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Triple Moving Average Crossover Strategy

This strategy trades based on the relationship between three moving averages: fast, medium and slow. It is a conversion of the X3MA_EA_V2_0 MQL expert.

Trading Logic

  • Entry
    • When EnableEntryMediumSlowCross is true, a long position is opened when the medium moving average crosses above the slow one. The inverse crossover triggers a short entry.
    • When the option is false, the strategy waits for the fast average to cross the medium one while both stay on the same side of the slow average. Long positions require fast > medium > slow and short positions require fast < medium < slow.
  • Exit
    • When EnableExitFastSlowCross is true, open positions are closed when the fast and slow averages cross in the opposite direction.

All signals are evaluated on finished candles.

Parameters

Name Description
FastMaLength Period of the fast moving average.
MediumMaLength Period of the medium moving average.
SlowMaLength Period of the slow moving average.
EnableEntryMediumSlowCross Allow entries on medium/slow crossover.
EnableExitFastSlowCross Close positions on fast/slow crossover.
CandleType Timeframe of candles.

Notes

The strategy uses the high-level API with SubscribeCandles and Bind. Indicator values are accessed through the ProcessCandle callback without using GetValue. Protective logic is enabled with StartProtection() in OnStarted.

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>
/// Triple EMA crossover strategy.
/// </summary>
public class X3MaEaV20Strategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _midPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevMid;
	private bool _hasPrev;

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

	public X3MaEaV20Strategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA", "Fast EMA period", "MA");
		_midPeriod = Param(nameof(MidPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Mid MA", "Mid EMA period", "MA");
		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA", "Slow EMA period", "MA");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

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

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

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

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

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

		if (!_hasPrev)
		{
			_prevFast = fastVal;
			_prevMid = midVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevMid && fastVal > midVal;
		var crossDown = _prevFast >= _prevMid && fastVal < midVal;

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

		_prevFast = fastVal;
		_prevMid = midVal;
	}
}