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Estrategia CrossMA

Esta estrategia opera un cruce de medias móviles simples con un stop loss basado en ATR. Se abre una posición larga cuando la SMA rápida cruza por encima de la SMA lenta. Se abre una posición corta cuando la SMA rápida cruza por debajo de la SMA lenta. Tras entrar en una posición, se coloca un stop loss a una distancia de un ATR del precio de entrada y se verifica en cada nueva vela.

Parámetros

  • Tipo de vela
  • Período de SMA rápida
  • Período de SMA lenta
  • Período de ATR
  • Volumen
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>
/// Strategy based on two SMA crossovers with ATR stop loss.
/// Buys when the fast SMA rises above the slow SMA and sells on opposite cross.
/// A stop loss is placed one ATR away from the entry price.
/// </summary>
public class CrossMAStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private int _lastSignal;

	/// <summary>
	/// Fast SMA period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow SMA period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	/// <summary>
	/// ATR period for stop calculation.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}


	/// <summary>
	/// Candle type for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public CrossMAStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 5)
		.SetGreaterThanZero()
		.SetDisplay("Fast SMA Period", "Period of the fast SMA", "Parameters");

		_slowPeriod = Param(nameof(SlowPeriod), 20)
		.SetGreaterThanZero()
		.SetDisplay("Slow SMA Period", "Period of the slow SMA", "Parameters");

		_atrPeriod = Param(nameof(AtrPeriod), 6)
		.SetGreaterThanZero()
		.SetDisplay("ATR Period", "Period of ATR for stop calculation", "Risk");


		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles for calculations", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_lastSignal = 0;
	}

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

		var fastSma = new SimpleMovingAverage
		{
			Length = FastPeriod
		};

		var slowSma = new SimpleMovingAverage
		{
			Length = SlowPeriod
		};

		var subscription = SubscribeCandles(CandleType);

		subscription
		.Bind(fastSma, slowSma, ProcessCandle)
		.Start();

		StartProtection(
			new Unit(2000m, UnitTypes.Absolute),
			new Unit(1000m, UnitTypes.Absolute));

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

	/// <summary>
	/// Process candle and indicator values.
	/// </summary>
	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (fast > slow && candle.ClosePrice > slow && _lastSignal != 1 && Position <= 0)
		{
			BuyMarket();
			_lastSignal = 1;
		}
		else if (fast < slow && candle.ClosePrice < slow && _lastSignal != -1 && Position >= 0)
		{
			SellMarket();
			_lastSignal = -1;
		}
	}
}