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EMA 2-35 交叉策略

该策略基于两条指数移动平均线的交叉。长度为2的快速EMA对价格变动非常敏感，长度为35的慢速EMA代表长期趋势。当快速EMA自下而上穿越慢速EMA时建立多头头寸；反向穿越时建立空头头寸。

风险控制通过以价格步长表示的固定止损和止盈实现，同时使用追踪止损在行情有利时保护盈利。

细节

  • 入场条件：
    • 多头：EMA(2) 上穿 EMA(35)。
    • 空头：EMA(2) 下穿 EMA(35)。
  • 方向：双向。
  • 出场条件：
    • 反向交叉。
    • 触发止损或止盈。
    • 触发追踪止损。
  • 止损：固定止损、止盈和追踪止损（价格步长）。
  • 默认值：
    • FastLength = 2
    • SlowLength = 35
    • StopLoss = 50
    • TakeProfit = 150
    • TrailingStop = 50
  • 过滤器：
    • 类别：趋势跟随
    • 方向：双向
    • 指标：移动平均线
    • 止损：有
    • 复杂度：简单
    • 时间框架：短期
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(2) / EMA(35) crossover strategy.
/// </summary>
public class Ema235CrossStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public Ema235CrossStrategy()
	{
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA length", "Parameters");
		_slowLength = Param(nameof(SlowLength), 35)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA length", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fast = new ExponentialMovingAverage { Length = FastLength };
		var slow = new ExponentialMovingAverage { Length = SlowLength };

		SubscribeCandles(CandleType)
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastVal > slowVal;
		var crossDown = _prevFast >= _prevSlow && fastVal < slowVal;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}