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Universal Investor Strategy

Overview

The Universal Investor Strategy uses the crossover between the Exponential Moving Average (EMA) and the Linear Weighted Moving Average (LWMA) to determine market direction. It confirms trend strength by checking that both averages move in the same direction.

Logic

  • Buy Entry: LWMA is above EMA and both averages are rising.
  • Sell Entry: LWMA is below EMA and both averages are falling.
  • Buy Exit: LWMA crosses below EMA.
  • Sell Exit: LWMA crosses above EMA.

The strategy reduces position size after consecutive losing trades when the decrease factor is enabled.

Parameters

Name Description
MovingPeriod Length for EMA and LWMA calculations.
DecreaseFactor Lot reduction factor after losses (0 disables reduction).
CandleType Candle data type for calculations.
Volume Base trade volume from the strategy settings.

Notes

  • Works on finished candles only.
  • Uses high-level StockSharp API with indicator binding.
  • No Python version is provided.
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>
/// Strategy based on EMA and WMA crossover with trend confirmation.
/// </summary>
public class UniversalInvestorStrategy : Strategy
{
	private readonly StrategyParam<int> _movingPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private decimal _prevLwma;
	private bool _hasPrev;

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

	public UniversalInvestorStrategy()
	{
		_movingPeriod = Param(nameof(MovingPeriod), 23)
			.SetGreaterThanZero()
			.SetDisplay("Moving Period", "Smoothing period for EMA and WMA", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for calculations", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevEma = 0;
		_prevLwma = 0;
		_hasPrev = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var ema = new ExponentialMovingAverage { Length = MovingPeriod };
		var lwma = new WeightedMovingAverage { Length = MovingPeriod };

		SubscribeCandles(CandleType)
			.Bind(ema, lwma, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevEma = emaValue;
			_prevLwma = lwmaValue;
			_hasPrev = true;
			return;
		}

		var openBuy = lwmaValue > emaValue && lwmaValue > _prevLwma && emaValue > _prevEma;
		var openSell = lwmaValue < emaValue && lwmaValue < _prevLwma && emaValue < _prevEma;
		var closeBuy = lwmaValue < emaValue;
		var closeSell = lwmaValue > emaValue;

		if (Position > 0 && closeBuy)
		{
			SellMarket();
		}
		else if (Position < 0 && closeSell)
		{
			BuyMarket();
		}
		else if (Position == 0)
		{
			if (openBuy && !closeBuy)
				BuyMarket();
			else if (openSell && !closeSell)
				SellMarket();
		}

		_prevEma = emaValue;
		_prevLwma = lwmaValue;
	}
}