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Color XTRIX Histogram Strategy

This strategy trades based on the direction changes of a smoothed TRIX (triple exponential moving average momentum) calculated from logarithmic closing prices. A long position is opened when the TRIX histogram turns upward after declining, while a short position is opened when it turns downward after rising. Positions are reversed on opposite turns. No stop-loss or take-profit is used.

Details

  • Entry Criteria:
    • Long: TRIX rising && previous TRIX falling
    • Short: TRIX falling && previous TRIX rising
  • Long/Short: Long and Short
  • Exit Criteria:
    • Long: TRIX turns downward
    • Short: TRIX turns upward
  • Stops: No
  • Default Values:
    • TRIX Length = 5
    • Smooth Length = 5
    • Momentum Period = 1
    • Candle Type = 4h time frame
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: TRIX
    • Stops: No
    • Complexity: Low
    • Timeframe: Medium-term
    • 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;

/// <summary>
/// Color XTRIX Histogram strategy.
/// Opens or closes positions when smoothed TRIX turns direction.
/// </summary>
public class ColorXtrixHistogramStrategy : Strategy
{
	private readonly StrategyParam<int> _trixLength;
	private readonly StrategyParam<int> _smoothLength;
	private readonly StrategyParam<int> _momentumPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private TripleExponentialMovingAverage _tripleEma;
	private RateOfChange _roc;
	private ExponentialMovingAverage _smoother;

	private decimal? _prev1;
	private decimal? _prev2;

	public int TrixLength { get => _trixLength.Value; set => _trixLength.Value = value; }
	public int SmoothLength { get => _smoothLength.Value; set => _smoothLength.Value = value; }
	public int MomentumPeriod { get => _momentumPeriod.Value; set => _momentumPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorXtrixHistogramStrategy()
	{
		_trixLength = Param(nameof(TrixLength), 5)
			.SetDisplay("TRIX Length", "Length for base triple EMA", "Indicators");

		_smoothLength = Param(nameof(SmoothLength), 5)
			.SetDisplay("Smooth Length", "Length for additional smoothing", "Indicators");

		_momentumPeriod = Param(nameof(MomentumPeriod), 1)
			.SetDisplay("Momentum Period", "Period for rate of change", "Indicators");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_tripleEma = null;
		_roc = null;
		_smoother = null;
		_prev1 = null;
		_prev2 = null;
	}

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

		_prev1 = null;
		_prev2 = null;

		_tripleEma = new TripleExponentialMovingAverage { Length = TrixLength };
		_roc = new RateOfChange { Length = MomentumPeriod };
		_smoother = new ExponentialMovingAverage { Length = SmoothLength };
		Indicators.Add(_tripleEma);
		Indicators.Add(_roc);
		Indicators.Add(_smoother);

		var warmup = new ExponentialMovingAverage { Length = TrixLength };
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(warmup, ProcessCandle)
			.Start();

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

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

		var t = candle.ServerTime;
		var logClose = (decimal)Math.Log((double)candle.ClosePrice);

		var emaResult = _tripleEma.Process(new DecimalIndicatorValue(_tripleEma, logClose, t) { IsFinal = true });
		if (!_tripleEma.IsFormed)
			return;

		var emaVal = emaResult.GetValue<decimal>();
		var rocResult = _roc.Process(new DecimalIndicatorValue(_roc, emaVal, t) { IsFinal = true });
		if (!_roc.IsFormed)
			return;

		var rocVal = rocResult.GetValue<decimal>();
		var smoothResult = _smoother.Process(new DecimalIndicatorValue(_smoother, rocVal, t) { IsFinal = true });
		if (!_smoother.IsFormed)
			return;

		var trix = smoothResult.GetValue<decimal>();

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prev2 = _prev1;
			_prev1 = trix;
			return;
		}

		if (_prev1 is null || _prev2 is null)
		{
			_prev2 = _prev1;
			_prev1 = trix;
			return;
		}

		var wasDown = _prev1 < _prev2;
		var isUp = trix > _prev1;
		var wasUp = _prev1 > _prev2;
		var isDown = trix < _prev1;

		if (wasDown && isUp && Position <= 0)
			BuyMarket();
		else if (wasUp && isDown && Position >= 0)
			SellMarket();

		_prev2 = _prev1;
		_prev1 = trix;
	}
}