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MA L World Strategy

Weighted moving average crossover strategy with trailing stop based on EMA.

Opens long when the fast WMA crosses above the slow WMA. Opens short when the fast WMA crosses below the slow WMA. Uses a 92-period EMA as a trailing exit and fixed stop-loss and take-profit levels.

Details

  • Entry Criteria:
    • Long: Fast WMA crosses above Slow WMA
    • Short: Fast WMA crosses below Slow WMA
  • Long/Short: Both
  • Exit Criteria: Opposite crossover or price crossing trailing EMA
  • Stops: Stop loss and take profit via StartProtection
  • Default Values:
    • FastMaLength = 12
    • SlowMaLength = 25
    • TrailingMaPeriod = 92
    • StopLoss = 95m
    • TakeProfit = 670m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: WMA, EMA
    • Stops: Stop loss, take profit, trailing EMA
    • 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>
/// Moving average crossover strategy with trailing EMA and fixed stop levels.
/// </summary>
public class MaLWorldStrategy : Strategy
{
	private readonly StrategyParam<int> _fastMaLength;
	private readonly StrategyParam<int> _slowMaLength;
	private readonly StrategyParam<int> _trailingMaPeriod;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _minSpreadPercent;
	private readonly StrategyParam<int> _cooldownBars;

	private WeightedMovingAverage _fastMa = null!;
	private WeightedMovingAverage _slowMa = null!;
	private ExponentialMovingAverage _trailingMa = null!;
	private bool _initialized;
	private decimal _prevFast;
	private decimal _prevSlow;
	private int _cooldownRemaining;

	public int FastMaLength
	{
		get => _fastMaLength.Value;
		set => _fastMaLength.Value = value;
	}

	public int SlowMaLength
	{
		get => _slowMaLength.Value;
		set => _slowMaLength.Value = value;
	}

	public int TrailingMaPeriod
	{
		get => _trailingMaPeriod.Value;
		set => _trailingMaPeriod.Value = value;
	}

	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

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

	public decimal MinSpreadPercent
	{
		get => _minSpreadPercent.Value;
		set => _minSpreadPercent.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public MaLWorldStrategy()
	{
		_fastMaLength = Param(nameof(FastMaLength), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA", "Period of the fast weighted MA", "Parameters");

		_slowMaLength = Param(nameof(SlowMaLength), 25)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA", "Period of the slow weighted MA", "Parameters");

		_trailingMaPeriod = Param(nameof(TrailingMaPeriod), 92)
			.SetGreaterThanZero()
			.SetDisplay("Trailing EMA", "Period of trailing EMA", "Risk");

		_stopLoss = Param(nameof(StopLoss), 95m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Fixed stop loss distance", "Risk");

		_takeProfit = Param(nameof(TakeProfit), 670m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Fixed take profit distance", "Risk");

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

		_minSpreadPercent = Param(nameof(MinSpreadPercent), 0.0008m)
			.SetDisplay("Minimum Spread %", "Minimum normalized spread between fast and slow MA", "Filters");

		_cooldownBars = Param(nameof(CooldownBars), 3)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a position change", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_fastMa = null!;
		_slowMa = null!;
		_trailingMa = null!;
		_initialized = false;
		_prevFast = 0m;
		_prevSlow = 0m;
		_cooldownRemaining = 0;
	}

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

		_fastMa = new WeightedMovingAverage { Length = FastMaLength };
		_slowMa = new WeightedMovingAverage { Length = SlowMaLength };
		_trailingMa = new ExponentialMovingAverage { Length = TrailingMaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_fastMa, _slowMa, _trailingMa, ProcessCandle).Start();

		StartProtection(
			stopLoss: new Unit(StopLoss, UnitTypes.Absolute),
			takeProfit: new Unit(TakeProfit, UnitTypes.Absolute));

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

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow, decimal trail)
	{
		if (candle.State != CandleStates.Finished || !_fastMa.IsFormed || !_slowMa.IsFormed || !_trailingMa.IsFormed)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		if (!_initialized)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_initialized = true;
			return;
		}

		var spreadPercent = candle.ClosePrice != 0m ? Math.Abs(fast - slow) / candle.ClosePrice : 0m;
		var crossUp = _prevFast <= _prevSlow && fast > slow && spreadPercent >= MinSpreadPercent;
		var crossDown = _prevFast >= _prevSlow && fast < slow && spreadPercent >= MinSpreadPercent;

		if (_cooldownRemaining == 0)
		{
			if (crossUp && Position <= 0)
			{
				if (Position < 0)
					BuyMarket();

				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (crossDown && Position >= 0)
			{
				if (Position > 0)
					SellMarket();

				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}

		_prevFast = fast;
		_prevSlow = slow;

		if (Position > 0 && candle.LowPrice <= trail)
		{
			SellMarket();
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && candle.HighPrice >= trail)
		{
			BuyMarket();
			_cooldownRemaining = CooldownBars;
		}
	}
}