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Estratégia EA Moving Average

Visão geral

Convertida do consultor especialista MetaTrader "EA Moving Average" (edição barabashkakvn).
Usa quatro médias móveis independentes para controlar entradas e saídas compradas e vendidas.
Projetada para um único símbolo em modo netting. O tipo de candle padrão é o período de 15 minutos, mas qualquer tipo de candle regular pode ser selecionado.
A estratégia abre no máximo uma posição por vez. Enquanto uma posição está ativa, apenas as regras de saída são avaliadas.

Lógica de trading

Entrada comprada

O candle atual deve fechar acima da média móvel Buy Open após abrir abaixo dela (cruzamento real dentro de uma única barra).
UseBuy deve estar habilitado.
Se ConsiderPriceLastOut estiver habilitado, o preço atual deve ser menor ou igual ao preço da última negociação fechada. Isso evita comprar acima da saída mais recente.
Quando as condições são satisfeitas, a estratégia envia uma ordem de compra a mercado dimensionada pelo modelo de risco.

Saída comprada

Ativa apenas enquanto a posição líquida é comprada.
O candle deve abrir acima da média móvel Buy Close e fechar de volta abaixo dela, sinalizando um cruzamento de baixa.
Quando acionada, toda a posição é fechada com uma ordem a mercado.

Entrada vendida

O candle deve fechar abaixo da média móvel Sell Open após abrir acima dela.
UseSell deve estar habilitado.
Se ConsiderPriceLastOut estiver habilitado, o preço atual deve ser maior ou igual ao último preço de saída. Isso evita vender abaixo da cobertura anterior.
Uma ordem de venda a mercado é enviada usando o volume baseado em risco.

Saída vendida

Ativa apenas enquanto a posição é vendida.
O candle deve abrir abaixo da média móvel Sell Close e fechar acima dela.
A posição vendida é totalmente coberta a mercado.

Risco e dimensionamento de posição

MaximumRisk expressa o capital de risco por negociação como uma fração do patrimônio líquido do portfólio. A estratégia divide esse valor de risco pelo preço atual para obter uma estimativa de volume bruto.
DecreaseFactor emula a redução de lote original do MetaTrader. Após duas ou mais negociações perdedoras consecutivas, o volume é reduzido proporcionalmente à sequência de perdas dividida por DecreaseFactor.
Os volumes são alinhados ao passo de volume do instrumento e nunca caem abaixo de um passo. Se o cálculo de risco falhar, o fallback é a propriedade Volume da estratégia (padrão 1 contrato/lote).

Parâmetros

Parâmetro	Padrão	Descrição
`MaximumRisk`	`0.02`	Fração do patrimônio arriscado por negociação.
`DecreaseFactor`	`3`	Fator de redução de lote após perdas consecutivas. Use `0` para desabilitar.
`BuyOpenPeriod`	`30`	Período da média móvel usada para entradas compradas.
`BuyOpenShift`	`3`	Deslocamento para frente (barras) aplicado à média móvel de entrada comprada.
`BuyOpenMethod`	`Exponential`	Método de média móvel para entradas compradas (`Simple`, `Exponential`, `Smoothed`, `LinearWeighted`).
`BuyOpenPrice`	`Close`	Entrada de preço para a média móvel de entrada comprada.
`BuyClosePeriod`	`14`	Período da média móvel de saída comprada.
`BuyCloseShift`	`3`	Deslocamento (barras) aplicado à média móvel de saída comprada.
`BuyCloseMethod`	`Exponential`	Método da média móvel de saída comprada.
`BuyClosePrice`	`Close`	Entrada de preço para a média móvel de saída comprada.
`SellOpenPeriod`	`30`	Período da média móvel de entrada vendida.
`SellOpenShift`	`0`	Deslocamento (barras) aplicado à média móvel de entrada vendida.
`SellOpenMethod`	`Exponential`	Método da média móvel de entrada vendida.
`SellOpenPrice`	`Close`	Entrada de preço para a média móvel de entrada vendida.
`SellClosePeriod`	`20`	Período da média móvel de saída vendida.
`SellCloseShift`	`2`	Deslocamento (barras) aplicado à média móvel de saída vendida.
`SellCloseMethod`	`Exponential`	Método da média móvel de saída vendida.
`SellClosePrice`	`Close`	Entrada de preço para a média móvel de saída vendida.
`UseBuy`	`true`	Habilitar ou desabilitar negociações compradas.
`UseSell`	`true`	Habilitar ou desabilitar negociações vendidas.
`ConsiderPriceLastOut`	`true`	Exigir melhoria de preço em relação à última saída antes de re-entrar.
`CandleType`	Período 15m	Série de candles usada para cálculos.

