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Estrategia de Cruce EMA WMA

Estrategia basada en el cruce entre la media móvil exponencial (EMA) y la media móvil ponderada (WMA) calculadas sobre los precios de apertura de las velas. Entra en largo cuando la EMA cruza por debajo de la WMA y en corto cuando la EMA cruza por encima de la WMA. El tamaño de la posición se determina por el porcentaje de riesgo del patrimonio de la cuenta. La estrategia utiliza distancias fijas de toma de beneficios y stop loss definidas en ticks.

Detalles

  • Criterios de entrada:
    • Largo: EMA crosses below WMA
    • Corto: EMA crosses above WMA
  • Largo/Corto: Ambos
  • Criterios de salida: Stop loss o toma de beneficios
  • Stops: Sí
  • Valores predeterminados:
    • EmaPeriod = 28
    • WmaPeriod = 8
    • StopLossTicks = 50
    • TakeProfitTicks = 50
    • RiskPercent = 10
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • Filtros:
    • Categoría: Cruce de medias móviles
    • Dirección: Ambos
    • Indicadores: EMA, WMA
    • Stops: Sí
    • Complejidad: Básico
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// EMA and WMA crossover strategy with fixed risk management.
/// Goes long when EMA crosses below WMA and short when EMA crosses above WMA.
/// Position size is calculated from a percentage of equity.
/// </summary>
public class EmaWmaCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _wmaPeriod;
	private readonly StrategyParam<int> _stopLossTicks;
	private readonly StrategyParam<int> _takeProfitTicks;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _stopLossDistance;
	private decimal _takeProfitDistance;
	private decimal _prevEma;
	private decimal _prevWma;
	private bool _hasPrev;

	/// <summary>
	/// EMA period length.
	/// </summary>
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }

	/// <summary>
	/// WMA period length.
	/// </summary>
	public int WmaPeriod { get => _wmaPeriod.Value; set => _wmaPeriod.Value = value; }

	/// <summary>
	/// Stop loss distance in ticks.
	/// </summary>
	public int StopLossTicks { get => _stopLossTicks.Value; set => _stopLossTicks.Value = value; }

	/// <summary>
	/// Take profit distance in ticks.
	/// </summary>
	public int TakeProfitTicks { get => _takeProfitTicks.Value; set => _takeProfitTicks.Value = value; }

	/// <summary>
	/// Percent of equity risked per trade.
	/// </summary>
	public decimal RiskPercent { get => _riskPercent.Value; set => _riskPercent.Value = value; }

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

	/// <summary>
	/// Initialize <see cref="EmaWmaCrossoverStrategy"/>.
	/// </summary>
	public EmaWmaCrossoverStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 34)
		.SetGreaterThanZero()
		.SetDisplay("EMA Period", "EMA period length", "Indicators")
		;

		_wmaPeriod = Param(nameof(WmaPeriod), 13)
		.SetGreaterThanZero()
		.SetDisplay("WMA Period", "WMA period length", "Indicators")
		;

		_stopLossTicks = Param(nameof(StopLossTicks), 50)
		.SetNotNegative()
		.SetDisplay("Stop Loss Ticks", "Stop loss distance in ticks", "Risk");

		_takeProfitTicks = Param(nameof(TakeProfitTicks), 50)
		.SetNotNegative()
		.SetDisplay("Take Profit Ticks", "Take profit distance in ticks", "Risk");

		_riskPercent = Param(nameof(RiskPercent), 10m)
		.SetGreaterThanZero()
		.SetDisplay("Risk Percent", "Percent of equity risked per trade", "Risk");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_stopLossDistance = 0m;
		_takeProfitDistance = 0m;
		_hasPrev = false;
		_prevEma = 0m;
		_prevWma = 0m;
	}

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

		var tick = Security?.PriceStep ?? 1m;
		_stopLossDistance = StopLossTicks * tick;
		_takeProfitDistance = TakeProfitTicks * tick;

		StartProtection(
		takeProfit: new Unit(_takeProfitDistance, UnitTypes.Absolute),
		stopLoss: new Unit(_stopLossDistance, UnitTypes.Absolute));

		var ema = new EMA { Length = EmaPeriod };
		var wma = new WeightedMovingAverage { Length = WmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ema, wma, ProcessCandle).Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		return;

		if (!_hasPrev)
		{
			_prevEma = ema;
			_prevWma = wma;
			_hasPrev = true;
			return;
		}

		var crossDown = ema < wma && _prevEma > _prevWma;
		var crossUp = ema > wma && _prevEma < _prevWma;

		var equity = Portfolio?.CurrentValue ?? 0m;
		var riskAmount = equity * RiskPercent / 100m;
		var volume = _stopLossDistance > 0m ? riskAmount / _stopLossDistance : 0m;

		var step = Security?.VolumeStep ?? 1m;
		if (step > 0m)
		volume = Math.Floor(volume / step) * step;

		if (crossDown && Position <= 0)
		{
			var qty = volume > 0m ? volume + Math.Abs(Position) : Volume + Math.Abs(Position);
			BuyMarket(qty);
		}
		else if (crossUp && Position >= 0)
		{
			var qty = volume > 0m ? volume + Math.Abs(Position) : Volume + Math.Abs(Position);
			SellMarket(qty);
		}

		_prevEma = ema;
		_prevWma = wma;
	}
}