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Contrarian Trade MA Strategy

A weekly contrarian system that evaluates prior highs, lows and a moving average to open trades at the end of each week. The position is held for one week regardless of direction.

The method is designed for major currency pairs but can be applied to any liquid asset with weekly data.

Details

  • Entry Criteria:
    • Buy: Previous week's close above the highest high of the lookback period, or the moving average is above the weekly open.
    • Sell: Previous week's close below the lowest low of the lookback period, or the moving average is below the weekly open.
  • Long/Short: Both.
  • Exit Criteria: Position is closed after being held for one week.
  • Stops: None.
  • Timeframe: Weekly candles.
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>
/// Weekly contrarian strategy using moving average and extreme price levels.
/// </summary>
public class ContrarianTradeMaStrategy : Strategy
{
	private readonly StrategyParam<int> _calcPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private int _barsInPosition;
	private decimal _prevHighest;
	private decimal _prevLowest;
	private decimal _prevSma;
	private bool _hasPrev;

	public int CalcPeriod { get => _calcPeriod.Value; set => _calcPeriod.Value = value; }
	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ContrarianTradeMaStrategy()
	{
		_calcPeriod = Param(nameof(CalcPeriod), 10)
			.SetDisplay("Calc Period", "Lookback period for extremes", "General");

		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetDisplay("MA Period", "Moving average period", "General");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = 0;
		_barsInPosition = 0;
		_prevHighest = 0;
		_prevLowest = 0;
		_prevSma = 0;
		_hasPrev = false;
	}

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

		var highest = new Highest { Length = CalcPeriod };
		var lowest = new Lowest { Length = CalcPeriod };
		var sma = new SimpleMovingAverage { Length = MaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(highest, lowest, sma, ProcessCandle).Start();

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

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

		if (!_hasPrev)
		{
			_prevClose = candle.ClosePrice;
			_prevHighest = highest;
			_prevLowest = lowest;
			_prevSma = sma;
			_hasPrev = true;
			return;
		}

		if (Position == 0)
		{
			if (_prevHighest < _prevClose && Position <= 0)
			{
				BuyMarket();
				_barsInPosition = 0;
			}
			else if (_prevLowest > _prevClose && Position >= 0)
			{
				SellMarket();
				_barsInPosition = 0;
			}
			else if (_prevSma > candle.OpenPrice && Position <= 0)
			{
				BuyMarket();
				_barsInPosition = 0;
			}
			else if (_prevSma < candle.OpenPrice && Position >= 0)
			{
				SellMarket();
				_barsInPosition = 0;
			}
		}
		else
		{
			_barsInPosition++;

			if (_barsInPosition >= CalcPeriod)
			{
				if (Position > 0)
					SellMarket();
				else
					BuyMarket();

				_barsInPosition = 0;
			}
		}

		_prevClose = candle.ClosePrice;
		_prevHighest = highest;
		_prevLowest = lowest;
		_prevSma = sma;
	}
}