Estrategia de diferencial de cruce de media móvil

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Moving average crossover strategy using two EMAs.
/// Enters long on golden cross, short on death cross.
/// </summary>
public class MovingAverageCrossoverSpreadStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;

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

	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	public MovingAverageCrossoverSpreadStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");

		_fastPeriod = Param(nameof(FastPeriod), 20)
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
	}

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

		var fastMa = new ExponentialMovingAverage { Length = FastPeriod };
		var slowMa = new ExponentialMovingAverage { Length = SlowPeriod };

		decimal? prevFast = null;
		decimal? prevSlow = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastMa, slowMa, (candle, fastValue, slowValue) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				if (prevFast.HasValue && prevSlow.HasValue)
				{
					var crossUp = prevFast.Value <= prevSlow.Value && fastValue > slowValue;
					var crossDown = prevFast.Value >= prevSlow.Value && fastValue < slowValue;

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

				prevFast = fastValue;
				prevSlow = slowValue;
			})
			.Start();

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

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy

class moving_average_crossover_spread_strategy(Strategy):
    def __init__(self):
        super(moving_average_crossover_spread_strategy, self).__init__()

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(60)))
        self._fast_period = self.Param("FastPeriod", 20)
        self._slow_period = self.Param("SlowPeriod", 50)

        self._prev_fast = None
        self._prev_slow = None

    @property
    def CandleType(self):
        return self._candle_type.Value

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

    @property
    def FastPeriod(self):
        return self._fast_period.Value

    @FastPeriod.setter
    def FastPeriod(self, value):
        self._fast_period.Value = value

    @property
    def SlowPeriod(self):
        return self._slow_period.Value

    @SlowPeriod.setter
    def SlowPeriod(self, value):
        self._slow_period.Value = value

    def OnReseted(self):
        super(moving_average_crossover_spread_strategy, self).OnReseted()
        self._prev_fast = None
        self._prev_slow = None

    def OnStarted2(self, time):
        super(moving_average_crossover_spread_strategy, self).OnStarted2(time)
        self._prev_fast = None
        self._prev_slow = None

        fast_ma = ExponentialMovingAverage()
        fast_ma.Length = self.FastPeriod
        slow_ma = ExponentialMovingAverage()
        slow_ma.Length = self.SlowPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(fast_ma, slow_ma, self._process_candle).Start()

    def _process_candle(self, candle, fast_value, slow_value):
        if candle.State != CandleStates.Finished:
            return

        fast_val = float(fast_value)
        slow_val = float(slow_value)

        if self._prev_fast is None or self._prev_slow is None:
            self._prev_fast = fast_val
            self._prev_slow = slow_val
            return

        cross_up = self._prev_fast <= self._prev_slow and fast_val > slow_val
        cross_down = self._prev_fast >= self._prev_slow and fast_val < slow_val

        if cross_up and self.Position <= 0:
            self.BuyMarket()
        elif cross_down and self.Position >= 0:
            self.SellMarket()

        self._prev_fast = fast_val
        self._prev_slow = slow_val

    def CreateClone(self):
        return moving_average_crossover_spread_strategy()