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Smoothing Average Strategy

Overview

The strategy trades around a simple moving average (SMA) with an additional smoothing offset. It attempts to exploit price deviations from the moving average by entering positions when the close price crosses an offset distance from the average.

How It Works

  • Calculate an SMA of the chosen candle type.
  • If there is no open position:
    • Enter a short position when the close price is below SMA + Smoothing.
    • Enter a long position when the close price is above SMA - Smoothing.
  • For an open short position:
    • Close the position when the close price rises above SMA + Smoothing.
  • For an open long position:
    • Close the position when the close price falls below SMA - Smoothing.

The strategy uses market orders and works with finished candles only.

Parameters

  • MA Period – lookback period for the SMA.
  • Smoothing – price offset added or subtracted from the SMA when generating signals.
  • Candle Type – timeframe of candles used for calculations.

Notes

This conversion is based on the original MQL4 script smoothingaverage.mq4.

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Moving average strategy with smoothing offset.
/// </summary>
public class SmoothingAverageStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _smoothing;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private int _cooldown;

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	public decimal Smoothing
	{
		get => _smoothing.Value;
		set => _smoothing.Value = value;
	}

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

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

	public SmoothingAverageStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 200)
			.SetDisplay("MA Period", "Moving average period", "MA")
			;
		_smoothing = Param(nameof(Smoothing), 1400m)
			.SetDisplay("Smoothing", "Price offset from moving average", "General")
			;
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_cooldownBars = Param(nameof(CooldownBars), 36)
			.SetDisplay("Cooldown Bars", "Bars to wait between new signals", "General")
			;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_cooldown = 0;
	}

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

		// create moving average indicator
		var sma = new SimpleMovingAverage { Length = MaPeriod };

		// subscribe to candles
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		var price = candle.ClosePrice;
		var offset = (Security.PriceStep ?? 1m) * Smoothing;

		if (Position == 0)
		{
			if (price >= maValue + offset)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			else if (price <= maValue - offset)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position < 0 && price <= maValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		else if (Position > 0 && price >= maValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
	}
}