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MAVA Xonax Strategy

This strategy uses exponential moving averages of open and close prices to detect direction changes. Stop loss and take profit distances are derived from high and low EMAs, ensuring trades have predefined risk and reward levels.

Details

  • Entry Criteria:
    • Long: EMA of open crosses above EMA of close using the last two completed bars.
    • Short: EMA of open crosses below EMA of close using the last two completed bars.
  • Long/Short: Both
  • Stops: Fixed stop loss and take profit based on EMA ranges.
  • Default Values:
    • EmaPeriod = 6
    • CandleType = TimeSpan.FromMinutes(240).TimeFrame()
  • Filters:
    • Category: Reversal
    • Direction: Both
    • Indicators: EMA
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Long-term
    • 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>
/// MAVA Xonax: crossing of the OPEN-price EMA above/below the CLOSE-price EMA
/// on the two most recently completed candles. High/low EMA values set initial risk.
/// </summary>
public class MavaXonaxStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private EMA _emaOpen, _emaClose, _emaHigh, _emaLow;
	private decimal _previousOpen, _previousClose;
	private bool _havePrevious;
	private decimal _longStop, _longTake, _shortStop, _shortTake;
	private int _cooldownRemaining;

	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MavaXonaxStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 6).SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "General");
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 1).SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait after entry or exit", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(240).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_emaOpen = _emaClose = _emaHigh = _emaLow = null;
		_havePrevious = false;
		_previousOpen = _previousClose = 0m;
		_longStop = _longTake = _shortStop = _shortTake = 0m;
		_cooldownRemaining = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_emaOpen = new EMA { Length = EmaPeriod };
		_emaClose = new EMA { Length = EmaPeriod };
		_emaHigh = new EMA { Length = EmaPeriod };
		_emaLow = new EMA { Length = EmaPeriod };
		_havePrevious = false;
		_cooldownRemaining = 0;
		SubscribeCandles(CandleType).Bind(_emaClose, ProcessCandle).Start();
	}

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

		var coolingDown = _cooldownRemaining > 0;
		if (coolingDown)
			_cooldownRemaining--;

		var open = _emaOpen.Process(candle.OpenPrice, candle.ServerTime, true);
		var high = _emaHigh.Process(candle.HighPrice, candle.ServerTime, true);
		var low = _emaLow.Process(candle.LowPrice, candle.ServerTime, true);
		if (!open.IsFinal || !high.IsFinal || !low.IsFinal)
			return;

		var openEma = open.ToDecimal();
		var highEma = high.ToDecimal();
		var lowEma = low.ToDecimal();
		var formed = _emaOpen.IsFormed && _emaClose.IsFormed && _emaHigh.IsFormed && _emaLow.IsFormed;
		var closed = false;

		// Preliminary candle-close protection: true intrabar execution still needs native replay.
		if (Position > 0m && (candle.ClosePrice <= _longStop || candle.ClosePrice >= _longTake))
		{
			SellMarket(Position); // Exit the entire actual position, never just the default order size.
			_cooldownRemaining = SignalCooldownBars;
			closed = true;
		}
		else if (Position < 0m && (candle.ClosePrice >= _shortStop || candle.ClosePrice <= _shortTake))
		{
			BuyMarket(-Position);
			_cooldownRemaining = SignalCooldownBars;
			closed = true;
		}

		if (formed && _havePrevious && !closed && !coolingDown && _cooldownRemaining == 0 && Position == 0m && IsFormedAndOnlineAndAllowTrading())
		{
			var crossUp = _previousOpen <= _previousClose && openEma > closeEma;
			var crossDown = _previousOpen >= _previousClose && openEma < closeEma;
			var step = Security.PriceStep is > 0m ? Security.PriceStep.Value : 1m;

			if (crossUp || crossDown)
			{
				var takeDistance = Math.Max(highEma - lowEma, 600m * step);
				var stopDistance = crossUp
					? Math.Clamp(2m * (openEma - lowEma), step, 400m * step)
					: Math.Clamp(2m * (highEma - closeEma), step, 400m * step);

				// Candle-close anchor is provisional; actual fill-price anchoring remains unverified.
				if (crossUp)
				{
					_longStop = candle.ClosePrice - stopDistance;
					_longTake = candle.ClosePrice + takeDistance;
					BuyMarket();
				}
				else
				{
					_shortStop = candle.ClosePrice + stopDistance;
					_shortTake = candle.ClosePrice - takeDistance;
					SellMarket();
				}
				_cooldownRemaining = SignalCooldownBars;
			}
		}

		// Only completed-bar EMA values become the reference for the next crossing.
		_previousOpen = openEma;
		_previousClose = closeEma;
		_havePrevious = formed;
	}
}