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EA Moving Average Strategy

Overview

Converted from the MetaTrader expert advisor "EA Moving Average" (barabashkakvn edition).
Uses four independent moving averages to control long and short entries and exits.
Designed for a single symbol in netting mode. The default candle type is 15‑minute time frame, but any regular candle type can be selected.
The strategy opens at most one position at a time. While a position is active, only the exit rules are evaluated.

Trading Logic

Long Entry

The current candle must close above the Buy Open moving average after opening below it (true crossover inside a single bar).
UseBuy must be enabled.
If ConsiderPriceLastOut is enabled, the current price must be less than or equal to the price of the last closed trade. This prevents buying back above the most recent exit.
When conditions are satisfied the strategy submits a market buy order sized by the risk model.

Long Exit

Active only while the net position is long.
The candle must open above the Buy Close moving average and close back below it, signalling a bearish crossover.
When triggered the entire position is closed with a market order.

Short Entry

The candle must close below the Sell Open moving average after opening above it.
UseSell must be enabled.
If ConsiderPriceLastOut is enabled, the current price must be greater than or equal to the last exit price. This avoids shorting lower than the previous cover.
An at-market sell order is submitted using the risk-based volume.

Short Exit

Active only while the position is short.
The candle must open below the Sell Close moving average and close above it.
The short position is fully covered at market.

Risk and Position Sizing

MaximumRisk expresses the risk capital per trade as a fraction of portfolio equity. The strategy divides this risk amount by the current price to obtain a raw volume estimate.
DecreaseFactor emulates the original MetaTrader lot reduction. After two or more consecutive losing trades the volume is reduced proportionally to the loss streak divided by DecreaseFactor.
Volumes are aligned to the instrument volume step and never drop below one step. If the risk calculation fails, the fallback is the strategy Volume property (default 1 contract/lot).

Parameters

Parameter	Default	Description
`MaximumRisk`	`0.02`	Fraction of equity risked per trade.
`DecreaseFactor`	`3`	Lot reduction factor after consecutive losses. Use `0` to disable.
`BuyOpenPeriod`	`30`	Period of the moving average used for long entries.
`BuyOpenShift`	`3`	Forward shift (bars) applied to the long entry moving average.
`BuyOpenMethod`	`Exponential`	Moving average method for long entries (`Simple`, `Exponential`, `Smoothed`, `LinearWeighted`).
`BuyOpenPrice`	`Close`	Price input for the long entry moving average.
`BuyClosePeriod`	`14`	Period of the long exit moving average.
`BuyCloseShift`	`3`	Shift (bars) applied to the long exit moving average.
`BuyCloseMethod`	`Exponential`	Method of the long exit moving average.
`BuyClosePrice`	`Close`	Price input for the long exit moving average.
`SellOpenPeriod`	`30`	Period of the short entry moving average.
`SellOpenShift`	`0`	Shift (bars) applied to the short entry moving average.
`SellOpenMethod`	`Exponential`	Method of the short entry moving average.
`SellOpenPrice`	`Close`	Price input for the short entry moving average.
`SellClosePeriod`	`20`	Period of the short exit moving average.
`SellCloseShift`	`2`	Shift (bars) applied to the short exit moving average.
`SellCloseMethod`	`Exponential`	Method of the short exit moving average.
`SellClosePrice`	`Close`	Price input for the short exit moving average.
`UseBuy`	`true`	Enable or disable long trades.
`UseSell`	`true`	Enable or disable short trades.
`ConsiderPriceLastOut`	`true`	Require price improvement relative to the last exit before re-entering.
`CandleType`	`15m` time frame	Candle series used for calculations.

Additional Notes

The last exit price and consecutive loss counter are tracked from trade executions, mirroring the MetaTrader behaviour.
Because StockSharp executes on finished candles, the entry price filter compares against the candle close price, which approximates the original tick-based ask/bid comparison.
The strategy assumes a netting account; hedging multiple positions simultaneously is not supported.
Always validate the configuration with historical tests before trading live capital.

