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MA Cross + DMI Strategy

Trades a crossover of fast and slow exponential moving averages only when the Directional Movement Index confirms trend strength. By waiting for +DI or -DI to dominate while ADX rises above a key level, the system filters out weak crossovers.

This strategy can enter long or short positions and exits on opposing crossovers. ADX filtering helps the method stay out of ranging periods where moving averages frequently whipsaw.

Details

  • Entry Criteria:
    • Long: Fast EMA crosses above slow EMA, +DI > -DI, and ADX above the key level.
    • Short: Fast EMA crosses below slow EMA, -DI > +DI, and ADX above the key level.
  • Exit Criteria:
    • Opposite crossover or manual stop.
  • Indicators:
    • Two EMAs (periods 10 and 20)
    • Directional Movement Index (length 14, ADX smoothing 14)
  • Stops: None by default; can use StartProtection.
  • Default Values:
    • Ma1Length = 10
    • Ma2Length = 20
    • DmiLength = 14
    • AdxSmoothing = 14
    • KeyLevel = 20
  • Filters:
    • Trend following
    • Works on intraday to swing timeframes
    • Indicators: EMA, DMI
    • Stops: Optional
    • Complexity: Basic
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>
/// MA Cross + DMI Strategy.
/// Uses MA crossover confirmed by DMI directional alignment.
/// Buys when fast MA crosses above slow MA and DI+ > DI-.
/// Sells when fast MA crosses below slow MA and DI- > DI+.
/// </summary>
public class MaCrossDmiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _ma1Length;
	private readonly StrategyParam<int> _ma2Length;
	private readonly StrategyParam<int> _dmiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ma1;
	private ExponentialMovingAverage _ma2;
	private DirectionalIndex _dmi;

	private decimal _prevMa1;
	private decimal _prevMa2;
	private int _cooldownRemaining;

	public MaCrossDmiStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_ma1Length = Param(nameof(Ma1Length), 10)
			.SetGreaterThanZero()
			.SetDisplay("MA1 Length", "Fast moving average period", "Moving Average");

		_ma2Length = Param(nameof(Ma2Length), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA2 Length", "Slow moving average period", "Moving Average");

		_dmiLength = Param(nameof(DmiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("DMI Length", "DMI period", "DMI");

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

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

	public int Ma1Length
	{
		get => _ma1Length.Value;
		set => _ma1Length.Value = value;
	}

	public int Ma2Length
	{
		get => _ma2Length.Value;
		set => _ma2Length.Value = value;
	}

	public int DmiLength
	{
		get => _dmiLength.Value;
		set => _dmiLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_ma1 = null;
		_ma2 = null;
		_dmi = null;
		_prevMa1 = 0;
		_prevMa2 = 0;
		_cooldownRemaining = 0;
	}

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

		_ma1 = new ExponentialMovingAverage { Length = Ma1Length };
		_ma2 = new ExponentialMovingAverage { Length = Ma2Length };
		_dmi = new DirectionalIndex { Length = DmiLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_ma1, _ma2, _dmi, OnProcess)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ma1);
			DrawIndicator(area, _ma2);
			DrawOwnTrades(area);
		}
	}

	private void OnProcess(ICandleMessage candle, IIndicatorValue ma1Value, IIndicatorValue ma2Value, IIndicatorValue dmiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_ma1.IsFormed || !_ma2.IsFormed || !_dmi.IsFormed)
			return;

		if (ma1Value.IsEmpty || ma2Value.IsEmpty || dmiValue.IsEmpty)
			return;

		var ma1Price = ma1Value.ToDecimal();
		var ma2Price = ma2Value.ToDecimal();

		var dmiData = (DirectionalIndexValue)dmiValue;
		if (dmiData.Plus is not decimal diPlus || dmiData.Minus is not decimal diMinus)
		{
			_prevMa1 = ma1Price;
			_prevMa2 = ma2Price;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevMa1 = ma1Price;
			_prevMa2 = ma2Price;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevMa1 = ma1Price;
			_prevMa2 = ma2Price;
			return;
		}

		if (_prevMa1 == 0 || _prevMa2 == 0)
		{
			_prevMa1 = ma1Price;
			_prevMa2 = ma2Price;
			return;
		}

		// MA crossover detection
		var maCrossUp = ma1Price > ma2Price && _prevMa1 <= _prevMa2;
		var maCrossDown = ma1Price < ma2Price && _prevMa1 >= _prevMa2;

		// Buy: MA cross up + DI+ > DI- (bullish direction)
		if (maCrossUp && diPlus > diMinus && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: MA cross down + DI- > DI+ (bearish direction)
		else if (maCrossDown && diMinus > diPlus && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long on MA cross down (without DMI requirement)
		else if (Position > 0 && maCrossDown)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short on MA cross up (without DMI requirement)
		else if (Position < 0 && maCrossUp)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevMa1 = ma1Price;
		_prevMa2 = ma2Price;
	}
}