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Color Zerolag Momentum OSMA Strategy

This strategy builds a custom zero-lag momentum OSMA oscillator using five momentum calculations. When the oscillator's value two bars ago is below the value three bars ago the trend is considered upward. In this case short positions are closed and a new long can be opened if the most recent value is above the value two bars ago. When the value two bars ago is above the value three bars ago the trend is downward, long positions are closed and a short may be opened if the last value is below the value two bars ago.

Parameters

  • Smoothing1 – first smoothing factor for the slow trend.
  • Smoothing2 – second smoothing factor for the OSMA line.
  • Factor1-5 – weights applied to each momentum component.
  • MomentumPeriod1-5 – periods for the momentum indicators.
  • CandleType – candle timeframe for calculations.
  • BuyOpen – allow opening long positions.
  • SellOpen – allow opening short positions.
  • BuyClose – allow closing long positions.
  • SellClose – allow closing short positions.
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>
/// Strategy based on the zero-lag momentum OSMA indicator.
/// Uses weighted momentum composite with EMA smoothing for trend detection.
/// </summary>
public class ColorZerolagMomentumOsmaStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevOsma;
	private decimal _prevPrevOsma;
	private int _count;

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

	public ColorZerolagMomentumOsmaStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "General");

		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "General");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevOsma = 0;
		_prevPrevOsma = 0;
		_count = 0;
	}

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

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		SubscribeCandles(CandleType)
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

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

		var osma = fastValue - slowValue;
		_count++;

		if (_count < 3)
		{
			_prevPrevOsma = _prevOsma;
			_prevOsma = osma;
			return;
		}

		// Buy when OSMA turns up (was decreasing, now increasing)
		var turnUp = _prevOsma < _prevPrevOsma && osma > _prevOsma;
		// Sell when OSMA turns down (was increasing, now decreasing)
		var turnDown = _prevOsma > _prevPrevOsma && osma < _prevOsma;

		if (turnUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (turnDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevPrevOsma = _prevOsma;
		_prevOsma = osma;
	}
}