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;
using Ecng.Logging;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Conversion of the "EA Moving Average" MetaTrader strategy.
/// Uses four configurable moving averages to define entry and exit rules for long and short trades.
/// Risk per trade is managed through a fixed percentage of account equity with optional lot reduction after consecutive losses.
/// </summary>
public class EaMovingAverageStrategy : Strategy
{
	/// <summary>
	/// Moving average calculation methods supported by the strategy.
	/// </summary>
	public enum MaMethods
	{
		Simple,
		Exponential,
		Smoothed,
		LinearWeighted
	}

	/// <summary>
	/// Price inputs supported by the moving average calculations.
	/// </summary>
	public enum MaPriceTypes
	{
		Close,
		Open,
		High,
		Low,
		Median,
		Typical,
		Weighted
	}
	private readonly StrategyParam<decimal> _maximumRisk;
	private readonly StrategyParam<decimal> _decreaseFactor;

	private readonly StrategyParam<int> _buyOpenPeriod;
	private readonly StrategyParam<int> _buyOpenShift;
	private readonly StrategyParam<MaMethods> _buyOpenMethod;
	private readonly StrategyParam<MaPriceTypes> _buyOpenPrice;

	private readonly StrategyParam<int> _buyClosePeriod;
	private readonly StrategyParam<int> _buyCloseShift;
	private readonly StrategyParam<MaMethods> _buyCloseMethod;
	private readonly StrategyParam<MaPriceTypes> _buyClosePrice;

	private readonly StrategyParam<int> _sellOpenPeriod;
	private readonly StrategyParam<int> _sellOpenShift;
	private readonly StrategyParam<MaMethods> _sellOpenMethod;
	private readonly StrategyParam<MaPriceTypes> _sellOpenPrice;

	private readonly StrategyParam<int> _sellClosePeriod;
	private readonly StrategyParam<int> _sellCloseShift;
	private readonly StrategyParam<MaMethods> _sellCloseMethod;
	private readonly StrategyParam<MaPriceTypes> _sellClosePrice;

	private readonly StrategyParam<bool> _useBuy;
	private readonly StrategyParam<bool> _useSell;
	private readonly StrategyParam<bool> _considerPriceLastOut;
	private readonly StrategyParam<DataType> _candleType;

	private DecimalLengthIndicator _buyOpenMa;
	private DecimalLengthIndicator _buyCloseMa;
	private DecimalLengthIndicator _sellOpenMa;
	private DecimalLengthIndicator _sellCloseMa;

	private readonly Queue<decimal> _buyOpenBuffer = new();
	private readonly Queue<decimal> _buyCloseBuffer = new();
	private readonly Queue<decimal> _sellOpenBuffer = new();
	private readonly Queue<decimal> _sellCloseBuffer = new();

	private decimal _lastExitPrice;
	private decimal _lastEntryPrice;
	private Sides? _lastEntrySide;
	private decimal _signedPosition;
	private int _consecutiveLosses;

	/// <summary>
	/// Initializes a new instance of the <see cref="EaMovingAverageStrategy"/> class.
	/// </summary>
	public EaMovingAverageStrategy()
	{
		_maximumRisk = Param(nameof(MaximumRisk), 0.02m)
			.SetNotNegative()
			.SetDisplay("Maximum Risk", "Risk per trade as part of equity", "Risk");

		_decreaseFactor = Param(nameof(DecreaseFactor), 3m)
			.SetNotNegative()
			.SetDisplay("Decrease Factor", "Lot reduction factor after losses", "Risk");

		_buyOpenPeriod = Param(nameof(BuyOpenPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("Buy Open MA Period", "Moving average period for buy entries", "Buy Entry")
			
			.SetOptimize(5, 80, 5);

		_buyOpenShift = Param(nameof(BuyOpenShift), 3)
			.SetNotNegative()
			.SetDisplay("Buy Open MA Shift", "Shift in bars for the buy entry MA", "Buy Entry");

		_buyOpenMethod = Param(nameof(BuyOpenMethod), MaMethods.Exponential)
			.SetDisplay("Buy Open MA Method", "Moving average method for buy entries", "Buy Entry");

		_buyOpenPrice = Param(nameof(BuyOpenPrice), MaPriceTypes.Close)
			.SetDisplay("Buy Open Price", "Price type supplied to the buy entry MA", "Buy Entry");

		_buyClosePeriod = Param(nameof(BuyClosePeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Buy Close MA Period", "Moving average period for buy exits", "Buy Exit")
			
