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T3MA Alarm Trend Strategy

This strategy replicates the idea of the T3MA-ALARM indicator. It applies a double smoothed exponential moving average to detect changes in trend direction.

When the smoothed moving average turns upward it opens a long position. When it turns downward it opens a short position. Optionally an opposite signal can close the current position. Stop-loss and take-profit levels are set as absolute price distances from the entry price.

Parameters

Parameter Description
MaPeriod Length of the exponential moving average.
MaShift Number of bars used to detect the direction change.
StopLoss Price distance for protective stop-loss. Set 0 to disable.
TakeProfit Price distance for take-profit. Set 0 to disable.
ReverseOnSignal Close an opposite position when a new signal appears.
CandleType Candle type used for calculations.

Signals

  • Buy – the smoothed MA direction changes from down to up.
  • Sell – the smoothed MA direction changes from up to down.

Positions are closed either by an opposite signal (when enabled) or when stop-loss / take-profit levels are reached.

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 direction changes of a smoothed EMA.
/// </summary>
public class T3MaAlarmStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _maShift;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<bool> _reverseOnSignal;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private readonly List<decimal> _emaValues = new();
	private int _prevDirection;
	private decimal _entryPrice;
	private int _cooldownRemaining;

	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public int MaShift { get => _maShift.Value; set => _maShift.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public bool ReverseOnSignal { get => _reverseOnSignal.Value; set => _reverseOnSignal.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public T3MaAlarmStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 19)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "EMA length", "Indicator");

		_maShift = Param(nameof(MaShift), 1)
			.SetDisplay("MA Shift", "Bars shift for direction check", "Indicator");

		_stopLoss = Param(nameof(StopLoss), 200m)
			.SetDisplay("Stop Loss", "Stop-loss distance in price", "Risk")
			.SetOptimize(0m, 1000m, 100m);

		_takeProfit = Param(nameof(TakeProfit), 400m)
			.SetDisplay("Take Profit", "Take-profit distance in price", "Risk")
			.SetOptimize(0m, 1000m, 100m);

		_reverseOnSignal = Param(nameof(ReverseOnSignal), true)
			.SetDisplay("Reverse On Signal", "Close opposite position when new signal appears", "Strategy");

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

		_cooldownBars = Param(nameof(CooldownBars), 4)
			.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();
		_emaValues.Clear();
		_prevDirection = 0;
		_entryPrice = 0m;
		_cooldownRemaining = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = MaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, ProcessCandle)
			.Start();

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

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		_emaValues.Add(emaValue);
		var required = MaShift + 2;
		if (_emaValues.Count > required)
			_emaValues.RemoveAt(0);
		if (_emaValues.Count < required)
			return;

		var valueShift = _emaValues[^ (1 + MaShift)];
		var valuePrev = _emaValues[^ (2 + MaShift)];
		var direction = valueShift > valuePrev ? 1 : valueShift < valuePrev ? -1 : _prevDirection;

		if (_cooldownRemaining == 0)
		{
			if (_prevDirection == -1 && direction == 1)
			{
				if (Position < 0 && ReverseOnSignal)
					BuyMarket();

				if (Position <= 0)
				{
					_entryPrice = candle.ClosePrice;
					BuyMarket();
					_cooldownRemaining = CooldownBars;
				}
			}
			else if (_prevDirection == 1 && direction == -1)
			{
				if (Position > 0 && ReverseOnSignal)
					SellMarket();

				if (Position >= 0)
				{
					_entryPrice = candle.ClosePrice;
					SellMarket();
					_cooldownRemaining = CooldownBars;
				}
			}
		}

		if (Position != 0 && _entryPrice != 0m)
			CheckExit(candle.ClosePrice);

		_prevDirection = direction;
	}

	private void CheckExit(decimal price)
	{
		if (Position > 0)
		{
			if (StopLoss > 0m && price <= _entryPrice - StopLoss)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (TakeProfit > 0m && price >= _entryPrice + TakeProfit)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			if (StopLoss > 0m && price >= _entryPrice + StopLoss)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (TakeProfit > 0m && price <= _entryPrice - TakeProfit)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
		}
	}
}