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Improved EMA & CDC Trailing Stop Strategy

Combines EMA trend filter, MACD confirmation and an ATR-based CDC trailing stop.

Details

  • Entry Criteria:
    • Long: price > EMA60, EMA60 > EMA90, MACD line > signal line.
    • Short: price < EMA60, EMA60 < EMA90, MACD line < signal line.
  • Long/Short: Both sides.
  • Exit Criteria:
    • Trailing stop or ATR-based profit target.
  • Stops: Yes.
  • Default Values:
    • Ema60Period = 60
    • Ema90Period = 90
    • AtrPeriod = 24
    • Multiplier = 4
    • ProfitTargetMultiplier = 2
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: EMA, MACD, ATR
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Trend-following strategy using EMA cross and ATR-based trailing stop.
/// </summary>
public class ImprovedEmaCdcTrailingStopStrategy : Strategy
{
	private readonly StrategyParam<int> _ema60Period;
	private readonly StrategyParam<int> _ema90Period;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<decimal> _profitTargetMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// EMA 60 period.
	/// </summary>
	public int Ema60Period { get => _ema60Period.Value; set => _ema60Period.Value = value; }

	/// <summary>
	/// EMA 90 period.
	/// </summary>
	public int Ema90Period { get => _ema90Period.Value; set => _ema90Period.Value = value; }

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

	/// <summary>
	/// ATR multiplier for trailing stop.
	/// </summary>
	public decimal Multiplier { get => _multiplier.Value; set => _multiplier.Value = value; }

	/// <summary>
	/// ATR multiplier for profit target.
	/// </summary>
	public decimal ProfitTargetMultiplier { get => _profitTargetMultiplier.Value; set => _profitTargetMultiplier.Value = value; }

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

	/// <summary>
	/// Initializes a new instance of <see cref="ImprovedEmaCdcTrailingStopStrategy"/>.
	/// </summary>
	public ImprovedEmaCdcTrailingStopStrategy()
	{
		_ema60Period = Param(nameof(Ema60Period), 60)
			.SetGreaterThanZero()
			.SetDisplay("EMA 60 Period", "Length of the fast EMA", "Parameters")
			
			.SetOptimize(20, 100, 10);

		_ema90Period = Param(nameof(Ema90Period), 90)
			.SetGreaterThanZero()
			.SetDisplay("EMA 90 Period", "Length of the slow EMA", "Parameters")
			
			.SetOptimize(30, 120, 10);

		_atrPeriod = Param(nameof(AtrPeriod), 24)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Parameters")
			
			.SetOptimize(14, 50, 2);

		_multiplier = Param(nameof(Multiplier), 4m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "Multiplier for trailing stop", "Parameters")
			
			.SetOptimize(1m, 5m, 1m);

		_profitTargetMultiplier = Param(nameof(ProfitTargetMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Profit Target Multiplier", "ATR multiplier for take profit", "Parameters")
			
			.SetOptimize(1m, 5m, 1m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		StartProtection(null, null);

		var ema60 = new ExponentialMovingAverage { Length = Ema60Period };
		var ema90 = new ExponentialMovingAverage { Length = Ema90Period };
		var atr = new AverageTrueRange { Length = AtrPeriod };
		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd = { ShortMa = { Length = 12 }, LongMa = { Length = 26 } },
			SignalMa = { Length = 9 }
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macd, ema60, ema90, atr, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema60);
			DrawIndicator(area, ema90);
			DrawOwnTrades(area);

			var macdArea = CreateChartArea();
			DrawIndicator(macdArea, macd);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue macdValue, IIndicatorValue ema60Value, IIndicatorValue ema90Value, IIndicatorValue atrValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (macdValue is not MovingAverageConvergenceDivergenceSignalValue macdTyped)
			return;

		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		if (ema60Value.IsEmpty || ema90Value.IsEmpty || atrValue.IsEmpty)
			return;

		var ema60 = ema60Value.ToDecimal();
		var ema90 = ema90Value.ToDecimal();
		var atr = atrValue.ToDecimal();

		if (atr <= 0) return;

		var longCondition = candle.ClosePrice > ema60 && ema60 > ema90 && macd > signal;
		var shortCondition = candle.ClosePrice < ema60 && ema60 < ema90 && macd < signal;

		if (longCondition && Position <= 0)
			BuyMarket();
		else if (shortCondition && Position >= 0)
			SellMarket();
	}
}