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Overnight Positioning with EMA Strategy

Enters a long position shortly before the selected market closes and exits after the market opens. An optional EMA filter confirms entries. The strategy supports US, Asian, and European sessions and closes any open position before the weekend.

Details

  • Entry: Minutes before market close when price is above EMA (if enabled).
  • Exit: After market open for the specified minutes or five minutes before Friday close.
  • Market: US, Asia, or Europe.
  • Indicator: EMA.
  • Direction: Long only.
  • Stops: None.
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class OvernightPositioningEmaStrategy : Strategy
{
	private readonly StrategyParam<int> _emaLen;
	private readonly StrategyParam<DataType> _candle;

	private DateTime _currentDay;
	private bool _tradeTakenToday;

	public int EmaLength { get => _emaLen.Value; set => _emaLen.Value = value; }
	public DataType CandleType { get => _candle.Value; set => _candle.Value = value; }

	public OvernightPositioningEmaStrategy()
	{
		_emaLen = Param(nameof(EmaLength), 100).SetGreaterThanZero();
		_candle = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_currentDay = default;
		_tradeTakenToday = false;
	}

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

		_currentDay = default;
		_tradeTakenToday = false;

		var ema = new ExponentialMovingAverage { Length = EmaLength };
		var sub = SubscribeCandles(CandleType);
		sub.Bind(ema, (candle, emaVal) =>
		{
			if (candle.State != CandleStates.Finished)
				return;

			if (!ema.IsFormed)
				return;

			var day = candle.OpenTime.Date;
			if (_currentDay != day)
			{
				_currentDay = day;
				_tradeTakenToday = false;
			}

			if (_tradeTakenToday)
				return;

			var hour = candle.OpenTime.Hour;

			// Buy near end of day if above EMA
			if (hour >= 15 && hour < 16 && candle.ClosePrice > emaVal && Position <= 0)
			{
				BuyMarket();
				_tradeTakenToday = true;
			}
			// Sell near start of day
			else if (hour >= 9 && hour < 10 && Position > 0)
			{
				SellMarket();
				_tradeTakenToday = true;
			}
		}).Start();

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