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Market Trend Levels Non-Repainting

EMA crossover strategy that optionally filters trades using RSI. Long positions open when the fast EMA crosses above the slow EMA, while short trades trigger on the opposite cross. When ApplyExitFilters is enabled and the RSI filter is active, positions close if the RSI leaves the allowed zone.

Details

  • Entry Conditions:
    • Long: Fast EMA crosses above Slow EMA and RSI > RsiLongThreshold when enabled
    • Short: Fast EMA crosses below Slow EMA and RSI < RsiShortThreshold when enabled
  • Exit Conditions: Opposite crossover or RSI filter failing when ApplyExitFilters is true
  • Type: Trend-following
  • Indicators: EMA, RSI
  • Timeframe: 5 minutes (default)
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;

public class MarketTrendLevelsNonRepaintingStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _emaFast;
	private ExponentialMovingAverage _emaSlow;
	private RelativeStrengthIndex _rsi;
	private decimal? _prevDiff;
	private int _barsFromSignal;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MarketTrendLevelsNonRepaintingStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12);
		_slowLength = Param(nameof(SlowLength), 25);
		_rsiLength = Param(nameof(RsiLength), 14);
		_cooldownBars = Param(nameof(CooldownBars), 3);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(10).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_emaFast = null;
		_emaSlow = null;
		_rsi = null;
		_prevDiff = null;
		_barsFromSignal = CooldownBars;
	}

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

		_emaFast = new ExponentialMovingAverage { Length = FastLength };
		_emaSlow = new ExponentialMovingAverage { Length = SlowLength };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_prevDiff = null;
		_barsFromSignal = CooldownBars;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_emaFast, _emaSlow, _rsi, Process)
			.Start();
	}

	private void Process(ICandleMessage candle, decimal fast, decimal slow, decimal rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_emaFast.IsFormed || !_emaSlow.IsFormed || !_rsi.IsFormed)
		{
			_prevDiff = fast - slow;
			return;
		}

		var diff = fast - slow;
		var crossUp = _prevDiff.HasValue && _prevDiff <= 0 && diff > 0;
		var crossDown = _prevDiff.HasValue && _prevDiff >= 0 && diff < 0;
		_prevDiff = diff;
		var filterLong = rsiValue > 52;
		var filterShort = rsiValue < 48;

		if (crossUp && Position <= 0 && filterLong)
			BuyMarket();
		if (crossDown && Position >= 0 && filterShort)
			SellMarket();
	}
}