The following moving average crossover strategy ships with the OpenQuant system, and uses moving average crossovers to enter trades. This strategy (like the breakout strategy shown above) has three methods for exiting a trade. It can use the moving averages, the OCA One Cancels All method, or a trailing stop indicator method (which initiates a market order to close the position). Notice the use of a trailing stop indicator, rather than a stop order, to exit the trade. The stop is just a stop that is maintained by the strategy framework (not the broker). The trailing stop fires when an incoming trade price reaches the stop limit, and the OnStopExecuted event handler is called. The event handler issues a market order to close the position. This way, no stop order is ever issued to the broker (perhaps some brokers or exchanges donâ€™t take trailing stops).
public class MyStrategy : Strategy
[Parameter("Length of SMA1", "SMA")]
int Length1 = 3;
[Parameter("Length of SMA2", "SMA")]
int Length2 = 7;
[Parameter("Color of SMA1", "SMA")]
Color Color1 = Color.Yellow;
[Parameter("Color of SMA2", "SMA")]
Color Color2 = Color.LightBlue;
[Parameter("Stop OCA Level", "OCA")]
double StopOCALevel = 0.98;
[Parameter("Limit OCA Level", "OCA")]
double LimitOCALevel = 1.05;
[Parameter("Stop Level", "Stop")]
double StopLevel = 0.05;
[Parameter("Stop Type", "Stop")]
StopType StopType = StopType.Trailing;
StopMode StopMode = StopMode.Percent;
bool CrossoverExitEnabled = true;
[Parameter("OCA Exit Enabled", "Exit")]
bool OCAExitEnabled = true;
[Parameter("Stop Exit Enabled", "Exit")]
bool StopExitEnabled = true;
// this strategy uses some of the same exit methods
// as the breakout strategy described earlier. Look
// there for additional documentation
// lengths and colors of the simple moving averages
// only one trade is allowed at a time
bool entryEnabled = true;
int OCACount = 0;
// for the orders used by this strategy
[Parameter("Order quantity (number of contracts to trade)")]
double Qty = 100;
public override void OnStrategyStart()
// set up the moving averages, based on closing prices
sma1 = new SMA(Bars, Length1, Color1);
sma2 = new SMA(Bars, Length2, Color2);
// 0 means draw both averages on the price chart
public override void OnBar(Bar bar)
// does the fast average cross over the slow average?
// if so, time to buy long
Cross cross = sma1.Crosses(sma2, bar);
// we only allow one active position at a time
// if price trend is moving upward, open a long
// position using a market order, and send it in
if (cross == Cross.Above)
marketOrder = MarketOrder(OrderSide.Buy, Qty, "Entry");
// if one cancels all exit method is desired, we
// also issue a limit (profit target) order, and
// a stop loss order in case the breakout fails.
// The OCA exit method uses a real stop loss order.
// The Stop exit method uses a stop indicator.
// Use either the OCA or Stop method, not both at once.
// create and send a profit limit order
double profitTarget = LimitOCALevel * bar.Close;
limitOrder = SellLimitOrder(Qty, profitTarget, "Limit OCA " + OCACount);
limitOrder.OCAGroup = "OCA " + Instrument.Symbol + " "
// create and send a stop loss order
double lossTarget = StopOCALevel * bar.Close;
stopOrder = SellStopOrder(Qty, lossTarget, "Stop OCA " + OCACount);
stopOrder.OCAGroup = "OCA " + Instrument.Symbol + " "
// bump the OCA count to make OCA group strings unique
entryEnabled = false;
// else if entry is disabled on this bar, we have an open position
// if we are using the crossover exit, and if the fast
// average just crossed below the slow average, issue a
// market order to close the existing position
if (cross == Cross.Below)
marketOrder = MarketOrder(OrderSide.Sell, Qty, "Crossover Exit");
public override void OnPositionOpened()
// if we want to exit trades using the Stop method, set a
// a trailing stop indicator when the position is
// first opened. The stop indicator is not a stop loss
// order that can be executed by a broker. Instead, the stop
// just fires the OnStopExecuted event when it it triggered.
SetStop(StopLevel, StopType, StopMode);
public override void OnPositionClosed()
// when a position is closed, cancel the limit and stop
// orders that might be associated with this position.
// But only cancel if the order has not been filled or
// not been cancelled already.
if (OCAExitEnabled &&
!(limitOrder.IsFilled || limitOrder.IsCancelled))
// allow entries once again, since our position is closed
entryEnabled = true;
public override void OnStopExecuted(Stop stop)
// if our trailing stop indicator was executed,
// issue a market sell order to close the position.
marketOrder = MarketOrder(OrderSide.Sell, Qty, "Stop Exit");