Notas adicionais

O último preço de saída e o contador de perdas consecutivas são rastreados a partir das execuções de negociação, espelhando o comportamento do MetaTrader.
Como o StockSharp executa em candles terminados, o filtro de preço de entrada compara com o preço de fechamento do candle, o que aproxima a comparação original de ask/bid baseada em ticks.
A estratégia assume uma conta de netting; a cobertura de múltiplas posições simultaneamente não é suportada.
Sempre valide a configuração com testes históricos antes de negociar com capital real.

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;
using Ecng.Logging;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Conversion of the "EA Moving Average" MetaTrader strategy.
/// Uses four configurable moving averages to define entry and exit rules for long and short trades.
/// Risk per trade is managed through a fixed percentage of account equity with optional lot reduction after consecutive losses.
/// </summary>
public class EaMovingAverageStrategy : Strategy
{
	/// <summary>
	/// Moving average calculation methods supported by the strategy.
	/// </summary>
	public enum MaMethods
	{
		Simple,
		Exponential,
		Smoothed,
		LinearWeighted
	}

	/// <summary>
	/// Price inputs supported by the moving average calculations.
	/// </summary>
	public enum MaPriceTypes
	{
		Close,
		Open,
		High,
		Low,
		Median,
		Typical,
		Weighted
	}
	private readonly StrategyParam<decimal> _maximumRisk;
	private readonly StrategyParam<decimal> _decreaseFactor;

	private readonly StrategyParam<int> _buyOpenPeriod;
	private readonly StrategyParam<int> _buyOpenShift;
	private readonly StrategyParam<MaMethods> _buyOpenMethod;
	private readonly StrategyParam<MaPriceTypes> _buyOpenPrice;

	private readonly StrategyParam<int> _buyClosePeriod;
	private readonly StrategyParam<int> _buyCloseShift;
	private readonly StrategyParam<MaMethods> _buyCloseMethod;
	private readonly StrategyParam<MaPriceTypes> _buyClosePrice;

	private readonly StrategyParam<int> _sellOpenPeriod;
	private readonly StrategyParam<int> _sellOpenShift;
	private readonly StrategyParam<MaMethods> _sellOpenMethod;
	private readonly StrategyParam<MaPriceTypes> _sellOpenPrice;

	private readonly StrategyParam<int> _sellClosePeriod;
	private readonly StrategyParam<int> _sellCloseShift;
	private readonly StrategyParam<MaMethods> _sellCloseMethod;
	private readonly StrategyParam<MaPriceTypes> _sellClosePrice;

	private readonly StrategyParam<bool> _useBuy;
	private readonly StrategyParam<bool> _useSell;
	private readonly StrategyParam<bool> _considerPriceLastOut;
	private readonly StrategyParam<DataType> _candleType;

	private DecimalLengthIndicator _buyOpenMa;
	private DecimalLengthIndicator _buyCloseMa;
	private DecimalLengthIndicator _sellOpenMa;
	private DecimalLengthIndicator _sellCloseMa;

	private readonly Queue<decimal> _buyOpenBuffer = new();
	private readonly Queue<decimal> _buyCloseBuffer = new();
	private readonly Queue<decimal> _sellOpenBuffer = new();
	private readonly Queue<decimal> _sellCloseBuffer = new();

	private decimal _lastExitPrice;
	private decimal _lastEntryPrice;
	private Sides? _lastEntrySide;
	private decimal _signedPosition;
	private int _consecutiveLosses;

	/// <summary>
	/// Initializes a new instance of the <see cref="EaMovingAverageStrategy"/> class.
	/// </summary>
	public EaMovingAverageStrategy()
	{
		_maximumRisk = Param(nameof(MaximumRisk), 0.02m)
			.SetNotNegative()
			.SetDisplay("Maximum Risk", "Risk per trade as part of equity", "Risk");

		_decreaseFactor = Param(nameof(DecreaseFactor), 3m)
			.SetNotNegative()
			.SetDisplay("Decrease Factor", "Lot reduction factor after losses", "Risk");

		_buyOpenPeriod = Param(nameof(BuyOpenPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("Buy Open MA Period", "Moving average period for buy entries", "Buy Entry")
			