			.SetOptimize(5, 60, 5);

		_buyCloseShift = Param(nameof(BuyCloseShift), 3)
			.SetNotNegative()
			.SetDisplay("Buy Close MA Shift", "Shift in bars for the buy exit MA", "Buy Exit");

		_buyCloseMethod = Param(nameof(BuyCloseMethod), MaMethods.Exponential)
			.SetDisplay("Buy Close MA Method", "Moving average method for buy exits", "Buy Exit");

		_buyClosePrice = Param(nameof(BuyClosePrice), MaPriceTypes.Close)
			.SetDisplay("Buy Close Price", "Price type supplied to the buy exit MA", "Buy Exit");

		_sellOpenPeriod = Param(nameof(SellOpenPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("Sell Open MA Period", "Moving average period for sell entries", "Sell Entry")
			
			.SetOptimize(5, 80, 5);

		_sellOpenShift = Param(nameof(SellOpenShift), 0)
			.SetNotNegative()
			.SetDisplay("Sell Open MA Shift", "Shift in bars for the sell entry MA", "Sell Entry");

		_sellOpenMethod = Param(nameof(SellOpenMethod), MaMethods.Exponential)
			.SetDisplay("Sell Open MA Method", "Moving average method for sell entries", "Sell Entry");

		_sellOpenPrice = Param(nameof(SellOpenPrice), MaPriceTypes.Close)
			.SetDisplay("Sell Open Price", "Price type supplied to the sell entry MA", "Sell Entry");

		_sellClosePeriod = Param(nameof(SellClosePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Sell Close MA Period", "Moving average period for sell exits", "Sell Exit")
			
			.SetOptimize(5, 80, 5);

		_sellCloseShift = Param(nameof(SellCloseShift), 2)
			.SetNotNegative()
			.SetDisplay("Sell Close MA Shift", "Shift in bars for the sell exit MA", "Sell Exit");

		_sellCloseMethod = Param(nameof(SellCloseMethod), MaMethods.Exponential)
			.SetDisplay("Sell Close MA Method", "Moving average method for sell exits", "Sell Exit");

		_sellClosePrice = Param(nameof(SellClosePrice), MaPriceTypes.Close)
			.SetDisplay("Sell Close Price", "Price type supplied to the sell exit MA", "Sell Exit");

		_useBuy = Param(nameof(UseBuy), true)
			.SetDisplay("Use Buy", "Enable long trades", "General");

		_useSell = Param(nameof(UseSell), true)
			.SetDisplay("Use Sell", "Enable short trades", "General");

		_considerPriceLastOut = Param(nameof(ConsiderPriceLastOut), true)
			.SetDisplay("Consider Last Exit Price", "Require price improvement before re-entry", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles processed by the strategy", "General");
	}

	/// <summary>
	/// Risk per trade as a fraction of the portfolio equity.
	/// </summary>
	public decimal MaximumRisk
	{
		get => _maximumRisk.Value;
		set => _maximumRisk.Value = value;
	}

	/// <summary>
	/// Lot reduction factor after consecutive losing trades.
	/// </summary>
	public decimal DecreaseFactor
	{
		get => _decreaseFactor.Value;
		set => _decreaseFactor.Value = value;
	}

	/// <summary>
	/// Moving average period for buy entries.
	/// </summary>
	public int BuyOpenPeriod
	{
		get => _buyOpenPeriod.Value;
		set => _buyOpenPeriod.Value = value;
	}

	/// <summary>
	/// Shift in bars for the buy entry moving average.
	/// </summary>
	public int BuyOpenShift
	{
		get => _buyOpenShift.Value;
		set => _buyOpenShift.Value = value;
	}

	/// <summary>
	/// Moving average method for buy entries.
	/// </summary>
	public MaMethods BuyOpenMethod
	{
		get => _buyOpenMethod.Value;
		set => _buyOpenMethod.Value = value;
	}

	/// <summary>
	/// Price type used for the buy entry moving average.
	/// </summary>
	public MaPriceTypes BuyOpenPrice
	{
		get => _buyOpenPrice.Value;
		set => _buyOpenPrice.Value = value;
	}

