Deutsch DE
Auf GitHub ansehen

Adaptive SMI Ergodic Strategy

The Adaptive SMI Ergodic strategy uses the True Strength Index (TSI) oscillator with an EMA signal line to detect reversals from overbought or oversold extremes. A long position is opened when TSI crosses above the oversold threshold while staying above its signal line. A short position is opened when TSI crosses below the overbought threshold and is below the signal line.

Details

  • Entry Criteria:
    • TSI crosses above oversold and TSI > signal (long).
    • TSI crosses below overbought and TSI < signal (short).
  • Long/Short: Both.
  • Exit Criteria:
    • Reverse signal triggers opposite trade.
  • Stops: None.
  • Default Values:
    • LongLength = 12
    • ShortLength = 5
    • SignalLength = 5
    • OversoldThreshold = -0.4
    • OverboughtThreshold = 0.4
  • Filters:
    • Category: Momentum oscillator
    • Direction: Long/Short
    • Indicators: True Strength Index, EMA
    • Stops: No
    • Complexity: Low
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Low
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Adaptive SMI Ergodic Strategy - uses True Strength Index crossovers with signal line confirmation.
/// </summary>
public class AdaptiveSmiErgodicStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _firstLength;
	private readonly StrategyParam<int> _secondLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<decimal> _oversoldThreshold;
	private readonly StrategyParam<decimal> _overboughtThreshold;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _previousTsi;
	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FirstLength { get => _firstLength.Value; set => _firstLength.Value = value; }
	public int SecondLength { get => _secondLength.Value; set => _secondLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public decimal OversoldThreshold { get => _oversoldThreshold.Value; set => _oversoldThreshold.Value = value; }
	public decimal OverboughtThreshold { get => _overboughtThreshold.Value; set => _overboughtThreshold.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public AdaptiveSmiErgodicStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_firstLength = Param(nameof(FirstLength), 25)
			.SetGreaterThanZero()
			.SetDisplay("First Length", "First smoothing length for TSI", "TSI")
			.SetOptimize(10, 30, 5);

		_secondLength = Param(nameof(SecondLength), 13)
			.SetGreaterThanZero()
			.SetDisplay("Second Length", "Second smoothing length for TSI", "TSI")
			.SetOptimize(5, 20, 3);

		_signalLength = Param(nameof(SignalLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Signal EMA length", "TSI")
			.SetOptimize(3, 15, 2);

		_oversoldThreshold = Param(nameof(OversoldThreshold), -10m)
			.SetDisplay("Oversold Threshold", "Oversold level for TSI", "TSI");

		_overboughtThreshold = Param(nameof(OverboughtThreshold), 10m)
			.SetDisplay("Overbought Threshold", "Overbought level for TSI", "TSI");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousTsi = 0;
		_cooldownRemaining = 0;
	}

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

		_previousTsi = 0;

		var tsi = new TrueStrengthIndex
		{
			FirstLength = FirstLength,
			SecondLength = SecondLength,
			SignalLength = SignalLength
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(tsi, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, tsi);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue tsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var tv = (ITrueStrengthIndexValue)tsiValue;

		if (tv.Tsi is not decimal tsiVal || tv.Signal is not decimal signalVal)
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_previousTsi = tsiVal;
			return;
		}

		var crossAboveOversold = _previousTsi <= OversoldThreshold && tsiVal > OversoldThreshold;
		var crossBelowOverbought = _previousTsi >= OverboughtThreshold && tsiVal < OverboughtThreshold;

		if (crossAboveOversold && tsiVal > signalVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (crossBelowOverbought && tsiVal < signalVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}

		_previousTsi = tsiVal;
	}
}