			.SetOptimize(5, 80, 5);

		_buyOpenShift = Param(nameof(BuyOpenShift), 3)
			.SetNotNegative()
			.SetDisplay("Buy Open MA Shift", "Shift in bars for the buy entry MA", "Buy Entry");

		_buyOpenMethod = Param(nameof(BuyOpenMethod), MaMethods.Exponential)
			.SetDisplay("Buy Open MA Method", "Moving average method for buy entries", "Buy Entry");

		_buyOpenPrice = Param(nameof(BuyOpenPrice), MaPriceTypes.Close)
			.SetDisplay("Buy Open Price", "Price type supplied to the buy entry MA", "Buy Entry");

		_buyClosePeriod = Param(nameof(BuyClosePeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Buy Close MA Period", "Moving average period for buy exits", "Buy Exit")
			
			.SetOptimize(5, 60, 5);

		_buyCloseShift = Param(nameof(BuyCloseShift), 3)
			.SetNotNegative()
			.SetDisplay("Buy Close MA Shift", "Shift in bars for the buy exit MA", "Buy Exit");

		_buyCloseMethod = Param(nameof(BuyCloseMethod), MaMethods.Exponential)
			.SetDisplay("Buy Close MA Method", "Moving average method for buy exits", "Buy Exit");

		_buyClosePrice = Param(nameof(BuyClosePrice), MaPriceTypes.Close)
			.SetDisplay("Buy Close Price", "Price type supplied to the buy exit MA", "Buy Exit");

		_sellOpenPeriod = Param(nameof(SellOpenPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("Sell Open MA Period", "Moving average period for sell entries", "Sell Entry")
			
			.SetOptimize(5, 80, 5);

		_sellOpenShift = Param(nameof(SellOpenShift), 0)
			.SetNotNegative()
			.SetDisplay("Sell Open MA Shift", "Shift in bars for the sell entry MA", "Sell Entry");

		_sellOpenMethod = Param(nameof(SellOpenMethod), MaMethods.Exponential)
			.SetDisplay("Sell Open MA Method", "Moving average method for sell entries", "Sell Entry");

		_sellOpenPrice = Param(nameof(SellOpenPrice), MaPriceTypes.Close)
			.SetDisplay("Sell Open Price", "Price type supplied to the sell entry MA", "Sell Entry");

		_sellClosePeriod = Param(nameof(SellClosePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Sell Close MA Period", "Moving average period for sell exits", "Sell Exit")
			
			.SetOptimize(5, 80, 5);

		_sellCloseShift = Param(nameof(SellCloseShift), 2)
			.SetNotNegative()
			.SetDisplay("Sell Close MA Shift", "Shift in bars for the sell exit MA", "Sell Exit");

		_sellCloseMethod = Param(nameof(SellCloseMethod), MaMethods.Exponential)
			.SetDisplay("Sell Close MA Method", "Moving average method for sell exits", "Sell Exit");

		_sellClosePrice = Param(nameof(SellClosePrice), MaPriceTypes.Close)
			.SetDisplay("Sell Close Price", "Price type supplied to the sell exit MA", "Sell Exit");

		_useBuy = Param(nameof(UseBuy), true)
			.SetDisplay("Use Buy", "Enable long trades", "General");

		_useSell = Param(nameof(UseSell), true)
			.SetDisplay("Use Sell", "Enable short trades", "General");

		_considerPriceLastOut = Param(nameof(ConsiderPriceLastOut), true)
			.SetDisplay("Consider Last Exit Price", "Require price improvement before re-entry", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles processed by the strategy", "General");
	}

	/// <summary>
	/// Risk per trade as a fraction of the portfolio equity.
	/// </summary>
	public decimal MaximumRisk
	{
		get => _maximumRisk.Value;
		set => _maximumRisk.Value = value;
	}

	/// <summary>
	/// Lot reduction factor after consecutive losing trades.
	/// </summary>
	public decimal DecreaseFactor
	{
		get => _decreaseFactor.Value;
		set => _decreaseFactor.Value = value;
	}

	/// <summary>
	/// Moving average period for buy entries.
	/// </summary>
	public int BuyOpenPeriod
	{
		get => _buyOpenPeriod.Value;
		set => _buyOpenPeriod.Value = value;
	}

	/// <summary>
	/// Shift in bars for the buy entry moving average.
	/// </summary>
	public int BuyOpenShift
	{
		get => _buyOpenShift.Value;
		set => _buyOpenShift.Value = value;
	}

