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Long EMA con Salida Avanzada

Long EMA con Salida Avanzada es una estrategia solo de largos que entra cuando una media móvil corta cruza hacia arriba de una media, y el precio está por encima de una media móvil larga. Las salidas pueden activarse por cruce bajista del MACD, cierre del precio por debajo de la media móvil seleccionada, cruce bajista de la MA, stop trailing o un filtro de volatilidad basado en ATR.

Detalles

  • Datos: Velas de precio.
  • Criterios de entrada:
    • Largo: La MA corta cruza hacia arriba la MA media y el precio está por encima de la MA larga.
  • Criterios de salida: Cruce bajista del MACD, precio por debajo de la MA seleccionada, cruce bajista de la MA corta por debajo de la MA media, stop trailing opcional.
  • Stops: Stop trailing opcional.
  • Valores predeterminados:
    • MaType = EMA
    • EntryConditionType = Crossover
    • LongTermPeriod = 200
    • ShortTermPeriod = 5
    • MidTermPeriod = 10
    • EnableMacdExit = true
    • MacdCandleType = TimeSpan.FromDays(7).TimeFrame()
    • MacdFastLength = 12
    • MacdSlowLength = 26
    • MacdSignalLength = 9
    • UseTrailingStop = false
    • TrailingStopPercent = 15
    • UseMaCloseExit = false
    • MaCloseExitPeriod = 50
    • UseMaCrossExit = true
    • UseVolatilityFilter = false
    • AtrPeriod = 14
    • AtrMultiplier = 1.5
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Solo largos
    • Indicadores: MA, MACD, ATR
    • Complejidad: Medio
    • Nivel de riesgo: Medio
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// EMA crossover strategy with trailing exit.
/// </summary>
public class LongEmaAdvancedExitStrategy : Strategy
{
	private readonly StrategyParam<int> _shortPeriod;
	private readonly StrategyParam<int> _midPeriod;
	private readonly StrategyParam<int> _longPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevShort;
	private decimal _prevMid;
	private int _barsSinceSignal;

	public int ShortPeriod { get => _shortPeriod.Value; set => _shortPeriod.Value = value; }
	public int MidPeriod { get => _midPeriod.Value; set => _midPeriod.Value = value; }
	public int LongPeriod { get => _longPeriod.Value; set => _longPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public LongEmaAdvancedExitStrategy()
	{
		_shortPeriod = Param(nameof(ShortPeriod), 10)
			.SetDisplay("Short EMA", "Short EMA period", "Indicators");
		_midPeriod = Param(nameof(MidPeriod), 20)
			.SetDisplay("Mid EMA", "Mid EMA period", "Indicators");
		_longPeriod = Param(nameof(LongPeriod), 40)
			.SetDisplay("Long EMA", "Long EMA period", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
		_cooldownBars = Param(nameof(CooldownBars), 38)
			.SetDisplay("Cooldown Bars", "Min bars between signals", "General");
	}

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

		_prevShort = 0;
		_prevMid = 0;
		_barsSinceSignal = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevShort = 0;
		_prevMid = 0;
		_barsSinceSignal = 0;

		var emaShort = new ExponentialMovingAverage { Length = ShortPeriod };
		var emaMid = new ExponentialMovingAverage { Length = MidPeriod };
		var emaLong = new ExponentialMovingAverage { Length = LongPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(emaShort, emaMid, emaLong, ProcessCandle)
			.Start();

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

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

		_barsSinceSignal++;

		if (_prevShort == 0 || _prevMid == 0)
		{
			_prevShort = shortVal;
			_prevMid = midVal;
			return;
		}

		if (_barsSinceSignal < CooldownBars)
		{
			_prevShort = shortVal;
			_prevMid = midVal;
			return;
		}

		// Entry: short crosses above mid + price above long EMA -> buy
		var crossUp = _prevShort <= _prevMid && shortVal > midVal;
		if (crossUp && candle.ClosePrice > longVal && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_barsSinceSignal = 0;
		}

		// Entry: short crosses below mid + price below long EMA -> sell
		var crossDown = _prevShort >= _prevMid && shortVal < midVal;
		if (crossDown && candle.ClosePrice < longVal && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_barsSinceSignal = 0;
		}

		_prevShort = shortVal;
		_prevMid = midVal;
	}
}