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ETH/USDT EMA 交叉策略

该策略利用 EMA 交叉并结合多个过滤条件交易 ETH/USDT。

当 20 周期 EMA 上穿 50 周期 EMA，且价格高于 200 周期 EMA、RSI 大于 30、ATR 高于其移动平均并且成交量大于平均值时建立多头；反向条件下建立空头。

出现反向信号时平仓反手，不使用固定止损或止盈。

细节

  • 入场条件：

    • 多头：EMA20 上穿 EMA50 && Close > EMA200 && RSI > 30 && ATR > SMA(ATR,10) && Volume > SMA(Volume,20)
    • 空头：EMA20 下穿 EMA50 && Close < EMA200 && RSI < 70 && ATR > SMA(ATR,10) && Volume > SMA(Volume,20)

  • 方向：双向

  • 出场条件：

    • 反向信号

  • 止损：无

  • 默认参数：

    • EMA200 Length = 200
    • EMA20 Length = 20
    • EMA50 Length = 50
    • RSI Length = 14
    • ATR Length = 14

  • 过滤器：

    • 类别：趋势跟随
    • 方向：双向
    • 指标：EMA、RSI、ATR
    • 止损：无
    • 复杂度：中等
    • 时间框架：短期
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险水平：中等
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;

public class EthUsdtEmaCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private decimal _prevFastEma;
	private decimal _prevSlowEma;

	public int FastEmaPeriod { get => _fastEmaPeriod.Value; set => _fastEmaPeriod.Value = value; }
	public int SlowEmaPeriod { get => _slowEmaPeriod.Value; set => _slowEmaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public EthUsdtEmaCrossoverStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 120)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 450)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFastEma = 0m;
		_prevSlowEma = 0m;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var fastEma = new ExponentialMovingAverage { Length = FastEmaPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fastEma, slowEma, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, fastEma);
			DrawIndicator(area, slowEma);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastEmaValue, decimal slowEmaValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (_prevFastEma == 0m || _prevSlowEma == 0m)
		{
			_prevFastEma = fastEmaValue;
			_prevSlowEma = slowEmaValue;
			return;
		}
		if (_prevFastEma <= _prevSlowEma && fastEmaValue > slowEmaValue && Position <= 0)
			BuyMarket();
		else if (_prevFastEma >= _prevSlowEma && fastEmaValue < slowEmaValue && Position >= 0)
			SellMarket();
		_prevFastEma = fastEmaValue;
		_prevSlowEma = slowEmaValue;
	}
}