	/// <summary>
	/// Moving average method for buy entries.
	/// </summary>
	public MaMethods BuyOpenMethod
	{
		get => _buyOpenMethod.Value;
		set => _buyOpenMethod.Value = value;
	}

	/// <summary>
	/// Price type used for the buy entry moving average.
	/// </summary>
	public MaPriceTypes BuyOpenPrice
	{
		get => _buyOpenPrice.Value;
		set => _buyOpenPrice.Value = value;
	}

	/// <summary>
	/// Moving average period for buy exits.
	/// </summary>
	public int BuyClosePeriod
	{
		get => _buyClosePeriod.Value;
		set => _buyClosePeriod.Value = value;
	}

	/// <summary>
	/// Shift in bars for the buy exit moving average.
	/// </summary>
	public int BuyCloseShift
	{
		get => _buyCloseShift.Value;
		set => _buyCloseShift.Value = value;
	}

	/// <summary>
	/// Moving average method for buy exits.
	/// </summary>
	public MaMethods BuyCloseMethod
	{
		get => _buyCloseMethod.Value;
		set => _buyCloseMethod.Value = value;
	}

	/// <summary>
	/// Price type used for the buy exit moving average.
	/// </summary>
	public MaPriceTypes BuyClosePrice
	{
		get => _buyClosePrice.Value;
		set => _buyClosePrice.Value = value;
	}

	/// <summary>
	/// Moving average period for sell entries.
	/// </summary>
	public int SellOpenPeriod
	{
		get => _sellOpenPeriod.Value;
		set => _sellOpenPeriod.Value = value;
	}

	/// <summary>
	/// Shift in bars for the sell entry moving average.
	/// </summary>
	public int SellOpenShift
	{
		get => _sellOpenShift.Value;
		set => _sellOpenShift.Value = value;
	}

	/// <summary>
	/// Moving average method for sell entries.
	/// </summary>
	public MaMethods SellOpenMethod
	{
		get => _sellOpenMethod.Value;
		set => _sellOpenMethod.Value = value;
	}

	/// <summary>
	/// Price type used for the sell entry moving average.
	/// </summary>
	public MaPriceTypes SellOpenPrice
	{
		get => _sellOpenPrice.Value;
		set => _sellOpenPrice.Value = value;
	}

	/// <summary>
	/// Moving average period for sell exits.
	/// </summary>
	public int SellClosePeriod
	{
		get => _sellClosePeriod.Value;
		set => _sellClosePeriod.Value = value;
	}

	/// <summary>
	/// Shift in bars for the sell exit moving average.
	/// </summary>
	public int SellCloseShift
	{
		get => _sellCloseShift.Value;
		set => _sellCloseShift.Value = value;
	}

	/// <summary>
	/// Moving average method for sell exits.
	/// </summary>
	public MaMethods SellCloseMethod
	{
		get => _sellCloseMethod.Value;
		set => _sellCloseMethod.Value = value;
	}

	/// <summary>
	/// Price type used for the sell exit moving average.
	/// </summary>
	public MaPriceTypes SellClosePrice
	{
		get => _sellClosePrice.Value;
		set => _sellClosePrice.Value = value;
	}

	/// <summary>
	/// Enable long trades.
	/// </summary>
	public bool UseBuy
	{
		get => _useBuy.Value;
		set => _useBuy.Value = value;
	}

	/// <summary>
	/// Enable short trades.
	/// </summary>
	public bool UseSell
	{
		get => _useSell.Value;
		set => _useSell.Value = value;
	}

	/// <summary>
	/// Require price improvement relative to the last exit before re-entering.
	/// </summary>
	public bool ConsiderPriceLastOut
	{
		get => _considerPriceLastOut.Value;
		set => _considerPriceLastOut.Value = value;
	}

	/// <summary>
	/// Candle type processed by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_buyOpenBuffer.Clear();
		_buyCloseBuffer.Clear();
		_sellOpenBuffer.Clear();
		_sellCloseBuffer.Clear();

