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Triple MA HTF Strategy - Dynamic Smoothing

Strategy that compares three moving averages calculated on higher timeframes. Each higher timeframe MA is smoothed proportionally to the ratio between its timeframe and the working timeframe. Signals are generated when the first MA crosses the second while the third confirms the direction.

Details

  • Entry Criteria: Cross of MA1 and MA2 with MA3 trend confirmation.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal.
  • Stops: No.
  • Default Values:
    • CandleType = TimeSpan.FromMinutes(5)
    • HigherTimeFrame1 = TimeSpan.FromMinutes(15)
    • HigherTimeFrame2 = TimeSpan.FromMinutes(60)
    • HigherTimeFrame3 = TimeSpan.FromMinutes(240)
    • Length1 = 21
    • Length2 = 21
    • Length3 = 50
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: MA
    • Stops: None
    • Complexity: Intermediate
    • Timeframe: Intraday (5m base)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Triple moving average trend following using EMA crossovers with RSI confirmation.
/// </summary>
public class TripleMaHtfDynamicSmoothingStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _length1;
	private readonly StrategyParam<int> _length2;
	private readonly StrategyParam<int> _length3;

	private decimal _prevMa1;
	private decimal _prevMa2;
	private decimal _prevRsi;
	private int _cooldown;

	public TripleMaHtfDynamicSmoothingStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Base timeframe", "General");

		_length1 = Param(nameof(Length1), 10)
			.SetDisplay("MA1 Length", "Length for fast EMA", "Trend");

		_length2 = Param(nameof(Length2), 30)
			.SetDisplay("MA2 Length", "Length for slow EMA", "Trend");

		_length3 = Param(nameof(Length3), 14)
			.SetDisplay("RSI Length", "RSI period", "Trend");
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int Length1
	{
		get => _length1.Value;
		set => _length1.Value = value;
	}

	public int Length2
	{
		get => _length2.Value;
		set => _length2.Value = value;
	}

	public int Length3
	{
		get => _length3.Value;
		set => _length3.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMa1 = 0;
		_prevMa2 = 0;
		_prevRsi = 0;
		_cooldown = 0;
	}

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

		var ema1 = new ExponentialMovingAverage { Length = Length1 };
		var ema2 = new ExponentialMovingAverage { Length = Length2 };
		var rsi = new RelativeStrengthIndex { Length = Length3 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema1, ema2, rsi, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema1);
			DrawIndicator(area, ema2);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal ma1, decimal ma2, decimal rsiVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevMa1 == 0 || _prevMa2 == 0 || _prevRsi == 0)
		{
			_prevMa1 = ma1;
			_prevMa2 = ma2;
			_prevRsi = rsiVal;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevMa1 = ma1;
			_prevMa2 = ma2;
			_prevRsi = rsiVal;
			return;
		}

		var price = candle.ClosePrice;

		// EMA crossover
		var crossUp = _prevMa1 <= _prevMa2 && ma1 > ma2;
		var crossDown = _prevMa1 >= _prevMa2 && ma1 < ma2;

		// EMA trend direction
		var trendUp = ma1 > ma2;
		var trendDown = ma1 < ma2;

		// Exit on EMA cross in opposite direction
		if (Position > 0 && crossDown)
		{
			SellMarket();
			_cooldown = 30;
		}
		else if (Position < 0 && crossUp)
		{
			BuyMarket();
			_cooldown = 30;
		}

		// Entry: EMA crossover + RSI filter
		if (Position == 0)
		{
			if (crossUp && rsiVal > 45m && rsiVal < 75m)
			{
				BuyMarket();
				_cooldown = 30;
			}
			else if (crossDown && rsiVal > 25m && rsiVal < 55m)
			{
				SellMarket();
				_cooldown = 30;
			}
			// Re-entry: RSI cross 50 in trend direction when flat
			else if (trendUp && _prevRsi <= 50m && rsiVal > 50m)
			{
				BuyMarket();
				_cooldown = 30;
			}
			else if (trendDown && _prevRsi >= 50m && rsiVal < 50m)
			{
				SellMarket();
				_cooldown = 30;
			}
		}

		_prevMa1 = ma1;
		_prevMa2 = ma2;
		_prevRsi = rsiVal;
	}
}