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ADX-Trend

Strategie basierend auf dem Average Directional Index (ADX)-Trend. Die ADX-Trend-Strategie misst die Marktstärke mithilfe des ADX-Indikators. Wenn der ADX über einem Schwellenwert liegt und der Preis auf der richtigen Seite seines gleitenden Durchschnitts ist, handelt das System in diese Richtung. Positionen werden geschlossen, sobald der ADX schwächer wird oder das entgegengesetzte Setup erscheint.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 46%. Die Strategie funktioniert am besten im Aktienmarkt.

Durch das Warten auf einen soliden ADX-Wert wird nur gehandelt, wenn das Momentum fest etabliert ist. Stops verwenden typischerweise ein ATR-Vielfaches, damit sich das Risiko an die Volatilität anpasst.

Details

  • Einstiegskriterien: Signale basierend auf MA, ADX, ATR.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Gegensätzliches Signal oder Stop.
  • Stops: Ja.
  • Standardwerte:
    • AdxPeriod = 14
    • MaPeriod = 50
    • AtrMultiplier = 2m
    • AdxExitThreshold = 20
    • CandleType = TimeSpan.FromMinutes(5)
  • Filter:
    • Kategorie: Trend
    • Richtung: Beide
    • Indikatoren: MA, ADX, ATR
    • Stops: Ja
    • Komplexität: Grundlegend
    • Zeitrahmen: Intraday (5m)
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Average Directional Index (ADX) trend.
/// It enters long position when ADX > 25 and price > MA, and short position when ADX > 25 and price < MA.
/// </summary>
public class AdxTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _adxExitThreshold;
	private readonly StrategyParam<DataType> _candleType;
	
	// Current trend state
	private bool _adxAboveThreshold;
	private decimal _prevAdxValue;
	private decimal _prevMaValue;

	/// <summary>
	/// ADX period.
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

	/// <summary>
	/// Moving Average period.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop loss.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// ADX threshold to exit position.
	/// </summary>
	public int AdxExitThreshold
	{
		get => _adxExitThreshold.Value;
		set => _adxExitThreshold.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize the ADX Trend strategy.
	/// </summary>
	public AdxTrendStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 50)
			.SetDisplay("ADX Period", "Period for calculating ADX indicator", "Indicators")

			.SetOptimize(10, 30, 2);

		_maPeriod = Param(nameof(MaPeriod), 200)
			.SetDisplay("MA Period", "Period for calculating Moving Average", "Indicators")

			.SetOptimize(20, 100, 10);

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetDisplay("ATR Multiplier", "Multiplier for stop-loss based on ATR", "Risk parameters")
			
			.SetOptimize(1, 3, 0.5m);

		_adxExitThreshold = Param(nameof(AdxExitThreshold), 20)
			.SetDisplay("ADX Exit Threshold", "ADX level below which to exit position", "Exit parameters")
			
			.SetOptimize(15, 25, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_adxAboveThreshold = default;
		_prevAdxValue = default;
		_prevMaValue = default;

	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		// Create indicators
		var adx = new AverageDirectionalIndex { Length = AdxPeriod };
		var ma = new SMA { Length = MaPeriod };

		var currentAdxMa = 0m;
		var currentMaValue = 0m;

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(adx, (candle, adxVal) =>
			{
				if (adxVal is AverageDirectionalIndexValue adxTyped && adxTyped.MovingAverage is decimal adxMaVal)
					currentAdxMa = adxMaVal;
			})
			.Bind(ma, (candle, maVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				currentMaValue = maVal;

				ProcessCandle(candle, currentAdxMa, currentMaValue);
			})
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, adx);
			DrawIndicator(area, ma);
			DrawOwnTrades(area);
		}

	}

	private void ProcessCandle(ICandleMessage candle, decimal adxMa, decimal maValue)
	{
		if (adxMa == 0 || maValue == 0)
		{
			_prevMaValue = maValue;
			_prevAdxValue = adxMa;
			return;
		}

		var isPriceAboveMa = candle.ClosePrice > maValue;
		var wasPriceAboveMa = _prevMaValue != 0 && candle.OpenPrice > _prevMaValue;
		var isAdxStrong = adxMa > 25;

		// Only trade on MA crossover when ADX is strong
		if (_prevMaValue != 0 && isAdxStrong && wasPriceAboveMa != isPriceAboveMa)
		{
			if (isPriceAboveMa && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
			}
			else if (!isPriceAboveMa && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
			}
		}

		// Update previous values
		_prevAdxValue = adxMa;
		_prevMaValue = maValue;
		_adxAboveThreshold = isAdxStrong;
	}
}