Русский
Открыть на GitHub

Стратегия EMA Moving Away

EMA Moving Away отслеживает, насколько далеко цена уходит от экспоненциальной скользящей средней. Когда серия свечей отдаляется от EMA на заданный процент, стратегия делает ставку на возврат к среднему.

Стратегия ориентирована на покупки: после продолжительного снижения, которое опускает цену ниже EMA на MovingAwayPercent, открывается лонг. Дополнительные фильтры по размеру тела и серии свечей позволяют убедиться, что движение не является шумом. Процентный стоп‑лосс защищает капитал.

Подробности

  • Данные: свечи цены.
  • Условия входа:
    • Лонг: закрытие ниже EMA на MovingAwayPercent при выполнении фильтров по телу/серии.
    • Шорт: не используется.
  • Условия выхода: возврат к EMA или срабатывание стоп‑лосса.
  • Стопы: процентный стоп по StopLossPercent.
  • Параметры по умолчанию:
    • EmaLength = 55
    • MovingAwayPercent = 2.0
    • StopLossPercent = 2.0
  • Фильтры:
    • Категория: возврат к среднему
    • Направление: только лонг
    • Индикаторы: EMA
    • Сложность: средняя
    • Уровень риска: средний
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>
/// EMA Moving Away strategy (long only).
/// Buys when the close is at least MovingAwayPercent below the EMA, optionally requiring a streak of bearish candles
/// (BearishStreak) and a minimum candle body (MinBodyPercent). The long closes when price returns to the EMA, and a
/// percent stop-loss protects it if the reversion fails.
/// </summary>
public class EmaMovingAwayStrategy : Strategy
{
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<decimal> _movingAwayPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _bearishStreak;
	private readonly StrategyParam<decimal> _minBodyPercent;
	private readonly StrategyParam<DataType> _candleType;

	private int _bearishCount;

	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	/// <summary>
	/// Required distance of the close below the EMA, in percent.
	/// </summary>
	public decimal MovingAwayPercent
	{
		get => _movingAwayPercent.Value;
		set => _movingAwayPercent.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage. 0 disables it.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Consecutive bearish candles required before an entry. 0 disables the filter.
	/// </summary>
	public int BearishStreak
	{
		get => _bearishStreak.Value;
		set => _bearishStreak.Value = value;
	}

	/// <summary>
	/// Minimum body of the signal candle in percent of its open. 0 disables the filter.
	/// </summary>
	public decimal MinBodyPercent
	{
		get => _minBodyPercent.Value;
		set => _minBodyPercent.Value = value;
	}

	/// <summary>
	/// Candle type for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public EmaMovingAwayStrategy()
	{
		_emaLength = Param(nameof(EmaLength), 55)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period", "Moving Average");

		_movingAwayPercent = Param(nameof(MovingAwayPercent), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Moving away (%)", "Required distance of the close below the EMA", "Strategy");

		_stopLossPercent = Param(nameof(StopLossPercent), 2.0m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop-loss percentage", "Risk");

		_bearishStreak = Param(nameof(BearishStreak), 0)
			.SetNotNegative()
			.SetDisplay("Bearish Streak", "Consecutive bearish candles required, 0 disables", "Filters");

		_minBodyPercent = Param(nameof(MinBodyPercent), 0m)
			.SetNotNegative()
			.SetDisplay("Min Body %", "Minimum body of the signal candle in percent, 0 disables", "Filters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_bearishCount = 0;
	}

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

		_bearishCount = 0;

		var ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(ema, ProcessCandle)
			.Start();

		if (StopLossPercent > 0)
			StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true);

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

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

		_bearishCount = candle.ClosePrice < candle.OpenPrice ? _bearishCount + 1 : 0;

		if (!emaValue.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var ema = emaValue.ToDecimal();
		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if (close >= ema)
				SellMarket(Position);

			return;
		}

		var stretched = close <= ema * (1m - MovingAwayPercent / 100m);
		var streakOk = BearishStreak <= 0 || _bearishCount >= BearishStreak;
		var bodyOk = MinBodyPercent <= 0 || candle.OpenPrice > 0 && Math.Abs(candle.OpenPrice - close) / candle.OpenPrice * 100m >= MinBodyPercent;

		if (stretched && streakOk && bodyOk)
			BuyMarket(Volume + Math.Abs(Position));
	}
}