Español ES
Ver en GitHub

Estrategia de Media Móvil

La estrategia entra en una posición larga cuando una media móvil corta cruza por encima de una media móvil larga del tipo de precio seleccionado. La posición se cierra cuando la media corta vuelve a cruzar por debajo de la larga.

Detalles

  • Criterios de entrada: La MA corta cruza por encima de la MA larga.
  • Criterios de salida: La MA corta cruza por debajo de la MA larga.
  • Indicadores: SMA, EMA, DEMA, TEMA, WMA, VWMA.
  • Fuente de precio: Close, High, Open, Low, Typical, Center.
  • Stops: Ninguno.
  • Valores predeterminados:
    • MaType = EMA
    • ShortLength = 1
    • LongLength = 20
    • PriceType = Typical
    • CandleType = 1 minute
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Solo largos
    • Indicadores: Media móvil
    • Stops: No
    • Complejidad: Simple
    • Nivel de riesgo: Medio
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>
/// Moving average crossover strategy.
/// </summary>
public class MovingAverageStrategy : Strategy
{
	private readonly StrategyParam<int> _shortLength;
	private readonly StrategyParam<int> _longLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _initialized;
	private int _barIndex;
	private int _lastTradeBar = -1000000;

	public int ShortLength { get => _shortLength.Value; set => _shortLength.Value = value; }
	public int LongLength { get => _longLength.Value; set => _longLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MovingAverageStrategy()
	{
		_shortLength = Param(nameof(ShortLength), 6).SetGreaterThanZero();
		_longLength = Param(nameof(LongLength), 21).SetGreaterThanZero();
		_cooldownBars = Param(nameof(CooldownBars), 50).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_initialized = false;
		_barIndex = 0;
		_lastTradeBar = -1000000;

		var fastMa = new EMA { Length = ShortLength };
		var slowMa = new EMA { Length = LongLength };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fastMa, slowMa, ProcessCandle).Start();
	}

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

		_barIndex++;

		if (!_initialized)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_initialized = true;
			return;
		}

		var canTrade = _barIndex - _lastTradeBar >= CooldownBars;

		if (canTrade && _prevFast < _prevSlow && fast >= slow && Position <= 0)
		{
			BuyMarket();
			_lastTradeBar = _barIndex;
		}
		else if (canTrade && _prevFast >= _prevSlow && fast < slow && Position > 0)
		{
			SellMarket();
			_lastTradeBar = _barIndex;
		}

		_prevFast = fast;
		_prevSlow = slow;
	}

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

		_prevFast = 0m;
		_prevSlow = 0m;
		_initialized = false;
		_barIndex = 0;
		_lastTradeBar = -1000000;
	}
}