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SMI Correct Strategy

Overview

SMI Correct Strategy implements a trading system based on the Stochastic Momentum Index (SMI) indicator. The strategy watches the SMI line and its moving average signal line. A long position is opened when the SMI crosses below the signal line. A short position is opened when the SMI crosses above the signal line.

Parameters

  • Candle Type – time frame of candles used for calculations.
  • SMI Length – number of periods for the Stochastic calculation.
  • Signal Length – smoothing period for the signal line.

How it works

  1. The strategy subscribes to candles of the specified type.
  2. For each finished candle, it updates the Stochastic oscillator and the signal moving average.
  3. When the SMI crosses below the signal line, any short position is closed and a long position is opened.
  4. When the SMI crosses above the signal line, any long position is closed and a short position is opened.

The sample also draws candles and indicator lines on a chart for visualization.

using System;
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>
/// Strategy based on Stochastic Momentum Index crossings.
/// Uses Stochastic %K with a signal line (SMA of %K).
/// Buys when K crosses above signal, sells when K crosses below.
/// </summary>
public class SmiCorrectStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smiLength;
	private readonly StrategyParam<int> _signalLength;

	private StochasticOscillator _stochastic;
	private SimpleMovingAverage _signal;
	private decimal? _prevSmi;
	private decimal? _prevSignal;

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

	public int SmiLength
	{
		get => _smiLength.Value;
		set => _smiLength.Value = value;
	}

	public int SignalLength
	{
		get => _signalLength.Value;
		set => _signalLength.Value = value;
	}

	public SmiCorrectStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_smiLength = Param(nameof(SmiLength), 13)
			.SetGreaterThanZero()
			.SetDisplay("SMI Length", "Period for SMI calculation", "SMI");

		_signalLength = Param(nameof(SignalLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Smoothing period", "SMI");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_stochastic = null;
		_signal = null;
		_prevSmi = null;
		_prevSignal = null;
	}

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

		_prevSmi = null;
		_prevSignal = null;

		_stochastic = new StochasticOscillator
		{
			K = { Length = SmiLength },
			D = { Length = 1 }
		};

		_signal = new SimpleMovingAverage { Length = SignalLength };

		Indicators.Add(_stochastic);
		Indicators.Add(_signal);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandleNew)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent));

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

	private void ProcessCandleNew(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var stochResult = _stochastic.Process(candle);
		if (!_stochastic.IsFormed)
			return;

		var stochTyped = (StochasticOscillatorValue)stochResult;
		if (stochTyped.K is not decimal k)
			return;

		var signalResult = _signal.Process(new DecimalIndicatorValue(_signal, k, candle.OpenTime) { IsFinal = true });
		if (!_signal.IsFormed)
		{
			_prevSmi = k;
			return;
		}

		var signal = signalResult.ToDecimal();

		if (_prevSmi is null || _prevSignal is null)
		{
			_prevSmi = k;
			_prevSignal = signal;
			return;
		}

		var crossUp = _prevSmi < _prevSignal && k >= signal;
		var crossDown = _prevSmi > _prevSignal && k <= signal;

		if (crossUp && Position == 0)
			BuyMarket();
		else if (crossDown && Position == 0)
			SellMarket();

		_prevSmi = k;
		_prevSignal = signal;
	}
}