	/// <summary>
	/// Moving average period for buy exits.
	/// </summary>
	public int BuyClosePeriod
	{
		get => _buyClosePeriod.Value;
		set => _buyClosePeriod.Value = value;
	}

	/// <summary>
	/// Shift in bars for the buy exit moving average.
	/// </summary>
	public int BuyCloseShift
	{
		get => _buyCloseShift.Value;
		set => _buyCloseShift.Value = value;
	}

	/// <summary>
	/// Moving average method for buy exits.
	/// </summary>
	public MaMethods BuyCloseMethod
	{
		get => _buyCloseMethod.Value;
		set => _buyCloseMethod.Value = value;
	}

	/// <summary>
	/// Price type used for the buy exit moving average.
	/// </summary>
	public MaPriceTypes BuyClosePrice
	{
		get => _buyClosePrice.Value;
		set => _buyClosePrice.Value = value;
	}

	/// <summary>
	/// Moving average period for sell entries.
	/// </summary>
	public int SellOpenPeriod
	{
		get => _sellOpenPeriod.Value;
		set => _sellOpenPeriod.Value = value;
	}

	/// <summary>
	/// Shift in bars for the sell entry moving average.
	/// </summary>
	public int SellOpenShift
	{
		get => _sellOpenShift.Value;
		set => _sellOpenShift.Value = value;
	}

	/// <summary>
	/// Moving average method for sell entries.
	/// </summary>
	public MaMethods SellOpenMethod
	{
		get => _sellOpenMethod.Value;
		set => _sellOpenMethod.Value = value;
	}

	/// <summary>
	/// Price type used for the sell entry moving average.
	/// </summary>
	public MaPriceTypes SellOpenPrice
	{
		get => _sellOpenPrice.Value;
		set => _sellOpenPrice.Value = value;
	}

	/// <summary>
	/// Moving average period for sell exits.
	/// </summary>
	public int SellClosePeriod
	{
		get => _sellClosePeriod.Value;
		set => _sellClosePeriod.Value = value;
	}

	/// <summary>
	/// Shift in bars for the sell exit moving average.
	/// </summary>
	public int SellCloseShift
	{
		get => _sellCloseShift.Value;
		set => _sellCloseShift.Value = value;
	}

	/// <summary>
	/// Moving average method for sell exits.
	/// </summary>
	public MaMethods SellCloseMethod
	{
		get => _sellCloseMethod.Value;
		set => _sellCloseMethod.Value = value;
	}

	/// <summary>
	/// Price type used for the sell exit moving average.
	/// </summary>
	public MaPriceTypes SellClosePrice
	{
		get => _sellClosePrice.Value;
		set => _sellClosePrice.Value = value;
	}

	/// <summary>
	/// Enable long trades.
	/// </summary>
	public bool UseBuy
	{
		get => _useBuy.Value;
		set => _useBuy.Value = value;
	}

	/// <summary>
	/// Enable short trades.
	/// </summary>
	public bool UseSell
	{
		get => _useSell.Value;
		set => _useSell.Value = value;
	}

	/// <summary>
	/// Require price improvement relative to the last exit before re-entering.
	/// </summary>
	public bool ConsiderPriceLastOut
	{
		get => _considerPriceLastOut.Value;
		set => _considerPriceLastOut.Value = value;
	}

	/// <summary>
	/// Candle type processed by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_buyOpenBuffer.Clear();
		_buyCloseBuffer.Clear();
		_sellOpenBuffer.Clear();
		_sellCloseBuffer.Clear();

		_lastExitPrice = 0m;
		_lastEntryPrice = 0m;
		_lastEntrySide = null;
		_signedPosition = 0m;
		_consecutiveLosses = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_buyOpenMa = CreateMovingAverage(BuyOpenMethod, BuyOpenPeriod);
		_buyCloseMa = CreateMovingAverage(BuyCloseMethod, BuyClosePeriod);
		_sellOpenMa = CreateMovingAverage(SellOpenMethod, SellOpenPeriod);
		_sellCloseMa = CreateMovingAverage(SellCloseMethod, SellClosePeriod);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var buyOpen = ProcessMovingAverage(_buyOpenMa, _buyOpenBuffer, BuyOpenShift, GetPrice(candle, BuyOpenPrice), candle);
		var buyClose = ProcessMovingAverage(_buyCloseMa, _buyCloseBuffer, BuyCloseShift, GetPrice(candle, BuyClosePrice), candle);
		var sellOpen = ProcessMovingAverage(_sellOpenMa, _sellOpenBuffer, SellOpenShift, GetPrice(candle, SellOpenPrice), candle);
		var sellClose = ProcessMovingAverage(_sellCloseMa, _sellCloseBuffer, SellCloseShift, GetPrice(candle, SellClosePrice), candle);

