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Crypto Strategy SUSDT 10 min

A simple EMA crossover strategy that enters long when price closes above the EMA and opens below it, and enters short on the opposite condition. Stop loss and take profit are defined as percentages from the entry price.

Details

  • Entry Criteria:
    • Long: close > EMA and open < EMA
    • Short: close < EMA and open > EMA
  • Long/Short: Both sides.
  • Exit Criteria: Take profit or stop loss.
  • Stops: Yes, both take profit and stop loss.
  • Default Values:
    • CandleType = 10 minute
    • EmaLength = 24
    • TakeProfitPercent = 4
    • StopLossPercent = 2
    • OrderPercent = 30
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: EMA
    • Stops: Yes
    • Complexity: Low
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Crypto SUSDT 10 min strategy.
/// A candle that opens below the EMA and closes above it buys, one that opens above the EMA and closes below it sells short,
/// reversing an opposite position. Every trade is closed by a TakeProfitPercent target or a StopLossPercent stop.
/// </summary>
public class CryptoSusdt10MinStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _orderPercent;

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

	/// <summary>
	/// Take profit percentage from entry price.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Percent of equity per order (informational; the strategy trades Volume).
	/// </summary>
	public decimal OrderPercent
	{
		get => _orderPercent.Value;
		set => _orderPercent.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public CryptoSusdt10MinStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(10).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_emaLength = Param(nameof(EmaLength), 24)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA length", "Indicators");

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 4m)
			.SetNotNegative()
			.SetDisplay("Take Profit %", "Take profit percentage from entry price", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_orderPercent = Param(nameof(OrderPercent), 30m)
			.SetGreaterThanZero()
			.SetDisplay("Order %", "Percent of equity per order", "Risk");
	}

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

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

		var ema = new ExponentialMovingAverage { Length = EmaLength };

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

		StartProtection(
			TakeProfitPercent > 0 ? new Unit(TakeProfitPercent, UnitTypes.Percent) : new Unit(),
			StopLossPercent > 0 ? new Unit(StopLossPercent, UnitTypes.Percent) : new Unit(),
			useMarketOrders: true);

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (candle.ClosePrice > ema && candle.OpenPrice < ema && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (candle.ClosePrice < ema && candle.OpenPrice > ema && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}