// <summary>Initialize the strategy parameters.</summary>
	public Ema50CrossoverMonthlyDcaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(10080).TimeFrame())
			.SetDisplay("CandleType", "Finished signal candle type.", "Parameters");
		_emaLength = Param(nameof(EmaLength), 50).SetRange(1, int.MaxValue)
			.SetDisplay("EmaLength", "Weekly close EMA length.", "Parameters");
		_dcaAmount = Param(nameof(DcaAmount), 100000m).SetRange(0.000001m, decimal.MaxValue)
			.SetDisplay("DcaAmount", "Cash contribution per observed calendar month.", "Parameters");
		_startDate = Param(nameof(StartDate), new DateTime(1980, 1, 1))
			.SetDisplay("StartDate", "Earliest eligible historical candle close.", "Parameters");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_pending = null;
		_ema = null;
		_cash = 0m;
		_lastMonth = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		if (Security.VolumeStep is not > 0m || Security.MinVolume is not > 0m || Security.MaxVolume is not > 0m)
			throw new InvalidOperationException("Execution security needs native volume constraints.");
		base.OnStarted2(time);
		_ema = new ExponentialMovingAverage { Length = EmaLength };
		SubscribeCandles(CandleType).Bind(_ema, ProcessCandle).Start();
	}

	private bool IsPending => _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed);

	private void Submit(Sides side, decimal quantity, string comment)
	{
		_pending = CreateOrder(side, 0m, quantity);
		_pending.Type = OrderTypes.Market;
		_pending.Comment = comment;
		RegisterOrder(_pending);
	}

	private void ProcessCandle(ICandleMessage candle, decimal ema)
	{
		if (candle.State != CandleStates.Finished || candle.CloseTime < StartDate || candle.ClosePrice <= 0m) return;
		var month = candle.CloseTime.Year * 12 + candle.CloseTime.Month;
		if (month > _lastMonth)
		{
			_cash += DcaAmount * (_lastMonth == 0 ? 1 : month - _lastMonth);
			_lastMonth = month;
		}
		if (!_ema.IsFormed || IsPending || !IsFormedAndOnlineAndAllowTrading()) return;
		if (candle.ClosePrice < ema && Position > 0m)
			Submit(Sides.Sell, Position, "0485Exit");
		else if (candle.ClosePrice > ema)
		{
			var quantity = Math.Floor(Math.Min(_cash / candle.ClosePrice, Security.MaxVolume.Value) / Security.VolumeStep.Value) * Security.VolumeStep.Value;
			if (quantity >= Security.MinVolume.Value)
				Submit(Sides.Buy, quantity, "0485Dca");
		}
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);
		_cash += (trade.Order.Side == Sides.Buy ? -1m : 1m) * trade.Trade.Price * trade.Trade.Volume;
	}

}