		if (buyOpen is not decimal buyOpenValue ||
			buyClose is not decimal buyCloseValue ||
			sellOpen is not decimal sellOpenValue ||
			sellClose is not decimal sellCloseValue)
		{
			return;
		}


		if (Position != 0)
		{
			ProcessCloseSignal(candle, buyCloseValue, sellCloseValue);
		}
		else
		{
			ProcessOpenSignal(candle, buyOpenValue, sellOpenValue);
		}
	}

	private void ProcessOpenSignal(ICandleMessage candle, decimal buyMa, decimal sellMa)
	{
		var openPrice = candle.OpenPrice;
		var closePrice = candle.ClosePrice;

		if (UseBuy && openPrice < buyMa && closePrice > buyMa && CanReEnter(Sides.Buy, closePrice))
		{
			var volume = CalculateTradeVolume(closePrice);
			if (volume > 0)
			{
				BuyMarket(volume);
				this.AddInfoLog($"Buy signal. Close={closePrice}, MA={buyMa}, Volume={volume}");
			}
		}
		else if (UseSell && openPrice > sellMa && closePrice < sellMa && CanReEnter(Sides.Sell, closePrice))
		{
			var volume = CalculateTradeVolume(closePrice);
			if (volume > 0)
			{
				SellMarket(volume);
				this.AddInfoLog($"Sell signal. Close={closePrice}, MA={sellMa}, Volume={volume}");
			}
		}
	}

	private void ProcessCloseSignal(ICandleMessage candle, decimal buyMa, decimal sellMa)
	{
		var openPrice = candle.OpenPrice;
		var closePrice = candle.ClosePrice;

		if (Position > 0 && openPrice > buyMa && closePrice < buyMa)
		{
			if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(-Position);
			this.AddInfoLog($"Close long. Close={closePrice}, MA={buyMa}");
		}
		else if (Position < 0 && openPrice < sellMa && closePrice > sellMa)
		{
			if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(-Position);
			this.AddInfoLog($"Close short. Close={closePrice}, MA={sellMa}");
		}
	}

	private bool CanReEnter(Sides side, decimal price)
	{
		if (!ConsiderPriceLastOut)
			return true;

		if (_lastExitPrice == 0m)
			return true;

		return side == Sides.Buy
			? _lastExitPrice >= price
			: _lastExitPrice <= price;
	}

	private decimal? ProcessMovingAverage(DecimalLengthIndicator indicator, Queue<decimal> buffer, int shift, decimal price, ICandleMessage candle)
	{
		if (indicator == null)
			return null;

		var value = indicator.Process(new DecimalIndicatorValue(indicator, price, candle.OpenTime) { IsFinal = true });

		if (!indicator.IsFormed)
			return null;

		var maValue = value.ToDecimal();

		buffer.Enqueue(maValue);
		var maxSize = shift + 1;
		while (buffer.Count > maxSize)
			buffer.Dequeue();

		if (buffer.Count < maxSize)
			return null;

		return shift == 0 ? maValue : buffer.Peek();
	}

	private decimal CalculateTradeVolume(decimal price)
	{
		var baseVolume = Volume > 0 ? Volume : 1m;

		if (price <= 0)
			return NormalizeVolume(baseVolume);

		var equity = Portfolio?.BeginValue ?? 0m;
		if (equity <= 0)
			return NormalizeVolume(baseVolume);

		var volume = equity * MaximumRisk / price;

		if (DecreaseFactor > 0 && _consecutiveLosses > 1)
		{
			var reduction = volume * _consecutiveLosses / DecreaseFactor;
			volume -= reduction;
		}

		if (volume <= 0)
			volume = baseVolume;