		_lastExitPrice = 0m;
		_lastEntryPrice = 0m;
		_lastEntrySide = null;
		_signedPosition = 0m;
		_consecutiveLosses = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_buyOpenMa = CreateMovingAverage(BuyOpenMethod, BuyOpenPeriod);
		_buyCloseMa = CreateMovingAverage(BuyCloseMethod, BuyClosePeriod);
		_sellOpenMa = CreateMovingAverage(SellOpenMethod, SellOpenPeriod);
		_sellCloseMa = CreateMovingAverage(SellCloseMethod, SellClosePeriod);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var buyOpen = ProcessMovingAverage(_buyOpenMa, _buyOpenBuffer, BuyOpenShift, GetPrice(candle, BuyOpenPrice), candle);
		var buyClose = ProcessMovingAverage(_buyCloseMa, _buyCloseBuffer, BuyCloseShift, GetPrice(candle, BuyClosePrice), candle);
		var sellOpen = ProcessMovingAverage(_sellOpenMa, _sellOpenBuffer, SellOpenShift, GetPrice(candle, SellOpenPrice), candle);
		var sellClose = ProcessMovingAverage(_sellCloseMa, _sellCloseBuffer, SellCloseShift, GetPrice(candle, SellClosePrice), candle);

		if (buyOpen is not decimal buyOpenValue ||
			buyClose is not decimal buyCloseValue ||
			sellOpen is not decimal sellOpenValue ||
			sellClose is not decimal sellCloseValue)
		{
			return;
		}


		if (Position != 0)
		{
			ProcessCloseSignal(candle, buyCloseValue, sellCloseValue);
		}
		else
		{
			ProcessOpenSignal(candle, buyOpenValue, sellOpenValue);
		}
	}

	private void ProcessOpenSignal(ICandleMessage candle, decimal buyMa, decimal sellMa)
	{
		var openPrice = candle.OpenPrice;
		var closePrice = candle.ClosePrice;

		if (UseBuy && openPrice < buyMa && closePrice > buyMa && CanReEnter(Sides.Buy, closePrice))
		{
			var volume = CalculateTradeVolume(closePrice);
			if (volume > 0)
			{
				BuyMarket(volume);
				this.AddInfoLog($"Buy signal. Close={closePrice}, MA={buyMa}, Volume={volume}");
			}
		}
		else if (UseSell && openPrice > sellMa && closePrice < sellMa && CanReEnter(Sides.Sell, closePrice))
		{
			var volume = CalculateTradeVolume(closePrice);
			if (volume > 0)
			{
				SellMarket(volume);
				this.AddInfoLog($"Sell signal. Close={closePrice}, MA={sellMa}, Volume={volume}");
			}
		}
	}

	private void ProcessCloseSignal(ICandleMessage candle, decimal buyMa, decimal sellMa)
	{
		var openPrice = candle.OpenPrice;
		var closePrice = candle.ClosePrice;

		if (Position > 0 && openPrice > buyMa && closePrice < buyMa)
		{
			if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(-Position);
			this.AddInfoLog($"Close long. Close={closePrice}, MA={buyMa}");
		}
		else if (Position < 0 && openPrice < sellMa && closePrice > sellMa)
		{
			if (Position > 0) SellMarket(Position); else if (Position < 0) BuyMarket(-Position);
			this.AddInfoLog($"Close short. Close={closePrice}, MA={sellMa}");
		}
	}

	private bool CanReEnter(Sides side, decimal price)
	{
		if (!ConsiderPriceLastOut)
			return true;

		if (_lastExitPrice == 0m)
			return true;

		return side == Sides.Buy
			? _lastExitPrice >= price
			: _lastExitPrice <= price;
	}

	private decimal? ProcessMovingAverage(DecimalLengthIndicator indicator, Queue<decimal> buffer, int shift, decimal price, ICandleMessage candle)
	{
		if (indicator == null)
			return null;

		var value = indicator.Process(new DecimalIndicatorValue(indicator, price, candle.OpenTime) { IsFinal = true });

		if (!indicator.IsFormed)
			return null;

		var maValue = value.ToDecimal();

		buffer.Enqueue(maValue);
		var maxSize = shift + 1;
		while (buffer.Count > maxSize)
			buffer.Dequeue();

		if (buffer.Count < maxSize)
			return null;

		return shift == 0 ? maValue : buffer.Peek();
	}

	private decimal CalculateTradeVolume(decimal price)
	{
		var baseVolume = Volume > 0 ? Volume : 1m;

		if (price <= 0)
			return NormalizeVolume(baseVolume);

		var equity = Portfolio?.BeginValue ?? 0m;
		if (equity <= 0)
			return NormalizeVolume(baseVolume);

		var volume = equity * MaximumRisk / price;

