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Ma Adx Strategy

Strategy based on MA and ADX indicators. Enters position when price crosses MA with strong trend.

Testing indicates an average annual return of about 184%. It performs best in the crypto market.

The moving average dictates the trend, and ADX verifies whether it's strong enough to trade. Entries follow price crossings of the MA when ADX exceeds a threshold.

This classic trend approach appeals to systematic traders. Losses are managed with a percent stop and profits taken at an ATR-based target.

Details

  • Entry Criteria:
    • Long: Close > MA && ADX > 25
    • Short: Close < MA && ADX > 25
  • Long/Short: Both
  • Exit Criteria: Reverse MA cross or stop
  • Stops: StopLossPercent percent with take profit TakeProfitAtrMultiplier ATR
  • Default Values:
    • MaPeriod = 20
    • AdxPeriod = 14
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
    • StopLossPercent = 2m
    • TakeProfitAtrMultiplier = 2m
    • AdxThreshold = 25
    • AtrPeriod = 14 Entries need the close to cross the SMA on that candle while ADX is above AdxThreshold; the reverse cross closes the position and, with ADX still strong, opens the other side. The target lies TakeProfitAtrMultiplier ATRs (AtrPeriod) from the entry close and is checked on candle closes.
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: Moving Average, ADX
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Mid-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>
/// MA ADX strategy.
/// A close crossing above the MaPeriod SMA while ADX is above AdxThreshold goes long and a cross below goes short; the reverse cross
/// closes the position and, with ADX still strong, opens the other side. The target lies TakeProfitAtrMultiplier ATR from the entry close
/// and is checked on candle closes, and a percent stop limits the loss.
/// </summary>
public class MaAdxStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<decimal> _takeProfitAtrMultiplier;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevClose;
	private decimal _prevMa;
	private decimal _targetPrice;

	/// <summary>
	/// Period of the SMA.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Period of ADX.
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

	/// <summary>
	/// ADX level of a strong trend.
	/// </summary>
	public decimal AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

	/// <summary>
	/// Target distance from the entry in ATRs.
	/// </summary>
	public decimal TakeProfitAtrMultiplier
	{
		get => _takeProfitAtrMultiplier.Value;
		set => _takeProfitAtrMultiplier.Value = value;
	}

	/// <summary>
	/// Period of the target ATR.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public MaAdxStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period of the SMA", "Indicators");

		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period of ADX", "Indicators");

		_adxThreshold = Param(nameof(AdxThreshold), 25m)
			.SetDisplay("ADX Threshold", "ADX level of a strong trend", "Indicators");

		_takeProfitAtrMultiplier = Param(nameof(TakeProfitAtrMultiplier), 2m)
			.SetNotNegative()
			.SetDisplay("Take Profit ATR", "Target distance from the entry in ATRs", "Risk");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period of the target ATR", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = null;
		_prevMa = default;
		_targetPrice = default;
	}

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

		_prevClose = null;
		_prevMa = default;
		_targetPrice = default;

		var sma = new SimpleMovingAverage { Length = MaPeriod };
		var adx = new AverageDirectionalIndex { Length = AdxPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(sma, adx, atr, ProcessCandle)
			.Start();

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, adx);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		if (!smaValue.IsFormed || !adxValue.IsFormed || !atrValue.IsFormed)
			return;

		if (adxValue is not AverageDirectionalIndexValue { MovingAverage: decimal strength })
			return;

		var ma = smaValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		var prevClose = _prevClose;
		var prevMa = _prevMa;
		_prevClose = close;
		_prevMa = ma;

		if (prevClose is not decimal lastClose)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var atr = atrValue.GetValue<decimal>();
		var crossUp = lastClose <= prevMa && close > ma;
		var crossDown = lastClose >= prevMa && close < ma;
		var strong = strength > AdxThreshold;

		if (crossUp && strong && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_targetPrice = close + TakeProfitAtrMultiplier * atr;
		}
		else if (crossDown && strong && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_targetPrice = close - TakeProfitAtrMultiplier * atr;
		}
		else if (Position > 0 && (crossDown || (TakeProfitAtrMultiplier > 0 && close >= _targetPrice)))
		{
			SellMarket(Position);
		}
		else if (Position < 0 && (crossUp || (TakeProfitAtrMultiplier > 0 && close <= _targetPrice)))
		{
			BuyMarket(-Position);
		}
	}
}