		return NormalizeVolume(volume);
	}

	private decimal NormalizeVolume(decimal volume)
	{
		var security = Security;
		if (security != null)
		{
			var step = security.VolumeStep ?? 1m;
			if (step <= 0)
				step = 1m;

			if (volume < step)
				volume = step;

			var steps = Math.Floor(volume / step);
			if (steps < 1m)
				steps = 1m;

			volume = steps * step;
		}

		if (volume <= 0)
			volume = 1m;

		return volume;
	}

	private static decimal GetPrice(ICandleMessage candle, MaPriceTypes priceType)
	{
		return priceType switch
		{
			MaPriceTypes.Close => candle.ClosePrice,
			MaPriceTypes.Open => candle.OpenPrice,
			MaPriceTypes.High => candle.HighPrice,
			MaPriceTypes.Low => candle.LowPrice,
			MaPriceTypes.Median => (candle.HighPrice + candle.LowPrice) / 2m,
			MaPriceTypes.Typical => (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3m,
			MaPriceTypes.Weighted => (candle.HighPrice + candle.LowPrice + (2m * candle.ClosePrice)) / 4m,
			_ => candle.ClosePrice
		};
	}

	private static DecimalLengthIndicator CreateMovingAverage(MaMethods method, int length)
	{
		return method switch
		{
			MaMethods.Simple => new SimpleMovingAverage { Length = length },
			MaMethods.Exponential => new ExponentialMovingAverage { Length = length },
			MaMethods.Smoothed => new SmoothedMovingAverage { Length = length },
			MaMethods.LinearWeighted => new WeightedMovingAverage { Length = length },
			_ => new SimpleMovingAverage { Length = length }
		};
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);

		var volume = trade.Trade.Volume;
		if (volume <= 0)
			return;

		var delta = trade.Order.Side == Sides.Buy ? volume : -volume;
		var previousPosition = _signedPosition;
		_signedPosition += delta;

		if (previousPosition == 0m && _signedPosition != 0m)
		{
			_lastEntrySide = delta > 0m ? Sides.Buy : Sides.Sell;
			_lastEntryPrice = trade.Trade.Price;
		}
		else if (previousPosition != 0m && _signedPosition == 0m)
		{
			_lastExitPrice = trade.Trade.Price;

			if (_lastEntrySide != null && _lastEntryPrice != 0m)
			{
				var profit = _lastEntrySide == Sides.Buy
					? _lastExitPrice - _lastEntryPrice
					: _lastEntryPrice - _lastExitPrice;

				if (profit > 0m)
				{
					_consecutiveLosses = 0;
				}
				else if (profit < 0m)
				{
					_consecutiveLosses++;
				}
			}

			_lastEntrySide = null;
			_lastEntryPrice = 0m;
		}
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy
from StockSharp.Messages import DataType, CandleStates
from System import TimeSpan, Math, Decimal
from indicator_extensions import *

class ea_moving_average_strategy(Strategy):
    def __init__(self):
        super(ea_moving_average_strategy, self).__init__()

        self._buy_open_period = self.Param("BuyOpenPeriod", 30)
        self._buy_open_shift = self.Param("BuyOpenShift", 3)
        self._buy_close_period = self.Param("BuyClosePeriod", 14)
        self._buy_close_shift = self.Param("BuyCloseShift", 3)
        self._sell_open_period = self.Param("SellOpenPeriod", 30)
        self._sell_open_shift = self.Param("SellOpenShift", 0)
        self._sell_close_period = self.Param("SellClosePeriod", 20)
        self._sell_close_shift = self.Param("SellCloseShift", 2)
        self._use_buy = self.Param("UseBuy", True)
        self._use_sell = self.Param("UseSell", True)
        self._consider_price_last_out = self.Param("ConsiderPriceLastOut", True)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1)))

        self._buy_open_ma = None
        self._buy_close_ma = None
        self._sell_open_ma = None
        self._sell_close_ma = None

        self._buy_open_buffer = []
        self._buy_close_buffer = []
        self._sell_open_buffer = []
        self._sell_close_buffer = []

        self._last_exit_price = 0.0
        self._last_entry_price = 0.0
        self._last_entry_side = None

