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Momentum Candle Sign Strategy

This strategy trades based on the crossover between momentum values calculated from candle open and close prices. When the momentum of the open price drops below the momentum of the close price, it signals rising bullish pressure and the strategy enters a long position. The opposite crossover indicates bearish pressure and triggers a short position.

By default the strategy operates on 12-hour candles with a momentum period of 12.

Details

  • Entry Criteria:
    • Long: Open momentum crosses below close momentum.
    • Short: Open momentum crosses above close momentum.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite crossover.
  • Stops: None.
  • Filters: None.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on crossover between momentum calculated on candle open and close prices.
/// A long position is opened when open momentum crosses below close momentum, and a short position on the opposite cross.
/// </summary>
public class MomentumCandleSignStrategy : Strategy
{
	private readonly StrategyParam<int> _momentumPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private Momentum _openMomentum;
	private Momentum _closeMomentum;

	private decimal _prevOpenMomentum;
	private decimal _prevCloseMomentum;
	private bool _isFormed;

	/// <summary>
	/// Period of the momentum indicators.
	/// </summary>
	public int MomentumPeriod
	{
		get => _momentumPeriod.Value;
		set => _momentumPeriod.Value = value;
	}

	/// <summary>
	/// Type of candles to process.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="MomentumCandleSignStrategy"/>.
	/// </summary>
	public MomentumCandleSignStrategy()
	{
		_momentumPeriod = Param(nameof(MomentumPeriod), 12)
			.SetDisplay("Momentum Period", "Indicator period", "General")
			;

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_openMomentum = default;
		_closeMomentum = default;
		_prevOpenMomentum = 0;
		_prevCloseMomentum = 0;
		_isFormed = false;
	}

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

		_openMomentum = new Momentum { Length = MomentumPeriod };
		_closeMomentum = new Momentum { Length = MomentumPeriod };
		_isFormed = false;

		Indicators.Add(_openMomentum);
		Indicators.Add(_closeMomentum);

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

		StartProtection(null, null);

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

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

		var openMom = _openMomentum.Process(new DecimalIndicatorValue(_openMomentum, candle.OpenPrice, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var closeMom = _closeMomentum.Process(new DecimalIndicatorValue(_closeMomentum, candle.ClosePrice, candle.OpenTime) { IsFinal = true }).ToDecimal();

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_isFormed)
		{
			_prevOpenMomentum = openMom;
			_prevCloseMomentum = closeMom;
			_isFormed = true;
			return;
		}

		var buySignal = _prevOpenMomentum >= _prevCloseMomentum && openMom < closeMom;
		var sellSignal = _prevOpenMomentum <= _prevCloseMomentum && openMom > closeMom;

		if (buySignal && Position <= 0)
			BuyMarket();
		else if (sellSignal && Position >= 0)
			SellMarket();

		_prevOpenMomentum = openMom;
		_prevCloseMomentum = closeMom;
	}
}