EMA Crossover Strategy

A classic trend-following strategy that trades EMA crossovers.

Code

/**
 * EMA Crossover Strategy
 * 
 * Buys on bullish crossover (fast EMA crosses above slow EMA)
 * Sells on bearish crossover (fast EMA crosses below slow EMA)
 */

function define(ctx) {
  ctx.param('fastLength', {
    type: 'int',
    label: 'Fast EMA Period',
    default: 9,
    min: 5,
    max: 50,
    optimize: true,
    group: 'Trend'
  });
  
  ctx.param('slowLength', {
    type: 'int',
    label: 'Slow EMA Period',
    default: 21,
    min: 10,
    max: 200,
    optimize: true,
    group: 'Trend'
  });
}

function init(ctx) {
  ctx.indicator('fastEma', 'EMA', { period: ctx.p.fastLength, source: 'close' });
  ctx.indicator('slowEma', 'EMA', { period: ctx.p.slowLength, source: 'close' });
}

function onBar(ctx, i) {
  const fast = ctx.ind.fastEma;
  const slow = ctx.ind.slowEma;
  
  // Skip until indicators are ready
  if (q.isNaN(fast[i]) || q.isNaN(slow[i])) return;
  
  const pos = ctx.position('ASSET');
  
  // Bullish crossover: buy
  if (q.crossOver(fast, slow, i) && pos.qty <= 0) {
    if (pos.qty < 0) {
      ctx.order.close('ASSET', { signal: 'cover' });
    }
    ctx.order.market('ASSET', 1, { signal: 'buy', reason: 'ema_crossover' });
  }
  
  // Bearish crossover: sell
  if (q.crossUnder(fast, slow, i) && pos.qty >= 0) {
    if (pos.qty > 0) {
      ctx.order.close('ASSET', { signal: 'sell' });
    }
    ctx.order.market('ASSET', -1, { signal: 'short', reason: 'ema_crossunder' });
  }
}

Key Concepts

Using q.crossOver() / q.crossUnder()

The q namespace provides crossover detection:

// Bullish: fast crosses above slow
if (q.crossOver(ctx.ind.fastEma, ctx.ind.slowEma, i)) {
  ctx.order.market('ASSET', 1, { signal: 'buy' });
}

// Bearish: fast crosses below slow
if (q.crossUnder(ctx.ind.fastEma, ctx.ind.slowEma, i)) {
  ctx.order.close('ASSET', { signal: 'sell' });
}

Optimization-Ready Parameters

The optimize: true flag marks parameters for optimization:

ctx.param('fastLength', {
  type: 'int',
  default: 9,
  min: 5,
  max: 50,
  optimize: true  // Will be included in optimization runs
});

Parameter Groups

Group related parameters in the UI:

ctx.param('fastLength', { ..., group: 'Trend' });
ctx.param('slowLength', { ..., group: 'Trend' });
ctx.param('stopLoss', { ..., group: 'Risk' });

Long-Only Variant

If you only want to go long (no shorting):

function onBar(ctx, i) {
  const fast = ctx.ind.fastEma;
  const slow = ctx.ind.slowEma;
  
  if (q.isNaN(fast[i]) || q.isNaN(slow[i])) return;
  
  const pos = ctx.position('ASSET');
  
  // Buy on bullish cross
  if (q.crossOver(fast, slow, i) && pos.qty === 0) {
    ctx.order.market('ASSET', 1, { signal: 'buy' });
  }
  
  // Sell on bearish cross (no shorting)
  if (q.crossUnder(fast, slow, i) && pos.qty > 0) {
    ctx.order.close('ASSET', { signal: 'sell' });
  }
}

Performance Notes

• Works best in trending markets
• Whipsaws in ranging markets
• Consider adding filters (ATR, ADX, volume) for robustness

Related

• RSI Mean Reversion — Counter-trend example
• Helper Functions — q.crossOver(), q.crossUnder()