		if (DecreaseFactor > 0 && _consecutiveLosses > 1)
		{
			var reduction = volume * _consecutiveLosses / DecreaseFactor;
			volume -= reduction;
		}

		if (volume <= 0)
			volume = baseVolume;

		return NormalizeVolume(volume);
	}

	private decimal NormalizeVolume(decimal volume)
	{
		var security = Security;
		if (security != null)
		{
			var step = security.VolumeStep ?? 1m;
			if (step <= 0)
				step = 1m;

			if (volume < step)
				volume = step;

			var steps = Math.Floor(volume / step);
			if (steps < 1m)
				steps = 1m;

			volume = steps * step;
		}

		if (volume <= 0)
			volume = 1m;

		return volume;
	}

	private static decimal GetPrice(ICandleMessage candle, MaPriceTypes priceType)
	{
		return priceType switch
		{
			MaPriceTypes.Close => candle.ClosePrice,
			MaPriceTypes.Open => candle.OpenPrice,
			MaPriceTypes.High => candle.HighPrice,
			MaPriceTypes.Low => candle.LowPrice,
			MaPriceTypes.Median => (candle.HighPrice + candle.LowPrice) / 2m,
			MaPriceTypes.Typical => (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3m,
			MaPriceTypes.Weighted => (candle.HighPrice + candle.LowPrice + (2m * candle.ClosePrice)) / 4m,
			_ => candle.ClosePrice
		};
	}

	private static DecimalLengthIndicator CreateMovingAverage(MaMethods method, int length)
	{
		return method switch
		{
			MaMethods.Simple => new SimpleMovingAverage { Length = length },
			MaMethods.Exponential => new ExponentialMovingAverage { Length = length },
			MaMethods.Smoothed => new SmoothedMovingAverage { Length = length },
			MaMethods.LinearWeighted => new WeightedMovingAverage { Length = length },
			_ => new SimpleMovingAverage { Length = length }
		};
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);

		var volume = trade.Trade.Volume;
		if (volume <= 0)
			return;

		var delta = trade.Order.Side == Sides.Buy ? volume : -volume;
		var previousPosition = _signedPosition;
		_signedPosition += delta;

		if (previousPosition == 0m && _signedPosition != 0m)
		{
			_lastEntrySide = delta > 0m ? Sides.Buy : Sides.Sell;
			_lastEntryPrice = trade.Trade.Price;
		}
		else if (previousPosition != 0m && _signedPosition == 0m)
		{
			_lastExitPrice = trade.Trade.Price;

			if (_lastEntrySide != null && _lastEntryPrice != 0m)
			{
				var profit = _lastEntrySide == Sides.Buy
					? _lastExitPrice - _lastEntryPrice
					: _lastEntryPrice - _lastExitPrice;

				if (profit > 0m)
				{
					_consecutiveLosses = 0;
				}
				else if (profit < 0m)
				{
					_consecutiveLosses++;
				}
			}

			_lastEntrySide = null;
			_lastEntryPrice = 0m;
		}
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from StockSharp.Algo.Indicators import ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy
from StockSharp.Messages import DataType, CandleStates
from System import TimeSpan, Math, Decimal
from indicator_extensions import *

class ea_moving_average_strategy(Strategy):
    def __init__(self):
        super(ea_moving_average_strategy, self).__init__()

        self._buy_open_period = self.Param("BuyOpenPeriod", 30)
        self._buy_open_shift = self.Param("BuyOpenShift", 3)
        self._buy_close_period = self.Param("BuyClosePeriod", 14)
        self._buy_close_shift = self.Param("BuyCloseShift", 3)
        self._sell_open_period = self.Param("SellOpenPeriod", 30)
        self._sell_open_shift = self.Param("SellOpenShift", 0)
        self._sell_close_period = self.Param("SellClosePeriod", 20)
        self._sell_close_shift = self.Param("SellCloseShift", 2)
        self._use_buy = self.Param("UseBuy", True)
        self._use_sell = self.Param("UseSell", True)
        self._consider_price_last_out = self.Param("ConsiderPriceLastOut", True)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(1)))

        self._buy_open_ma = None
        self._buy_close_ma = None
        self._sell_open_ma = None
        self._sell_close_ma = None

        self._buy_open_buffer = []
        self._buy_close_buffer = []
        self._sell_open_buffer = []
        self._sell_close_buffer = []

        self._last_exit_price = 0.0
        self._last_entry_price = 0.0
        self._last_entry_side = None

