Developing the first strategy

Simple Moving Average (SMA) Formula

The formula to calculate the Simple Moving Average (SMA) is as follows:

SMA = (Σ_i=1^N P_i) / N

Where:

• P_i: The price (usually the closing price) at period i.
• N: The total number of periods used to calculate the average.

Example:

If we calculate a 5-day SMA for a financial asset with the closing prices:

100, 102, 104, 106, 108

The SMA would be:

(100 + 102 + 104 + 106 + 108) / 5 = 520 / 5 = 104

So, the 5-day SMA in this case is 104.

This value is updated as new prices are added and older ones are removed, creating a smoothed line that helps identify trends.

Application to Automated Trading

Applying a moving average crossover in a trading strategy involves using two moving averages, one fast and one slow, to identify buy or sell signals based on market trends. Below is a professional approach to implement it:

Defining the Moving Averages

• Slow Moving Average: Calculated over a short period (e.g., 20 periods), reacts more slowly to price changes.
• Fast Moving Average: Calculated over a longer period (e.g., 50 periods), shows a more stable trend.

Crossover Criteria

• Bullish Crossover (Golden Cross): The fast moving average crosses above the slow moving average. Buy signal.
• Bearish Crossover (Death Cross): The fast moving average crosses below the slow moving average. Sell signal.

Sample Code to Implement a Golden Cross

using System.Collections.Generic;
using TradingMotion.SDKv2.Markets.Charts;
using TradingMotion.SDKv2.Markets.Orders;
using TradingMotion.SDKv2.Markets.Indicators.OverlapStudies;
using TradingMotion.SDKv2.Algorithms;
using TradingMotion.SDKv2.Algorithms.InputParameters;

namespace GoldenCrossStrategy
{
    public class GoldenCrossStrategy : Strategy
    {
        public GoldenCrossStrategy(Chart mainChart, List secondaryCharts)
            : base(mainChart, secondaryCharts)
        {
        }

        public override string Name
        {
            get { return "Golden Cross Strategy"; }
        }

        public override bool ForceCloseIntradayPosition
        {
            get { return false; }
        }

        public override uint MaxOpenPosition
        {
            get { return 1; }
        }

        public override bool UsesAdvancedOrderManagement
        {
            get { return false; }
        }

        public override InputParameterList SetInputParameters()
        {
            return new InputParameterList
            {
                new InputParameter("Slow Moving Average Period", 20),
                new InputParameter("Fast Moving Average Period", 5),
                new InputParameter("Pips Take-Profit", 120),
                new InputParameter("Pips Stop-Loss", 60)
            };
        }

        public override void OnInitialize()
        {
            var indSlowSMA = new SMAIndicator(Bars.Close, (int)GetInputParameter("Slow Moving Average Period"));
            var indFastSMA = new SMAIndicator(Bars.Close, (int)GetInputParameter("Fast Moving Average Period"));

            AddIndicator("Slow SMA", indSlowSMA);
            AddIndicator("Fast SMA", indFastSMA);
        }

        public override void OnNewBar()
        {
            var indFastSma = (SMAIndicator)GetIndicator("Fast SMA");
            var indSlowSma = (SMAIndicator)GetIndicator("Slow SMA");

            if (GetOpenPosition() == 0)
            {
                if (indFastSma.GetAvSimple()[0] > indSlowSma.GetAvSimple()[0] && 
                    indFastSma.GetAvSimple()[1] < indSlowSma.GetAvSimple()[1])
                {
                    Buy(OrderType.Market, 1, 0, "Golden Cross - Open Long Position");
                }
            }

            PlaceExitOrders();
        }

        protected void PlaceExitOrders()
        {
            if (GetOpenPosition() > 0)
            {
                var ticksTakeProfit = (int)GetInputParameter("Pips Take-Profit");
                var ticksStopLoss = (int)GetInputParameter("Pips Stop-Loss");

                var takeProfitLevel = GetFilledOrders()[0].FillPrice + (ticksTakeProfit * Symbol.TickSize);
                var stopLossLevel = GetFilledOrders()[0].FillPrice - (ticksStopLoss * Symbol.TickSize);

                ExitLong(OrderType.Limit, Symbol.RoundToNearestTick(takeProfitLevel), "Take Profit");
                ExitLong(OrderType.Stop, Symbol.RoundToNearestTick(stopLossLevel), "Stop Loss");
            }
        }
    }
}
    

Example of the Golden Cross Strategy

*To achieve these results, it is necessary to perform optimizations and tests across different timeframes to evaluate performance, as well as to incorporate additional filters and logic to refine the strategy further.

Developing the second strategy

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