    @property
    def CandleType(self):
        return self._candle_type.Value

    def OnStarted2(self, time):
        super(ea_moving_average_strategy, self).OnStarted2(time)

        self._buy_open_ma = ExponentialMovingAverage()
        self._buy_open_ma.Length = self._buy_open_period.Value
        self._buy_close_ma = ExponentialMovingAverage()
        self._buy_close_ma.Length = self._buy_close_period.Value
        self._sell_open_ma = ExponentialMovingAverage()
        self._sell_open_ma.Length = self._sell_open_period.Value
        self._sell_close_ma = ExponentialMovingAverage()
        self._sell_close_ma.Length = self._sell_close_period.Value

        self._buy_open_buffer = []
        self._buy_close_buffer = []
        self._sell_open_buffer = []
        self._sell_close_buffer = []

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self._process_candle).Start()

    def _process_candle(self, candle):
        if candle.State != CandleStates.Finished:
            return

        price = float(candle.ClosePrice)
        t = candle.OpenTime

        buy_open_val = self._process_ma(self._buy_open_ma, self._buy_open_buffer, self._buy_open_shift.Value, price, t)
        buy_close_val = self._process_ma(self._buy_close_ma, self._buy_close_buffer, self._buy_close_shift.Value, price, t)
        sell_open_val = self._process_ma(self._sell_open_ma, self._sell_open_buffer, self._sell_open_shift.Value, price, t)
        sell_close_val = self._process_ma(self._sell_close_ma, self._sell_close_buffer, self._sell_close_shift.Value, price, t)

        if buy_open_val is None or buy_close_val is None or sell_open_val is None or sell_close_val is None:
            return

        if self.Position != 0:
            self._process_close_signal(candle, buy_close_val, sell_close_val)
        else:
            self._process_open_signal(candle, buy_open_val, sell_open_val)

    def _process_open_signal(self, candle, buy_ma, sell_ma):
        open_price = float(candle.OpenPrice)
        close_price = float(candle.ClosePrice)

        if self._use_buy.Value and open_price < buy_ma and close_price > buy_ma and self._can_re_enter(True, close_price):
            self.BuyMarket()
            self._last_entry_side = 'buy'
            self._last_entry_price = close_price
        elif self._use_sell.Value and open_price > sell_ma and close_price < sell_ma and self._can_re_enter(False, close_price):
            self.SellMarket()
            self._last_entry_side = 'sell'
            self._last_entry_price = close_price

    def _process_close_signal(self, candle, buy_ma, sell_ma):
        open_price = float(candle.OpenPrice)
        close_price = float(candle.ClosePrice)

        if self.Position > 0 and open_price > buy_ma and close_price < buy_ma:
            self.SellMarket(self.Position)
            self._last_exit_price = close_price
            self._last_entry_side = None
            self._last_entry_price = 0.0
        elif self.Position < 0 and open_price < sell_ma and close_price > sell_ma:
            self.BuyMarket(abs(self.Position))
            self._last_exit_price = close_price
            self._last_entry_side = None
            self._last_entry_price = 0.0

    def _can_re_enter(self, is_buy, price):
        if not self._consider_price_last_out.Value:
            return True
        if self._last_exit_price == 0.0:
            return True
        if is_buy:
            return self._last_exit_price >= price
        else:
            return self._last_exit_price <= price

    def _process_ma(self, indicator, buffer, shift, price, time):
        if indicator is None:
            return None

        result = process_float(indicator, Decimal(float(price)), time, True)

        if not indicator.IsFormed:
            return None

        ma_value = float(result.Value)

        buffer.append(ma_value)
        max_size = shift + 1
        while len(buffer) > max_size:
            buffer.pop(0)

        if len(buffer) < max_size:
            return None

        return ma_value if shift == 0 else buffer[0]

    def OnReseted(self):
        super(ea_moving_average_strategy, self).OnReseted()
        self._buy_open_ma = None
        self._buy_close_ma = None
        self._sell_open_ma = None
        self._sell_close_ma = None
        self._buy_open_buffer = []
        self._buy_close_buffer = []
        self._sell_open_buffer = []
        self._sell_close_buffer = []
        self._last_exit_price = 0.0
        self._last_entry_price = 0.0
        self._last_entry_side = None

    def CreateClone(self):
        return ea_moving_average_strategy()