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ADX-Ausbruch

Die ADX-Ausbruch-Strategie überwacht den ADX auf starke Expansionen. Wenn die Werte über ihren typischen Bereich hinausspringen, beginnt der Preis oft eine neue Bewegung.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 97%. Die Strategie funktioniert am besten im Kryptomarkt.

Eine Position wird eröffnet, sobald der Indikator ein Band durchbricht, das aus aktuellen Daten und einem Abweichungsmultiplikator abgeleitet wird. Long- und Short-Trades sind mit einem Stop möglich.

Dieses System eignet sich für Momentum-Trader, die frühe Ausbrüche suchen. Trades schließen, wenn der ADX zur Mitte zurückkehrt. Standardwerte beginnen mit ADXPeriod = 14.

Details

  • Einstiegskriterien: Indikator überschreitet den Durchschnitt um den Abweichungsmultiplikator.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Indikator kehrt zum Durchschnitt zurück.
  • Stops: Ja.
  • Standardwerte:
    • ADXPeriod = 14
    • AvgPeriod = 20
    • Multiplier = 0.1m
    • CandleType = TimeSpan.FromMinutes(5)
    • StopLoss = 2.0m
  • Filter:
    • Kategorie: Ausbruch
    • Richtung: Beide
    • Indikatoren: ADX
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Kurzfristig
    • 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 that trades on ADX breakouts.
/// When ADX breaks out above its average, it enters position in the direction determined by price.
/// </summary>
public class ADXBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLoss;
	
	private AverageDirectionalIndex _adx;
	private SimpleMovingAverage _adxAverage;
	private decimal _prevAdxValue;
	private decimal _prevAdxAvgValue;
	
	/// <summary>
	/// ADX period.
	/// </summary>
	public int ADXPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}
	
	/// <summary>
	/// Period for ADX average calculation.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}
	
	/// <summary>
	/// Standard deviation multiplier for breakout detection.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}
	
	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}
	
	/// <summary>
	/// Initialize <see cref="ADXBreakoutStrategy"/>.
	/// </summary>
	public ADXBreakoutStrategy()
	{
		_adxPeriod = Param(nameof(ADXPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period for ADX indicator", "Indicators")
			
			.SetOptimize(10, 30, 2);
		
		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for ADX average calculation", "Indicators")
			
			.SetOptimize(10, 50, 5);
		
		_multiplier = Param(nameof(Multiplier), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviation multiplier for breakout detection", "Indicators")
			
			.SetOptimize(0.0m, 1.0m, 0.1m);
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		
		_stopLoss = Param(nameof(StopLoss), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop Loss percentage", "Risk Management")
			
			.SetOptimize(1.0m, 5.0m, 0.5m);
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevAdxValue = 0;
		_prevAdxAvgValue = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		
		
		// Create indicators
		_adx = new AverageDirectionalIndex { Length = ADXPeriod };
		_adxAverage = new SMA { Length = AvgPeriod };
		
		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		
		// First bind ADX to the candle subscription
		subscription
			.BindEx(_adx, ProcessAdx)
			.Start();
			
		// Enable stop loss protection
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute),
			stopLoss: new Unit(StopLoss, UnitTypes.Percent)
		);
		
		// Create chart area for visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _adx);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessAdx(ICandleMessage candle, IIndicatorValue adxValue)
	{
		if (candle.State != CandleStates.Finished)
			return;
		
		if (!adxValue.IsFinal)
			return;
		
		// Get current ADX value
		if (((AverageDirectionalIndexValue)adxValue).MovingAverage is not decimal currentAdx)
		{
			return;
		}

		// Process ADX through average indicator
		var adxAvgValue = _adxAverage.Process(new DecimalIndicatorValue(_adxAverage, currentAdx, candle.ServerTime));
		var currentAdxAvg = adxAvgValue.ToDecimal();
		
		// For first values, just save and skip
		if (_prevAdxValue == 0)
		{
			_prevAdxValue = currentAdx;
			_prevAdxAvgValue = currentAdxAvg;
			return;
		}
		
		// Calculate standard deviation of ADX (simplified approach)
		var stdDev = Math.Abs(currentAdx - currentAdxAvg) * 2; // Simplified approximation
		
		// Check if trading is allowed
		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevAdxValue = currentAdx;
			_prevAdxAvgValue = currentAdxAvg;
			return;
		}
		
		// ADX breakout detection (ADX increases significantly above its average)
		if (currentAdx > currentAdxAvg + Multiplier * stdDev)
		{
			// Determine direction based on price movement
			var priceDirection = candle.ClosePrice > candle.OpenPrice;
			
			// Cancel active orders before placing new ones
			CancelActiveOrders();
			
			// Trade in the direction of price movement
			if (priceDirection && Position <= 0)
			{
				// Bullish breakout - Buy
				BuyMarket(Volume + Math.Abs(Position));
			}
			else if (!priceDirection && Position >= 0)
			{
				// Bearish breakout - Sell
				SellMarket(Volume + Math.Abs(Position));
			}
		}
		// Check for exit condition - ADX returns to average
		else if ((Position > 0 && currentAdx < currentAdxAvg) || 
				 (Position < 0 && currentAdx < currentAdxAvg))
		{
			// Exit position
			ClosePosition();
		}
		
		// Update previous values
		_prevAdxValue = currentAdx;
		_prevAdxAvgValue = currentAdxAvg;
	}
}