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Multi EMA Crossover Strategy

The strategy opens separate long positions for four EMA pairs when the faster EMA crosses above the slower one. Each position closes when its faster EMA falls below the slower EMA.

Details

  • Entry Criteria:
    • Long: Fast EMA crosses above slow EMA for any of the pairs (1/5, 3/10, 5/20, 10/40).
  • Long/Short: Long only.
  • Exit Criteria:
    • Fast EMA drops below slow EMA for the respective pair.
  • Stops: None.
  • Default Values:
    • EMA1 = 1
    • EMA3 = 3
    • EMA5 = 5
    • EMA10 = 10
    • EMA20 = 20
    • EMA40 = 40
  • Filters:
    • Category: Trend following
    • Direction: Long
    • Indicators: EMA
    • Stops: No
    • Complexity: Basic
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Low
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;
	}
}