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Cho With Flat Strategy

This strategy trades based on the crossover of the Chaikin Oscillator and its moving average. A Bollinger Bands filter is used to avoid trading during flat markets.

Parameters

  • Candle Type – timeframe of input candles.
  • Fast Period – fast period of the Chaikin Oscillator.
  • Slow Period – slow period of the Chaikin Oscillator.
  • MA Period – period of the moving average applied to the oscillator.
  • MA Type – moving average type for the signal line.
  • Bollinger Period – period of the Bollinger Bands.
  • Std Deviation – standard deviation for the Bollinger Bands.
  • Flat Threshold – minimal band width (in points) to consider market active.

Trading Logic

  1. Calculate Chaikin Oscillator and its moving average.
  2. Build Bollinger Bands on price for flat market detection.
  3. Skip trades if the Bollinger band width is below Flat Threshold.
  4. Buy when the oscillator crosses below its signal line.
  5. Sell when the oscillator crosses above its signal line.

The position direction always follows the latest crossover while the flat filter prevents trading in sideways market conditions.

using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Chaikin-style oscillator strategy with flat filter.
/// Uses difference between fast and slow EMA as oscillator, EMA as signal line,
/// and Bollinger Bands to detect flat market.
/// </summary>
public class ChoWithFlatStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _stdDeviation;
	private readonly StrategyParam<decimal> _flatThreshold;

	private ExponentialMovingAverage _fastEma;
	private ExponentialMovingAverage _slowEma;
	private ExponentialMovingAverage _signalEma;
	private decimal _prevOsc;
	private decimal _prevSignal;
	private bool _isInitialized;

	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 int SignalPeriod { get => _signalPeriod.Value; set => _signalPeriod.Value = value; }
	public int BollingerPeriod { get => _bollingerPeriod.Value; set => _bollingerPeriod.Value = value; }
	public decimal StdDeviation { get => _stdDeviation.Value; set => _stdDeviation.Value = value; }
	public decimal FlatThreshold { get => _flatThreshold.Value; set => _flatThreshold.Value = value; }

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

		_fastPeriod = Param(nameof(FastPeriod), 3)
			.SetDisplay("Fast Period", "Fast EMA period", "Indicator");

		_slowPeriod = Param(nameof(SlowPeriod), 10)
			.SetDisplay("Slow Period", "Slow EMA period", "Indicator");

		_signalPeriod = Param(nameof(SignalPeriod), 9)
			.SetDisplay("Signal Period", "Signal line EMA period", "Indicator");

		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetDisplay("Bollinger Period", "Period for Bollinger Bands", "Flat Filter");

		_stdDeviation = Param(nameof(StdDeviation), 2.0m)
			.SetDisplay("Std Deviation", "Deviation for Bollinger Bands", "Flat Filter");

		_flatThreshold = Param(nameof(FlatThreshold), 0.005m)
			.SetDisplay("Flat Threshold", "Minimum band width ratio to detect trending", "Flat Filter");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_fastEma = default;
		_slowEma = default;
		_signalEma = default;
		_prevOsc = 0;
		_prevSignal = 0;
		_isInitialized = false;
	}

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

		_fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		_slowEma = new ExponentialMovingAverage { Length = SlowPeriod };
		_signalEma = new ExponentialMovingAverage { Length = SignalPeriod };

		Indicators.Add(_fastEma);
		Indicators.Add(_slowEma);
		Indicators.Add(_signalEma);

		var bollinger = new BollingerBands { Length = BollingerPeriod, Width = StdDeviation };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bollinger, ProcessCandle)
			.Start();

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

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

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upperBand ||
			bb.LowBand is not decimal lowerBand ||
			bb.MovingAverage is not decimal middleBand)
			return;

		var fastResult = _fastEma.Process(candle.ClosePrice, candle.OpenTime, true);
		var slowResult = _slowEma.Process(candle.ClosePrice, candle.OpenTime, true);

		if (!fastResult.IsFormed || !slowResult.IsFormed)
			return;

		var oscValue = fastResult.ToDecimal() - slowResult.ToDecimal();

		var sigResult = _signalEma.Process(oscValue, candle.OpenTime, true);
		if (!sigResult.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var signalValue = sigResult.ToDecimal();

		if (!_isInitialized)
		{
			_prevOsc = oscValue;
			_prevSignal = signalValue;
			_isInitialized = true;
			return;
		}

		var bandWidth = upperBand - lowerBand;
		if (middleBand != 0 && (bandWidth / middleBand) < FlatThreshold)
		{
			_prevOsc = oscValue;
			_prevSignal = signalValue;
			return;
		}

		var wasAbove = _prevOsc > _prevSignal;
		var isAbove = oscValue > signalValue;

		if (!wasAbove && isAbove)
		{
			if (Position <= 0)
				BuyMarket();
		}
		else if (wasAbove && !isAbove)
		{
			if (Position >= 0)
				SellMarket();
		}

		_prevOsc = oscValue;
		_prevSignal = signalValue;
	}
}