using System;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;
namespace StockSharp.Samples.Strategies;
/// <summary>
/// Stop Hunter: EMA crossover with ATR trailing stops.
/// </summary>
public class StopHunterStrategy : Strategy
{
private readonly StrategyParam<DataType> _candleType;
private readonly StrategyParam<int> _fastEmaLength;
private readonly StrategyParam<int> _slowEmaLength;
private readonly StrategyParam<int> _atrLength;
private decimal _prevFast;
private decimal _prevSlow;
private decimal _entryPrice;
private decimal _bestPrice;
public StopHunterStrategy()
{
_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
.SetDisplay("Candle Type", "Timeframe.", "General");
_fastEmaLength = Param(nameof(FastEmaLength), 10)
.SetDisplay("Fast EMA Length", "Fast EMA period.", "Indicators");
_slowEmaLength = Param(nameof(SlowEmaLength), 30)
.SetDisplay("Slow EMA Length", "Slow EMA period.", "Indicators");
_atrLength = Param(nameof(AtrLength), 14)
.SetDisplay("ATR Length", "ATR period.", "Indicators");
}
public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
public int FastEmaLength { get => _fastEmaLength.Value; set => _fastEmaLength.Value = value; }
public int SlowEmaLength { get => _slowEmaLength.Value; set => _slowEmaLength.Value = value; }
public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
/// <inheritdoc />
protected override void OnReseted()
{
base.OnReseted();
_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _bestPrice = 0;
}
protected override void OnStarted2(DateTime time)
{
base.OnStarted2(time);
_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _bestPrice = 0;
var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
var atr = new AverageTrueRange { Length = AtrLength };
var subscription = SubscribeCandles(CandleType);
subscription.Bind(fastEma, slowEma, atr, ProcessCandle).Start();
var area = CreateChartArea();
if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fastEma); DrawIndicator(area, slowEma); DrawOwnTrades(area); }
}
private void ProcessCandle(ICandleMessage candle, decimal fastVal, decimal slowVal, decimal atrVal)
{
if (candle.State != CandleStates.Finished) return;
if (_prevFast == 0 || _prevSlow == 0 || atrVal <= 0) { _prevFast = fastVal; _prevSlow = slowVal; return; }
var close = candle.ClosePrice;
if (Position > 0)
{
if (close > _bestPrice) _bestPrice = close;
if (close <= _bestPrice - atrVal * 2m || (fastVal < slowVal && _prevFast >= _prevSlow)) { SellMarket(); _entryPrice = 0; _bestPrice = 0; }
}
else if (Position < 0)
{
if (close < _bestPrice) _bestPrice = close;
if (close >= _bestPrice + atrVal * 2m || (fastVal > slowVal && _prevFast <= _prevSlow)) { BuyMarket(); _entryPrice = 0; _bestPrice = 0; }
}
if (Position == 0)
{
if (fastVal > slowVal && _prevFast <= _prevSlow) { _entryPrice = close; _bestPrice = close; BuyMarket(); }
else if (fastVal < slowVal && _prevFast >= _prevSlow) { _entryPrice = close; _bestPrice = close; SellMarket(); }
}
_prevFast = fastVal; _prevSlow = slowVal;
}
}
import clr
clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")
from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Strategies import Strategy
from StockSharp.Algo.Indicators import ExponentialMovingAverage, AverageTrueRange
class stop_hunter_strategy(Strategy):
def __init__(self):
super(stop_hunter_strategy, self).__init__()
self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
.SetDisplay("Candle Type", "Timeframe.", "General")
self._fast_ema_length = self.Param("FastEmaLength", 10) \
.SetDisplay("Fast EMA Length", "Fast EMA period.", "Indicators")
self._slow_ema_length = self.Param("SlowEmaLength", 30) \
.SetDisplay("Slow EMA Length", "Slow EMA period.", "Indicators")
self._atr_length = self.Param("AtrLength", 14) \
.SetDisplay("ATR Length", "ATR period.", "Indicators")
self._prev_fast = 0.0
self._prev_slow = 0.0
self._entry_price = 0.0
self._best_price = 0.0
@property
def CandleType(self):
return self._candle_type.Value
@property
def FastEmaLength(self):
return self._fast_ema_length.Value
@property
def SlowEmaLength(self):
return self._slow_ema_length.Value
@property
def AtrLength(self):
return self._atr_length.Value
def OnStarted2(self, time):
super(stop_hunter_strategy, self).OnStarted2(time)
self._prev_fast = 0.0
self._prev_slow = 0.0
self._entry_price = 0.0
self._best_price = 0.0
self._fast_ema = ExponentialMovingAverage()
self._fast_ema.Length = self.FastEmaLength
self._slow_ema = ExponentialMovingAverage()
self._slow_ema.Length = self.SlowEmaLength
self._atr = AverageTrueRange()
self._atr.Length = self.AtrLength
subscription = self.SubscribeCandles(self.CandleType)
subscription.Bind(self._fast_ema, self._slow_ema, self._atr, self.ProcessCandle).Start()
def ProcessCandle(self, candle, fast_val, slow_val, atr_val):
if candle.State != CandleStates.Finished:
return
fv = float(fast_val)
sv = float(slow_val)
av = float(atr_val)
if self._prev_fast == 0 or self._prev_slow == 0 or av <= 0:
self._prev_fast = fv
self._prev_slow = sv
return
close = float(candle.ClosePrice)
if self.Position > 0:
if close > self._best_price:
self._best_price = close
if close <= self._best_price - av * 2.0 or (fv < sv and self._prev_fast >= self._prev_slow):
self.SellMarket()
self._entry_price = 0.0
self._best_price = 0.0
elif self.Position < 0:
if close < self._best_price:
self._best_price = close
if close >= self._best_price + av * 2.0 or (fv > sv and self._prev_fast <= self._prev_slow):
self.BuyMarket()
self._entry_price = 0.0
self._best_price = 0.0
if self.Position == 0:
if fv > sv and self._prev_fast <= self._prev_slow:
self._entry_price = close
self._best_price = close
self.BuyMarket()
elif fv < sv and self._prev_fast >= self._prev_slow:
self._entry_price = close
self._best_price = close
self.SellMarket()
self._prev_fast = fv
self._prev_slow = sv
def OnReseted(self):
super(stop_hunter_strategy, self).OnReseted()
self._prev_fast = 0.0
self._prev_slow = 0.0
self._entry_price = 0.0
self._best_price = 0.0
def CreateClone(self):
return stop_hunter_strategy()