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EMA 10/20/50 Alignment 策略

该策略仅做多，当 EMA(10) > EMA(20) > EMA(50) 时入场，EMA 按降序排列时平仓。交易仅在设定的时间范围内进行。

详情

  • 入场条件: 在指定时间范围内，EMA(10) 高于 EMA(20)，EMA(20) 高于 EMA(50)。
  • 多空方向: 仅多头。
  • 出场条件: EMA 按下降顺序排列 (EMA(10) < EMA(20) < EMA(50))。
  • 止损: 无。
  • 默认值:
    • StartTime = 2023-05-17 00:00:00 +00:00
    • EndTime = 2025-05-17 00:00:00 +00:00
    • CandleType = TimeSpan.FromMinutes(1)
  • 过滤器:
    • 类别: Trend
    • 方向: Long
    • 指标: EMA
    • 止损: 无
    • 复杂度: 初级
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险等级: 低
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 10/20/50 alignment strategy.
/// Long only: buys when EMA(10) is above EMA(20) and EMA(20) is above EMA(50) and closes the long when the three EMAs align
/// in descending order. Entries are allowed only for candles between StartTime and EndTime.
/// </summary>
public class Ema102050AlignmentStrategy : Strategy
{
	private readonly StrategyParam<DateTimeOffset> _startTime;
	private readonly StrategyParam<DateTimeOffset> _endTime;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Start of the trading date range.
	/// </summary>
	public DateTimeOffset StartTime
	{
		get => _startTime.Value;
		set => _startTime.Value = value;
	}

	/// <summary>
	/// End of the trading date range.
	/// </summary>
	public DateTimeOffset EndTime
	{
		get => _endTime.Value;
		set => _endTime.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public Ema102050AlignmentStrategy()
	{
		_startTime = Param(nameof(StartTime), new DateTimeOffset(2023, 5, 17, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("Start Time", "Start of the trading date range", "General");

		_endTime = Param(nameof(EndTime), new DateTimeOffset(2025, 5, 17, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("End Time", "End of the trading date range", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

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

		var ema10 = new ExponentialMovingAverage { Length = 10 };
		var ema20 = new ExponentialMovingAverage { Length = 20 };
		var ema50 = new ExponentialMovingAverage { Length = 50 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema10, ema20, ema50, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema10);
			DrawIndicator(area, ema20);
			DrawIndicator(area, ema50);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal ema10, decimal ema20, decimal ema50)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var inRange = candle.OpenTime >= StartTime.UtcDateTime && candle.OpenTime <= EndTime.UtcDateTime;

		if (Position <= 0 && inRange && ema10 > ema20 && ema20 > ema50)
			BuyMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && ema10 < ema20 && ema20 < ema50)
			SellMarket(Position);
	}
}