    @property
    def CandleType(self):
        return self._candle_type.Value

    def OnStarted2(self, time):
        super(ea_moving_average_strategy, self).OnStarted2(time)

        self._buy_open_ma = ExponentialMovingAverage()
        self._buy_open_ma.Length = self._buy_open_period.Value
        self._buy_close_ma = ExponentialMovingAverage()
        self._buy_close_ma.Length = self._buy_close_period.Value
        self._sell_open_ma = ExponentialMovingAverage()
        self._sell_open_ma.Length = self._sell_open_period.Value
        self._sell_close_ma = ExponentialMovingAverage()
        self._sell_close_ma.Length = self._sell_close_period.Value

        self._buy_open_buffer = []
        self._buy_close_buffer = []
        self._sell_open_buffer = []
        self._sell_close_buffer = []

        sub = self.SubscribeCandles(self.CandleType)
        sub.Bind(self._process_candle).Start()

    def _process_candle(self, candle):
        if candle.State != CandleStates.Finished:
            return

        price = float(candle.ClosePrice)
        t = candle.OpenTime

        buy_open_val = self._process_ma(self._buy_open_ma, self._buy_open_buffer, self._buy_open_shift.Value, price, t)
        buy_close_val = self._process_ma(self._buy_close_ma, self._buy_close_buffer, self._buy_close_shift.Value, price, t)
        sell_open_val = self._process_ma(self._sell_open_ma, self._sell_open_buffer, self._sell_open_shift.Value, price, t)
        sell_close_val = self._process_ma(self._sell_close_ma, self._sell_close_buffer, self._sell_close_shift.Value, price, t)

        if buy_open_val is None or buy_close_val is None or sell_open_val is None or sell_close_val is None:
            return

        if self.Position != 0:
            self._process_close_signal(candle, buy_close_val, sell_close_val)
        else:
            self._process_open_signal(candle, buy_open_val, sell_open_val)

    def _process_open_signal(self, candle, buy_ma, sell_ma):
        open_price = float(candle.OpenPrice)
        close_price = float(candle.ClosePrice)

        if self._use_buy.Value and open_price < buy_ma and close_price > buy_ma and self._can_re_enter(True, close_price):
            self.BuyMarket()
            self._last_entry_side = 'buy'
            self._last_entry_price = close_price
        elif self._use_sell.Value and open_price > sell_ma and close_price < sell_ma and self._can_re_enter(False, close_price):
            self.SellMarket()
            self._last_entry_side = 'sell'
            self._last_entry_price = close_price

    def _process_close_signal(self, candle, buy_ma, sell_ma):
        open_price = float(candle.OpenPrice)
        close_price = float(candle.ClosePrice)

        if self.Position > 0 and open_price > buy_ma and close_price < buy_ma:
            self.SellMarket(self.Position)
            self._last_exit_price = close_price
            self._last_entry_side = None
            self._last_entry_price = 0.0
        elif self.Position < 0 and open_price < sell_ma and close_price > sell_ma:
            self.BuyMarket(abs(self.Position))
            self._last_exit_price = close_price
            self._last_entry_side = None
            self._last_entry_price = 0.0

    def _can_re_enter(self, is_buy, price):
        if not self._consider_price_last_out.Value:
            return True
        if self._last_exit_price == 0.0:
            return True
        if is_buy:
            return self._last_exit_price >= price
        else:
            return self._last_exit_price <= price

    def _process_ma(self, indicator, buffer, shift, price, time):
        if indicator is None:
            return None

        result = process_float(indicator, Decimal(float(price)), time, True)

        if not indicator.IsFormed:
            return None

        ma_value = float(result.Value)

        buffer.append(ma_value)
        max_size = shift + 1
        while len(buffer) > max_size:
            buffer.pop(0)

        if len(buffer) < max_size:
            return None

        return ma_value if shift == 0 else buffer[0]

    def OnReseted(self):
        super(ea_moving_average_strategy, self).OnReseted()
        self._buy_open_ma = None
        self._buy_close_ma = None
        self._sell_open_ma = None
        self._sell_close_ma = None
        self._buy_open_buffer = []
        self._buy_close_buffer = []
        self._sell_open_buffer = []
        self._sell_close_buffer = []
        self._last_exit_price = 0.0
        self._last_entry_price = 0.0
        self._last_entry_side = None

    def CreateClone(self):
        return ea_moving_average_strategy()