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MNQ EMA Strategy

Strategy based on multiple exponential moving averages for NASDAQ micro futures. It enters long when price is above fast and slow EMAs with bullish candle and exits using dynamic EMA levels, trailing profits and stop loss.

using System;
using System.Linq;
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;

/// <summary>
/// MNQ strategy based on multiple EMA levels and dynamic exits.
/// </summary>
public class MNQEMAStrategy : Strategy
{
	private readonly StrategyParam<int> _ema5Length;
	private readonly StrategyParam<int> _ema13Length;
	private readonly StrategyParam<int> _ema30Length;
	private readonly StrategyParam<int> _ema200Length;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma5;
	private decimal _prevEma13;
	private bool _hasPrev;
	private int _barsFromSignal;

	public int Ema5Length { get => _ema5Length.Value; set => _ema5Length.Value = value; }
	public int Ema13Length { get => _ema13Length.Value; set => _ema13Length.Value = value; }
	public int Ema30Length { get => _ema30Length.Value; set => _ema30Length.Value = value; }
	public int Ema200Length { get => _ema200Length.Value; set => _ema200Length.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MNQEMAStrategy()
	{
		_ema5Length = Param(nameof(Ema5Length), 5).SetGreaterThanZero();
		_ema13Length = Param(nameof(Ema13Length), 13).SetGreaterThanZero();
		_ema30Length = Param(nameof(Ema30Length), 30).SetGreaterThanZero();
		_ema200Length = Param(nameof(Ema200Length), 50).SetGreaterThanZero();
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 12).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevEma5 = 0m;
		_prevEma13 = 0m;
		_hasPrev = false;
		_barsFromSignal = 0;
	}

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

		_prevEma5 = 0m;
		_prevEma13 = 0m;
		_hasPrev = false;
		_barsFromSignal = SignalCooldownBars;

		var ema5 = new EMA { Length = Ema5Length };
		var ema13 = new EMA { Length = Ema13Length };
		var ema30 = new EMA { Length = Ema30Length };
		var ema200 = new EMA { Length = Ema200Length };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema5, ema13, ema30, ema200, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal ema5, decimal ema13, decimal ema30, decimal ema200)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		_barsFromSignal++;

		if (!_hasPrev)
		{
			_prevEma5 = ema5;
			_prevEma13 = ema13;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevEma5 <= _prevEma13 && ema5 > ema13;
		var crossDown = _prevEma5 >= _prevEma13 && ema5 < ema13;

		var longTrend = close > ema200 && ema30 > ema200;
		var shortTrend = close < ema200 && ema30 < ema200;

		if (_barsFromSignal >= SignalCooldownBars && crossUp && longTrend && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			_barsFromSignal = 0;
		}
		else if (_barsFromSignal >= SignalCooldownBars && crossDown && shortTrend && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			_barsFromSignal = 0;
		}
		else if (Position > 0 && crossDown)
		{
			SellMarket();
		}
		else if (Position < 0 && crossUp)
		{
			BuyMarket();
		}

		_prevEma5 = ema5;
		_prevEma13 = ema13;
	}
}