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Estrategia de Cruce Multi-EMA

La estrategia abre posiciones largas separadas para cuatro pares de EMA cuando la EMA rápida cruza por encima de la más lenta. Cada posición se cierra cuando su EMA rápida cae por debajo de la EMA lenta.

Detalles

  • Criterios de entrada:
    • Largo: La EMA rápida cruza por encima de la EMA lenta en cualquiera de los pares (1/5, 3/10, 5/20, 10/40).
  • Largo/Corto: Solo largos.
  • Criterios de salida:
    • La EMA rápida cae por debajo de la EMA lenta para el par respectivo.
  • Stops: Ninguno.
  • Valores predeterminados:
    • EMA1 = 1
    • EMA3 = 3
    • EMA5 = 5
    • EMA10 = 10
    • EMA20 = 20
    • EMA40 = 40
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Solo largos
    • Indicadores: EMA
    • Stops: No
    • Complejidad: Básico
    • Marco temporal: Cualquiera
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Bajo
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

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

/// <summary>
/// Multi EMA crossover strategy.
/// Opens long on bullish crossover and exits on bearish crossover.
/// </summary>
public class MultiEmaCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrevValues;
	private int _cooldownRemaining;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MultiEmaCrossoverStrategy()
	{
		_fastLength = Param(nameof(FastLength), 8)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Parameters");

		_slowLength = Param(nameof(SlowLength), 34)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Parameters");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 12)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait after entries and exits", "Trading");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0m;
		_prevSlow = 0m;
		_hasPrevValues = false;
		_cooldownRemaining = 0;
	}

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

		var fastEma = new ExponentialMovingAverage { Length = FastLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowLength };
		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(fastEma, slowEma, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_hasPrevValues)
		{
			_prevFast = fastValue;
			_prevSlow = slowValue;
			_hasPrevValues = true;
			return;
		}

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		if (Position > 0 && _prevFast >= _prevSlow && fastValue < slowValue)
		{
			SellMarket(Position);
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (Position == 0 && _cooldownRemaining == 0 && _prevFast <= _prevSlow && fastValue > slowValue)
		{
			BuyMarket();
			_cooldownRemaining = SignalCooldownBars;
		}

		_prevFast = fastValue;
		_prevSlow = slowValue;
	}
}