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トリプルMA

トリプル移動平均クロスオーバーに基づく戦略。

テスト結果では、年間平均リターンが約55%であることが示されています。株式市場で最も効果を発揮します。

トリプルMAは3つの移動平均を並べて方向を定義します。最も短い平均が中期および長期の平均を上回ると、ロングエントリーが発生します。逆の並びはショートを開き、短期線と中期線のクロスで取引が終了します。

3つの平均を使用することで、単一MAシステムに存在するノイズを除去するのに役立ちます。この多層的なアプローチは、取引にコミットする前にモメンタムを確認しようとします。

詳細

  • エントリー条件: MAに基づくシグナル。
  • ロング/ショート: 両方の方向。
  • エグジット条件: 逆シグナルまたはストップ。
  • ストップ: はい。
  • デフォルト値:
    • ShortMaPeriod = 5
    • MiddleMaPeriod = 20
    • LongMaPeriod = 50
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: トレンド
    • 方向: 両方
    • インジケーター: MA
    • ストップ: はい
    • 複雑さ: 基本
    • 時間軸: イントラデイ (5m)
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
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 Triple Moving Average crossover.
/// It enters long position when short MA > middle MA > long MA and short position when short MA < middle MA < long MA.
/// </summary>
public class TripleMAStrategy : Strategy
{
	private readonly StrategyParam<int> _shortMaPeriod;
	private readonly StrategyParam<int> _middleMaPeriod;
	private readonly StrategyParam<int> _longMaPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	// Current state
	private bool _prevIsShortAboveMiddle;
	private bool _prevIsBullish;
	private bool _prevIsBearish;

	/// <summary>
	/// Period for short moving average.
	/// </summary>
	public int ShortMaPeriod
	{
		get => _shortMaPeriod.Value;
		set => _shortMaPeriod.Value = value;
	}

	/// <summary>
	/// Period for middle moving average.
	/// </summary>
	public int MiddleMaPeriod
	{
		get => _middleMaPeriod.Value;
		set => _middleMaPeriod.Value = value;
	}

	/// <summary>
	/// Period for long moving average.
	/// </summary>
	public int LongMaPeriod
	{
		get => _longMaPeriod.Value;
		set => _longMaPeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Initialize the Triple MA strategy.
	/// </summary>
	public TripleMAStrategy()
	{
		_shortMaPeriod = Param(nameof(ShortMaPeriod), 100)
			.SetDisplay("Short MA Period", "Period for short moving average", "Indicators")

			.SetOptimize(3, 10, 1);

		_middleMaPeriod = Param(nameof(MiddleMaPeriod), 250)
			.SetDisplay("Middle MA Period", "Period for middle moving average", "Indicators")

			.SetOptimize(15, 30, 5);

		_longMaPeriod = Param(nameof(LongMaPeriod), 500)
			.SetDisplay("Long MA Period", "Period for long moving average", "Indicators")

			.SetOptimize(40, 100, 10);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop Loss (%)", "Stop loss as a percentage of entry price", "Risk parameters")
			
			.SetOptimize(1, 3, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevIsShortAboveMiddle = default;
		_prevIsBullish = default;
		_prevIsBearish = default;

	}

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

		// Create indicators
		var shortMa = new ExponentialMovingAverage { Length = ShortMaPeriod };
		var middleMa = new ExponentialMovingAverage { Length = MiddleMaPeriod };
		var longMa = new ExponentialMovingAverage { Length = LongMaPeriod };

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(shortMa, middleMa, longMa, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, shortMa);
			DrawIndicator(area, middleMa);
			DrawIndicator(area, longMa);
			DrawOwnTrades(area);
		}

	}

	private void ProcessCandle(ICandleMessage candle, decimal shortMaValue, decimal middleMaValue, decimal longMaValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Check the MA alignments
		var isShortAboveMiddle = shortMaValue > middleMaValue;
		var isMiddleAboveLong = middleMaValue > longMaValue;

		// Check for MA crossover
		var isShortCrossedMiddle = isShortAboveMiddle != _prevIsShortAboveMiddle;

		// Check for alignment conditions
		var isBullishAlignment = isShortAboveMiddle && isMiddleAboveLong;
		var isBearishAlignment = !isShortAboveMiddle && !isMiddleAboveLong;

		// Entry logic based on three MA alignment change
		if (isBullishAlignment && !_prevIsBullish && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
		}
		else if (isBearishAlignment && !_prevIsBearish && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
		}

		// Update previous state
		_prevIsShortAboveMiddle = isShortAboveMiddle;
		_prevIsBullish = isBullishAlignment;
		_prevIsBearish = isBearishAlignment;
	}
}