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SMA Trend Filter Strategy

Multi-timeframe strategy that analyzes the slope of five simple moving averages (periods 5, 8, 13, 21, 34) on three timeframes (15m, 1h, 4h). It calculates bullish and bearish scores for each timeframe and trades when all timeframes align in one direction.

Details

  • Entry Criteria:
    • Long: all three timeframes show at least 50% of SMAs rising
    • Short: all three timeframes show at least 50% of SMAs falling
  • Long/Short: Both
  • Exit Criteria: Opposite signal based on close level
  • Stops: No
  • Default Values:
    • OpenLevel = 0
    • CloseLevel = 0
    • CandleType1 = TimeSpan.FromMinutes(15).TimeFrame()
    • CandleType2 = TimeSpan.FromHours(1).TimeFrame()
    • CandleType3 = TimeSpan.FromHours(4).TimeFrame()
  • Filters:
    • Category: Trend-following
    • Direction: Both
    • Indicators: SMA
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Multi-timeframe
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Multi-timeframe SimpleMovingAverage trend filter strategy.
/// Uses three groups of SMAs on three timeframes.
/// When majority of SMAs across timeframes agree on direction, opens position.
/// </summary>
public class SmaTrendFilterStrategy : Strategy
{
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType1;
	private readonly StrategyParam<DataType> _candleType2;
	private readonly StrategyParam<DataType> _candleType3;

	// Timeframe 1 SMAs
	private readonly SimpleMovingAverage _sma1_5 = new() { Length = 5 };
	private readonly SimpleMovingAverage _sma1_8 = new() { Length = 8 };
	private readonly SimpleMovingAverage _sma1_13 = new() { Length = 13 };
	private readonly SimpleMovingAverage _sma1_21 = new() { Length = 21 };
	private readonly SimpleMovingAverage _sma1_34 = new() { Length = 34 };

	// Timeframe 2 SMAs
	private readonly SimpleMovingAverage _sma2_5 = new() { Length = 5 };
	private readonly SimpleMovingAverage _sma2_8 = new() { Length = 8 };
	private readonly SimpleMovingAverage _sma2_13 = new() { Length = 13 };
	private readonly SimpleMovingAverage _sma2_21 = new() { Length = 21 };
	private readonly SimpleMovingAverage _sma2_34 = new() { Length = 34 };

	// Timeframe 3 SMAs
	private readonly SimpleMovingAverage _sma3_5 = new() { Length = 5 };
	private readonly SimpleMovingAverage _sma3_8 = new() { Length = 8 };
	private readonly SimpleMovingAverage _sma3_13 = new() { Length = 13 };
	private readonly SimpleMovingAverage _sma3_21 = new() { Length = 21 };
	private readonly SimpleMovingAverage _sma3_34 = new() { Length = 34 };

	// Previous values for each SMA per timeframe (5 per tf)
	private decimal _prev1_0, _prev1_1, _prev1_2, _prev1_3, _prev1_4;
	private decimal _prev2_0, _prev2_1, _prev2_2, _prev2_3, _prev2_4;
	private decimal _prev3_0, _prev3_1, _prev3_2, _prev3_3, _prev3_4;

	// Trend scores per timeframe
	private decimal _uitog0, _uitog1, _uitog2;
	private decimal _ditog0, _ditog1, _ditog2;
	private bool _isReady0, _isReady1, _isReady2;

	private int _signal;
	private int _barsSinceTrade;

	/// <summary>
	/// Minimum number of primary timeframe bars between orders.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Primary timeframe for calculations.
	/// </summary>
	public DataType CandleType1
	{
		get => _candleType1.Value;
		set => _candleType1.Value = value;
	}

	/// <summary>
	/// Secondary timeframe for calculations.
	/// </summary>
	public DataType CandleType2
	{
		get => _candleType2.Value;
		set => _candleType2.Value = value;
	}

	/// <summary>
	/// Tertiary timeframe for calculations.
	/// </summary>
	public DataType CandleType3
	{
		get => _candleType3.Value;
		set => _candleType3.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public SmaTrendFilterStrategy()
	{
		_cooldownBars = Param(nameof(CooldownBars), 200)
			.SetDisplay("Cooldown Bars", "Minimum number of primary timeframe bars between orders", "Trading");
		_candleType1 = Param(nameof(CandleType1), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type 1", "Primary timeframe", "General");
		_candleType2 = Param(nameof(CandleType2), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type 2", "Secondary timeframe", "General");
		_candleType3 = Param(nameof(CandleType3), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type 3", "Tertiary timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_signal = 0;
		_barsSinceTrade = 0;

		_prev1_0 = _prev1_1 = _prev1_2 = _prev1_3 = _prev1_4 = 0m;
		_prev2_0 = _prev2_1 = _prev2_2 = _prev2_3 = _prev2_4 = 0m;
		_prev3_0 = _prev3_1 = _prev3_2 = _prev3_3 = _prev3_4 = 0m;

		_uitog0 = _uitog1 = _uitog2 = 0m;
		_ditog0 = _ditog1 = _ditog2 = 0m;
		_isReady0 = _isReady1 = _isReady2 = false;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType1), (Security, CandleType2), (Security, CandleType3)];
	}

