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Advanced Position Management Strategy

The strategy enters on EMA crossover and manages positions using three take-profit levels and an optional trailing stop.

Details

  • Entry Criteria: Fast EMA crossing slow EMA.
  • Long/Short: Both.
  • Exit Criteria: Stop-loss, take-profit levels, or trailing stop.
  • Stops: Initial and trailing.
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>
/// EMA crossover strategy with stop-loss and take-profit management.
/// </summary>
public class AdvancedPositionManagementStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldownRemaining;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public AdvancedPositionManagementStrategy()
	{
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA Length", "Period of the fast EMA", "General");

		_slowLength = Param(nameof(SlowLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA Length", "Period of the slow EMA", "General");

		_takeProfitPercent = Param(nameof(TakeProfitPercent), 3m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

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

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_entryPrice = 0;
		_cooldownRemaining = 0;
	}

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

		var fastEma = new ExponentialMovingAverage { Length = FastLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Check stop/TP
		if (Position > 0 && _entryPrice > 0)
		{
			var sl = _entryPrice * (1m - StopLossPercent / 100m);
			var tp = _entryPrice * (1m + TakeProfitPercent / 100m);
			if (candle.ClosePrice <= sl || candle.ClosePrice >= tp)
			{
				SellMarket(Math.Abs(Position));
				_entryPrice = 0;
				_cooldownRemaining = CooldownBars;
				_prevFast = fast;
				_prevSlow = slow;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			var sl = _entryPrice * (1m + StopLossPercent / 100m);
			var tp = _entryPrice * (1m - TakeProfitPercent / 100m);
			if (candle.ClosePrice >= sl || candle.ClosePrice <= tp)
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = 0;
				_cooldownRemaining = CooldownBars;
				_prevFast = fast;
				_prevSlow = slow;
				return;
			}
		}

		if (_prevFast == 0)
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fast > slow;
		var crossDown = _prevFast >= _prevSlow && fast < slow;

		if (crossUp && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_entryPrice = candle.ClosePrice;
			_cooldownRemaining = CooldownBars;
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_entryPrice = candle.ClosePrice;
			_cooldownRemaining = CooldownBars;
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}