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Move Cross Strategy

Overview

This strategy demonstrates a simplified conversion of the original move_cross.mq4 script. It employs the RAVI (Range Action Verification Index) indicator calculated from two simple moving averages to determine trend direction.

The strategy compares hourly and daily RAVI values:

  • Buy when the hourly RAVI is negative while the daily RAVI is positive and rising.
  • Sell when the hourly RAVI is positive while the daily RAVI is negative and falling.

Positions are opened at market with optional profit target and stop loss.

Parameters

Name Description Default
TakeProfit Profit target in points 50
StopLoss Loss limit in points 100

Notes

  • The strategy uses two SMA pairs (2 and 24 periods) to compute RAVI on hourly and daily candles.
  • It is intended for educational purposes and may require further tuning for live trading.
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>
/// RAVI based trend strategy.
/// Uses fast and slow SMA to compute RAVI oscillator. Enters on RAVI trending conditions.
/// </summary>
public class MoveCrossStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _raviPrev1;
	private decimal _raviPrev2;
	private decimal _raviPrev3;
	private bool _hasHistory;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public decimal Threshold { get => _threshold.Value; set => _threshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MoveCrossStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast SMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 24)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow SMA period", "Indicators");

		_threshold = Param(nameof(Threshold), 0.5m)
			.SetDisplay("Threshold", "RAVI threshold", "Indicators");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_raviPrev1 = 0;
		_raviPrev2 = 0;
		_raviPrev3 = 0;
		_hasHistory = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fastSma = new SimpleMovingAverage { Length = FastPeriod };
		var slowSma = new SimpleMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastSma, slowSma, ProcessCandle)
			.Start();

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

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

		if (slow == 0)
			return;

		var ravi = (fast - slow) / slow * 100m;

		if (_hasHistory)
		{
			// Buy: RAVI rising for 3 bars and above threshold
			var raviRising = ravi > _raviPrev1 && _raviPrev1 > _raviPrev2 && _raviPrev2 > _raviPrev3;
			// Sell: RAVI falling for 3 bars and below negative threshold
			var raviFalling = ravi < _raviPrev1 && _raviPrev1 < _raviPrev2 && _raviPrev2 < _raviPrev3;

			if (raviRising && ravi > Threshold && Position <= 0)
				BuyMarket();
			else if (raviFalling && ravi < -Threshold && Position >= 0)
				SellMarket();
		}

		_raviPrev3 = _raviPrev2;
		_raviPrev2 = _raviPrev1;
		_raviPrev1 = ravi;
		_hasHistory = true;
	}
}