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Grover Llorens Activator Strategy

Adaptive trailing strategy based on ATR that switches direction when price crosses the internal activator line.

It buys when the difference between price and the trailing line crosses above zero. It sells when it crosses below zero.

Details

  • Entry Criteria: Price crossing trailing stop calculated from ATR.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal.
  • Stops: No.
  • Default Values:
    • Length = 480
    • Multiplier = 14
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: ATR
    • Stops: No
    • Complexity: Basic
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class GroverLlorensActivatorStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private decimal _prevFastEma;
	private decimal _prevSlowEma;

	public int FastEmaPeriod { get => _fastEmaPeriod.Value; set => _fastEmaPeriod.Value = value; }
	public int SlowEmaPeriod { get => _slowEmaPeriod.Value; set => _slowEmaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public GroverLlorensActivatorStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 120)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 450)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFastEma = 0m;
		_prevSlowEma = 0m;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var fastEma = new ExponentialMovingAverage { Length = FastEmaPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fastEma, slowEma, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, fastEma);
			DrawIndicator(area, slowEma);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastEmaValue, decimal slowEmaValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (_prevFastEma == 0m || _prevSlowEma == 0m)
		{
			_prevFastEma = fastEmaValue;
			_prevSlowEma = slowEmaValue;
			return;
		}
		if (_prevFastEma <= _prevSlowEma && fastEmaValue > slowEmaValue && Position <= 0)
			BuyMarket();
		else if (_prevFastEma >= _prevSlowEma && fastEmaValue < slowEmaValue && Position >= 0)
			SellMarket();
		_prevFastEma = fastEmaValue;
		_prevSlowEma = slowEmaValue;
	}
}