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X Trader V3 Strategy

This strategy trades crossovers between two median price moving averages. The first moving average is longer and shifted, while the second is short. A long position is opened when the first moving average crosses below the second and remains below for two bars after being above two bars ago. A short position is opened on the opposite crossover. Positions can be closed on reverse signals. Trading is limited to a specified intraday time window. Optional protective stops are available.

Details

  • Entry Criteria:
    • Median price SMA(Ma1Period) crosses below median price SMA(Ma2Period) and stays below for two bars ⇒ buy when AllowBuy is true.
    • Median price SMA(Ma1Period) crosses above median price SMA(Ma2Period) and stays above for two bars ⇒ sell when AllowSell is true.
    • Candle time between StartTime and EndTime.
  • Long/Short: Both.
  • Exit Criteria:
    • Opposite crossover when CloseOnReverseSignal is true.
  • Stops:
    • Optional take profit and stop loss in ticks via TakeProfitTicks and StopLossTicks.
  • Default Values:
    • Ma1Period = 16
    • Ma2Period = 1
    • TakeProfitTicks = 150
    • StopLossTicks = 100
  • Filters:
    • Category: Crossover
    • Direction: Both
    • Indicators: SMA
    • Stops: Optional
    • Complexity: Low
    • Timeframe: Any
    • 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>
/// X Trader V3 strategy based on EMA crossover.
/// </summary>
public class XTraderV3Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }

	public XTraderV3Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Indicators");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		SubscribeCandles(CandleType)
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastVal > slowVal;
		var crossDown = _prevFast >= _prevSlow && fastVal < slowVal;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}