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30-Minute Candle Strategy

This approach compares the current 30-minute candle opening price with the previous candle's close. If a new candle opens above the prior close, a long position is opened. When already long and the next candle gaps down below the previous close, the strategy reverses to a short position. All open positions are closed one minute before the current candle finishes.

Details

  • Entry Criteria:
    • Long: current candle open > previous candle close.
    • Short: current candle open < previous candle close while holding a long position.
  • Long/Short: Both sides.
  • Exit Criteria:
    • Close any position one minute before the candle closes.
  • Stops: None.
  • Default Values:
    • CandleType = TimeSpan.FromMinutes(30).TimeFrame().
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: Price action
    • Stops: No
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// 30 Minute Candle Strategy.
/// Compares current close with previous close.
/// Buys when close > previous close, sells when close < previous close.
/// Uses EMA as trend filter.
/// </summary>
public class ThirtyMinuteCandleStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ema;

	private decimal _prevClose;
	private bool _hasPrevClose;
	private int _cooldownRemaining;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public ThirtyMinuteCandleStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

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

		_ema = null;
		_prevClose = 0;
		_hasPrevClose = false;
		_cooldownRemaining = 0;
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ema, OnProcess)
			.Start();

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

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

		if (!_ema.IsFormed)
			return;

		var close = candle.ClosePrice;

		if (!_hasPrevClose)
		{
			_prevClose = close;
			_hasPrevClose = true;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevClose = close;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = close;
			return;
		}

		// Buy: close > previous close + above EMA
		if (close > _prevClose && close > emaVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: close < previous close + below EMA
		else if (close < _prevClose && close < emaVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: close drops below EMA
		else if (Position > 0 && close < emaVal)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: close rises above EMA
		else if (Position < 0 && close > emaVal)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevClose = close;
	}
}