日本語
GitHub で見る

移動平均戦略

選択した価格タイプの短期移動平均が長期移動平均を上抜けたときにロングポジションを建てます。短期平均が長期平均を再び下抜けたときにポジションを決済します。

詳細

  • エントリー条件: 短期MAが長期MAを上抜け。
  • エグジット条件: 短期MAが長期MAを下抜け。
  • インジケーター: SMA, EMA, DEMA, TEMA, WMA, VWMA。
  • 価格ソース: Close, High, Open, Low, Typical, Center。
  • ストップ: なし。
  • デフォルト値:
    • MaType = EMA
    • ShortLength = 1
    • LongLength = 20
    • PriceType = Typical
    • CandleType = 1 minute
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 方向: ロングのみ
    • インジケーター: 移動平均
    • ストップ: なし
    • 複雑さ: シンプル
    • リスクレベル: 中
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>
/// Moving average crossover strategy.
/// A short and a long moving average of the selected type are calculated on the selected candle price.
/// A long opens when the short average crosses above the long one and closes when it crosses back below. Long only, no stops.
/// </summary>
public class MovingAverageStrategy : Strategy
{
	/// <summary>
	/// Moving average types.
	/// </summary>
	public enum MaTypes
	{
		/// <summary>Simple moving average.</summary>
		SMA,
		/// <summary>Exponential moving average.</summary>
		EMA,
		/// <summary>Double exponential moving average.</summary>
		DEMA,
		/// <summary>Triple exponential moving average.</summary>
		TEMA,
		/// <summary>Weighted moving average.</summary>
		WMA,
		/// <summary>Volume weighted moving average.</summary>
		VWMA,
	}

	/// <summary>
	/// Candle price used by the averages.
	/// </summary>
	public enum PriceTypes
	{
		/// <summary>Close price.</summary>
		Close,
		/// <summary>High price.</summary>
		High,
		/// <summary>Open price.</summary>
		Open,
		/// <summary>Low price.</summary>
		Low,
		/// <summary>(High + Low + Close) / 3.</summary>
		Typical,
		/// <summary>(High + Low) / 2.</summary>
		Center,
	}

	private readonly StrategyParam<MaTypes> _maType;
	private readonly StrategyParam<int> _shortLength;
	private readonly StrategyParam<int> _longLength;
	private readonly StrategyParam<PriceTypes> _priceType;
	private readonly StrategyParam<DataType> _candleType;

	private MovingAverageLine _shortMa;
	private MovingAverageLine _longMa;
	private decimal? _prevShort;
	private decimal? _prevLong;

	/// <summary>
	/// Moving average type.
	/// </summary>
	public MaTypes MaType
	{
		get => _maType.Value;
		set => _maType.Value = value;
	}

	/// <summary>
	/// Short moving average length.
	/// </summary>
	public int ShortLength
	{
		get => _shortLength.Value;
		set => _shortLength.Value = value;
	}

	/// <summary>
	/// Long moving average length.
	/// </summary>
	public int LongLength
	{
		get => _longLength.Value;
		set => _longLength.Value = value;
	}

	/// <summary>
	/// Candle price used by the averages.
	/// </summary>
	public PriceTypes PriceType
	{
		get => _priceType.Value;
		set => _priceType.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public MovingAverageStrategy()
	{
		_maType = Param(nameof(MaType), MaTypes.EMA)
			.SetDisplay("MA Type", "Moving average type", "Indicators");

		_shortLength = Param(nameof(ShortLength), 1)
			.SetGreaterThanZero()
			.SetDisplay("Short Length", "Short moving average length", "Indicators");

		_longLength = Param(nameof(LongLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Long Length", "Long moving average length", "Indicators");

		_priceType = Param(nameof(PriceType), PriceTypes.Typical)
			.SetDisplay("Price Type", "Candle price used by the averages", "Indicators");

		_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();
		_shortMa = null;
		_longMa = null;
		_prevShort = null;
		_prevLong = null;
	}

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

		_prevShort = null;
		_prevLong = null;
		_shortMa = new MovingAverageLine(MaType, ShortLength);
		_longMa = new MovingAverageLine(MaType, LongLength);

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

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

	private decimal GetPrice(ICandleMessage candle)
	{
		return PriceType switch
		{
			PriceTypes.High => candle.HighPrice,
			PriceTypes.Open => candle.OpenPrice,
			PriceTypes.Low => candle.LowPrice,
			PriceTypes.Typical => (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3m,
			PriceTypes.Center => (candle.HighPrice + candle.LowPrice) / 2m,
			_ => candle.ClosePrice,
		};
	}

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

		var price = GetPrice(candle);
		var shortValue = _shortMa.Process(price, candle.TotalVolume, candle.OpenTime);
		var longValue = _longMa.Process(price, candle.TotalVolume, candle.OpenTime);

		if (shortValue is not decimal shortMa || longValue is not decimal longMa)
			return;

		var prevShort = _prevShort;
		var prevLong = _prevLong;
		_prevShort = shortMa;
		_prevLong = longMa;

		if (prevShort is not decimal ps || prevLong is not decimal pl)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (ps <= pl && shortMa > longMa && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (ps >= pl && shortMa < longMa && Position > 0)
			SellMarket(Position);
	}

	/// <summary>
	/// A moving average fed with an arbitrary price; VWMA is calculated from the price and candle volume.
	/// </summary>
	private sealed class MovingAverageLine
	{
		private readonly IIndicator _indicator;
		private readonly int _length;
		private readonly Queue<(decimal price, decimal volume)> _window = new();

		public MovingAverageLine(MaTypes type, int length)
		{
			_length = length;
			_indicator = type switch
			{
				MaTypes.SMA => new SimpleMovingAverage { Length = length },
				MaTypes.DEMA => new DoubleExponentialMovingAverage { Length = length },
				MaTypes.TEMA => new TripleExponentialMovingAverage { Length = length },
				MaTypes.WMA => new WeightedMovingAverage { Length = length },
				MaTypes.VWMA => null,
				_ => new ExponentialMovingAverage { Length = length },
			};
		}

		public decimal? Process(decimal price, decimal volume, DateTime time)
		{
			if (_indicator == null)
			{
				_window.Enqueue((price, volume));
				if (_window.Count > _length)
					_window.Dequeue();
				if (_window.Count < _length)
					return null;

				decimal sumPv = 0m, sumV = 0m;
				foreach (var (p, v) in _window)
				{
					sumPv += p * v;
					sumV += v;
				}

				return sumV == 0m ? price : sumPv / sumV;
			}

			var value = _indicator.Process(new DecimalIndicatorValue(_indicator, price, time) { IsFinal = true });
			if (!_indicator.IsFormed || value.IsEmpty)
				return null;

			return value.ToDecimal();
		}
	}
}