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

		var sub1 = SubscribeCandles(CandleType1);
		sub1.Bind(_sma1_5, _sma1_8, _sma1_13, _sma1_21, _sma1_34, ProcessTf1).Start();

		var sub2 = SubscribeCandles(CandleType2);
		sub2.Bind(_sma2_5, _sma2_8, _sma2_13, _sma2_21, _sma2_34, ProcessTf2).Start();

		var sub3 = SubscribeCandles(CandleType3);
		sub3.Bind(_sma3_5, _sma3_8, _sma3_13, _sma3_21, _sma3_34, ProcessTf3).Start();
	}

	private void ProcessTf1(ICandleMessage candle, decimal v0, decimal v1, decimal v2, decimal v3, decimal v4)
	{
		if (candle.State != CandleStates.Finished)
			return;

		ProcessTfValues(0, v0, v1, v2, v3, v4);

		if (_isReady0)
		{
			_barsSinceTrade++;
			EvaluateSignal();
		}
	}

	private void ProcessTf2(ICandleMessage candle, decimal v0, decimal v1, decimal v2, decimal v3, decimal v4)
	{
		if (candle.State != CandleStates.Finished)
			return;

		ProcessTfValues(1, v0, v1, v2, v3, v4);
	}

	private void ProcessTf3(ICandleMessage candle, decimal v0, decimal v1, decimal v2, decimal v3, decimal v4)
	{
		if (candle.State != CandleStates.Finished)
			return;

		ProcessTfValues(2, v0, v1, v2, v3, v4);
	}

	private void ProcessTfValues(int tfIndex, decimal v0, decimal v1, decimal v2, decimal v3, decimal v4)
	{
		var vals = new[] { v0, v1, v2, v3, v4 };

		for (var i = 0; i < 5; i++)
		{
			if (vals[i] == 0m)
				return;
		}

		// Get previous values
		decimal p0, p1, p2, p3, p4;
		switch (tfIndex)
		{
			case 0: p0 = _prev1_0; p1 = _prev1_1; p2 = _prev1_2; p3 = _prev1_3; p4 = _prev1_4; break;
			case 1: p0 = _prev2_0; p1 = _prev2_1; p2 = _prev2_2; p3 = _prev2_3; p4 = _prev2_4; break;
			default: p0 = _prev3_0; p1 = _prev3_1; p2 = _prev3_2; p3 = _prev3_3; p4 = _prev3_4; break;
		}

		var prevs = new[] { p0, p1, p2, p3, p4 };
		var isReady = true;

		for (var i = 0; i < 5; i++)
		{
			if (prevs[i] == 0m)
				isReady = false;
		}

		// Store current values
		switch (tfIndex)
		{
			case 0: _prev1_0 = v0; _prev1_1 = v1; _prev1_2 = v2; _prev1_3 = v3; _prev1_4 = v4; break;
			case 1: _prev2_0 = v0; _prev2_1 = v1; _prev2_2 = v2; _prev2_3 = v3; _prev2_4 = v4; break;
			default: _prev3_0 = v0; _prev3_1 = v1; _prev3_2 = v2; _prev3_3 = v3; _prev3_4 = v4; break;
		}

		if (!isReady)
			return;

		var up = 0;
		var down = 0;

		for (var i = 0; i < 5; i++)
		{
			if (vals[i] > prevs[i])
				up++;
			else if (vals[i] < prevs[i])
				down++;
		}

		var upPct = up / 5m * 100m;
		var downPct = down / 5m * 100m;

		switch (tfIndex)
		{
			case 0: _uitog0 = upPct; _ditog0 = downPct; _isReady0 = true; break;
			case 1: _uitog1 = upPct; _ditog1 = downPct; _isReady1 = true; break;
			default: _uitog2 = upPct; _ditog2 = downPct; _isReady2 = true; break;
		}
	}

	private void EvaluateSignal()
	{
		if (!_isReady0 || !_isReady1 || !_isReady2)
			return;

		// Compute average trend strength across all 3 timeframes
		var avgUp = (_uitog0 + _uitog1 + _uitog2) / 3m;
		var avgDown = (_ditog0 + _ditog1 + _ditog2) / 3m;

		// Determine signal based on average trend strength
		_signal = 0;

		if (avgUp >= 80m)
			_signal = 2;
		else if (avgDown >= 80m)
			_signal = -2;
		else if (avgUp >= 60m)
			_signal = 1;
		else if (avgDown >= 60m)
			_signal = -1;

		if (_barsSinceTrade < CooldownBars)
			return;

		// Close logic: close when signal reverses strongly
		if (Position > 0 && _signal <= -2)
		{
			SellMarket();
			_barsSinceTrade = 0;
			return;
		}

		if (Position < 0 && _signal >= 2)
		{
			BuyMarket();
			_barsSinceTrade = 0;
			return;
		}

		// Open logic: open when signal is strong (level 2)
		if (_signal >= 2 && Position <= 0)
		{
			BuyMarket();
			_barsSinceTrade = 0;
		}
		else if (_signal <= -2 && Position >= 0)
		{
			SellMarket();
			_barsSinceTrade = 0;
		}
	}
}