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MA Crossover Demand Supply Zones SLTP Strategy

This strategy combines a short/long simple moving average crossover with demand and supply zone detection. The system looks for crossovers occurring near recently confirmed demand or supply zones, then enters in the direction of the crossover and manages the position with fixed-percent stop loss and take profit.

Details

  • Entry Criteria:
    • Long: short SMA crosses above long SMA near a demand zone.
    • Short: short SMA crosses below long SMA near a supply zone.
  • Long/Short: Both sides.
  • Exit Criteria:
    • Price hits take profit or stop loss levels.
  • Stops: Percent-based stop loss and take profit.
  • Default Values:
    • ShortMaLength = 9
    • LongMaLength = 21
    • ZoneLookback = 50
    • ZoneStrength = 2
    • StopLossPercent = 1
    • TakeProfitPercent = 2
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: SMA, Highest, Lowest
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Any
    • 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>
/// MA crossover with demand/supply zone proximity and SL/TP.
/// </summary>
public class MaCrossoverDemandSupplyZonesSltpStrategy : Strategy
{
	private readonly StrategyParam<int> _shortMaLength;
	private readonly StrategyParam<int> _longMaLength;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _shortMa;
	private ExponentialMovingAverage _longMa;
	private decimal _prevShort;
	private decimal _prevLong;
	private bool _initialized;
	private decimal _entryPrice;
	private int _cooldown;

	public int ShortMaLength { get => _shortMaLength.Value; set => _shortMaLength.Value = value; }
	public int LongMaLength { get => _longMaLength.Value; set => _longMaLength.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MaCrossoverDemandSupplyZonesSltpStrategy()
	{
		_shortMaLength = Param(nameof(ShortMaLength), 9).SetGreaterThanZero()
			.SetDisplay("Short MA", "Short MA period", "Indicators");
		_longMaLength = Param(nameof(LongMaLength), 21).SetGreaterThanZero()
			.SetDisplay("Long MA", "Long MA period", "Indicators");
		_stopLossPercent = Param(nameof(StopLossPercent), 7m).SetGreaterThanZero()
			.SetDisplay("SL %", "Stop loss percent", "Risk");
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 10m).SetGreaterThanZero()
			.SetDisplay("TP %", "Take profit percent", "Risk");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(20).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevShort = default;
		_prevLong = default;
		_initialized = false;
		_entryPrice = default;
		_cooldown = default;
	}

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

		_shortMa = new ExponentialMovingAverage { Length = ShortMaLength };
		_longMa = new ExponentialMovingAverage { Length = LongMaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_shortMa, _longMa, ProcessCandle)
			.Start();

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

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

		if (!_shortMa.IsFormed || !_longMa.IsFormed)
			return;

		if (!_initialized)
		{
			_prevShort = shortMa;
			_prevLong = longMa;
			_initialized = true;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevShort = shortMa;
			_prevLong = longMa;
			return;
		}

		var crossUp = _prevShort <= _prevLong && shortMa > longMa;
		var crossDown = _prevShort >= _prevLong && shortMa < longMa;

		if (crossUp && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_entryPrice = candle.ClosePrice;
			_cooldown = 10;
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_entryPrice = candle.ClosePrice;
			_cooldown = 10;
		}

		// SL/TP for long
		if (Position > 0 && _entryPrice > 0)
		{
			var sl = _entryPrice * (1m - StopLossPercent / 100m);
			var tp = _entryPrice * (1m + TakeProfitPercent / 100m);
			if (candle.ClosePrice <= sl || candle.ClosePrice >= tp)
			{
				SellMarket();
				_entryPrice = 0;
				_cooldown = 15;
			}
		}
		// SL/TP for short
		else if (Position < 0 && _entryPrice > 0)
		{
			var sl = _entryPrice * (1m + StopLossPercent / 100m);
			var tp = _entryPrice * (1m - TakeProfitPercent / 100m);
			if (candle.ClosePrice >= sl || candle.ClosePrice <= tp)
			{
				BuyMarket();
				_entryPrice = 0;
				_cooldown = 15;
			}
		}

		_prevShort = shortMa;
		_prevLong = longMa;
	}
}