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Disturbed Strategy

This hedging strategy opens simultaneous long and short market orders and manages them based on the current spread. Once price moves by one spread against either side, that position is closed. The remaining position then targets a profit or loss equal to a configurable multiple of the spread.

Details

  • Entry Criteria:
    • On start, place both buy and sell market orders.
  • Long/Short: Both simultaneously.
  • Exit Criteria:
    • Close the side that loses one spread.
    • Close the remaining side at gainMultiplier * spread profit or loss.
  • Stops: Implicit via spread-based levels.
  • Filters: None.
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>
/// Hedging-style strategy using EMA crossover with ATR-based mean reversion.
/// </summary>
public class DisturbedStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private bool _hasPrev;

	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public DisturbedStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period", "Indicators");
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period", "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();
		_prevEma = 0; _hasPrev = false;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new StandardDeviation { Length = AtrPeriod };

		SubscribeCandles(CandleType).Bind(ema, atr, ProcessCandle).Start();
	}

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

		if (!_hasPrev) { _prevEma = ema; _hasPrev = true; return; }

		var close = candle.ClosePrice;

		// Price crosses above EMA + ATR => buy
		if (close > ema + atr && _prevEma > 0 && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		// Price crosses below EMA - ATR => sell
		else if (close < ema - atr && _prevEma > 0 && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
		// Exit long when price returns to EMA
		else if (Position > 0 && close <= ema)
		{
			SellMarket();
		}
		// Exit short when price returns to EMA
		else if (Position < 0 && close >= ema)
		{
			BuyMarket();
		}

		_prevEma = ema;
	}
}