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ARD Order Management Strategy

Strategy using the DeMarker indicator crossing a 0.5 threshold to open positions.

When DeMarker drops below the threshold after being above, the strategy buys. When DeMarker rises above the threshold after being below, it sells. Exit occurs on the opposite signal. No stop-loss or take-profit is used.

Details

  • Entry Criteria:
    • Long: DeMarker crosses below Threshold
    • Short: DeMarker crosses above Threshold
  • Long/Short: Both
  • Exit Criteria: Opposite signal
  • Stops: No
  • Default Values:
    • DeMarkerPeriod = 2
    • Threshold = 0.5
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • Filters:
    • Category: Indicator
    • Direction: Both
    • Indicators: DeMarker
    • Stops: No
    • Complexity: Basic
    • Timeframe: Intraday
    • 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>
/// Strategy based on DeMarker crossing a threshold.
/// </summary>
public class ArdOrderManagementStrategy : Strategy
{
	private readonly StrategyParam<int> _deMarkerPeriod;
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _previousValue;
	private bool _hasPrev;

	public int DeMarkerPeriod
	{
		get => _deMarkerPeriod.Value;
		set => _deMarkerPeriod.Value = value;
	}

	public decimal Threshold
	{
		get => _threshold.Value;
		set => _threshold.Value = value;
	}

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

	public ArdOrderManagementStrategy()
	{
		_deMarkerPeriod = Param(nameof(DeMarkerPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("DeMarker Period", "DeMarker indicator period", "Parameters");

		_threshold = Param(nameof(Threshold), 0.5m)
			.SetDisplay("Threshold", "DeMarker crossing level", "Parameters");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousValue = 0;
		_hasPrev = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var deMarker = new DeMarker { Length = DeMarkerPeriod };

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

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

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

		if (!_hasPrev)
		{
			_previousValue = deMarkerValue;
			_hasPrev = true;
			return;
		}

		var buySignal = _previousValue > Threshold && deMarkerValue < Threshold;
		var sellSignal = _previousValue < Threshold && deMarkerValue > Threshold;

		if (buySignal && Position <= 0)
			BuyMarket();
		else if (sellSignal && Position >= 0)
			SellMarket();

		_previousValue = deMarkerValue;
	}
}