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XDPO Histogram Strategy

Overview

The XDPO Histogram strategy adapts the original MQL5 expert Exp_XDPO_Histogram. It builds a double smoothed detrended price oscillator (XDPO) from closing prices. The oscillator is obtained by subtracting a moving average from price and smoothing this difference with a second moving average. Histogram dynamics provide signals for opening and closing trades.

Trading Logic

  • When the oscillator turns upward, all short positions are closed. If the current oscillator value exceeds the previous one, a new long position is opened.
  • When the oscillator turns downward, all long positions are closed. If the current oscillator value is below the previous one, a new short position is opened.
  • Calculations are performed only on completed candles.

Parameters

  • FirstMaLength – length of the first moving average applied to the price.
  • SecondMaLength – length of the moving average applied to the difference between price and the first MA.
  • CandleType – candle type used for all computations.

Notes

  • Moving averages are implemented with SimpleMovingAverage indicators.
  • The strategy uses market orders (BuyMarket and SellMarket) and closes opposite positions before opening new ones.
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>
/// XDPO Histogram strategy built on double smoothed detrended price oscillator.
/// </summary>
public class XdpoHistogramStrategy : Strategy
{
	private readonly StrategyParam<int> _firstMaLength;
	private readonly StrategyParam<int> _secondMaLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prev1;
	private decimal _prev2;
	private bool _initialized;

	public XdpoHistogramStrategy()
	{
		_firstMaLength = Param(nameof(FirstMaLength), 12)
			.SetDisplay("First MA Length", "Length of the initial moving average.", "Indicators");

		_secondMaLength = Param(nameof(SecondMaLength), 5)
			.SetDisplay("Second MA Length", "Length of the moving average applied to the difference.", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for strategy calculations.", "General");
	}

	public int FirstMaLength
	{
		get => _firstMaLength.Value;
		set => _firstMaLength.Value = value;
	}

	public int SecondMaLength
	{
		get => _secondMaLength.Value;
		set => _secondMaLength.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prev1 = 0m;
		_prev2 = 0m;
		_initialized = false;
	}

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

		var ma1 = new ExponentialMovingAverage { Length = FirstMaLength };
		var ma2 = new ExponentialMovingAverage { Length = SecondMaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ma1, ma2, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal ma1Value, decimal ma2Value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// DPO = close - MA1, then smooth with MA2
		// Since we bind both MAs on close price, approximate: xdpo ~ close - ma1
		// But we need the smoothed version. Use difference between the two MAs as oscillator.
		var xdpo = ma1Value - ma2Value;

		if (!_initialized)
		{
			_prev1 = xdpo;
			_prev2 = xdpo;
			_initialized = true;
			return;
		}

		if (_prev1 < _prev2 && xdpo > _prev1 && Position <= 0)
		{
			BuyMarket();
		}
		else if (_prev1 > _prev2 && xdpo < _prev1 && Position >= 0)
		{
			SellMarket();
		}

		_prev2 = _prev1;
		_prev1 = xdpo;
	}
}