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Color Zerolag X10 MA Strategy

This strategy is a simplified port of the MetaTrader example Exp_ColorZerolagX10MA.mq5. It uses a zero lag exponential moving average to detect slope changes. When the moving average turns upward after decreasing for two bars, the strategy opens or reverses to a long position. Conversely, when the moving average turns downward after increasing, it opens or reverses to a short position.

The logic mimics the original idea where a combined set of ten smoothed moving averages produces a single color-coded line. Here we replace that complex indicator with StockSharp's built-in ZeroLagExponentialMovingAverage to keep the implementation compact and reusable. The system works on the selected candle timeframe and can enable or disable individual actions (open/close long/short) via parameters.

Details

  • Entry Criteria:
    • Long: ZLEMA[t-2] > ZLEMA[t-1] and ZLEMA[t] > ZLEMA[t-1].
    • Short: ZLEMA[t-2] < ZLEMA[t-1] and ZLEMA[t] < ZLEMA[t-1].
  • Long/Short: Both directions supported.
  • Exit Criteria:
    • Long positions are closed when a short signal appears and BuyPosClose is enabled.
    • Short positions are closed when a long signal appears and SellPosClose is enabled.
  • Stops: None by default; exits rely on opposite signals.
  • Default Values:
    • Length = 20.
    • CandleType = 4-hour timeframe.
    • All action flags (BuyPosOpen, SellPosOpen, BuyPosClose, SellPosClose) enabled.
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Single
    • Stops: No
    • Complexity: Simple
    • 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>
/// Trades ZLEMA slope reversals with independent long/short entry/exit switches.
/// </summary>
public class ColorZerolagX10MaStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<bool> _openBuy;
	private readonly StrategyParam<bool> _openSell;
	private readonly StrategyParam<bool> _closeBuy;
	private readonly StrategyParam<bool> _closeSell;

	private decimal? _previous;
	private decimal? _beforePrevious;
	private Order _pendingOrder;

	public int Length { get => _length.Value; set => _length.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public bool BuyPosOpen { get => _openBuy.Value; set => _openBuy.Value = value; }
	public bool SellPosOpen { get => _openSell.Value; set => _openSell.Value = value; }
	public bool BuyPosClose { get => _closeBuy.Value; set => _closeBuy.Value = value; }
	public bool SellPosClose { get => _closeSell.Value; set => _closeSell.Value = value; }

	public ColorZerolagX10MaStrategy()
	{
		_length = Param(nameof(Length), 20).SetGreaterThanZero()
			.SetDisplay("Length", "ZLEMA length", "Indicator");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_openBuy = Param(nameof(BuyPosOpen), true).SetDisplay("Open Buy", "Allow long entries", "Trading");
		_openSell = Param(nameof(SellPosOpen), true).SetDisplay("Open Sell", "Allow short entries", "Trading");
		_closeBuy = Param(nameof(BuyPosClose), true).SetDisplay("Close Buy", "Allow long exits", "Trading");
		_closeSell = Param(nameof(SellPosClose), true).SetDisplay("Close Sell", "Allow short exits", "Trading");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_previous = _beforePrevious = null;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_previous = _beforePrevious = null;
		_pendingOrder = null;
		var zlma = new ZeroLagExponentialMovingAverage { Length = Length };
		SubscribeCandles(CandleType).Bind(zlma, ProcessCandle).Start();
	}

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

		var turnUp = _beforePrevious is decimal older && _previous is decimal previous
			&& previous < older && current > previous;
		var turnDown = _beforePrevious is decimal olderDown && _previous is decimal previousDown
			&& previousDown > olderDown && current < previousDown;
		_beforePrevious = _previous;
		_previous = current;

		if (!IsFormedAndOnlineAndAllowTrading()
			|| (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed)))
			return;

		if (turnUp)
		{
			if (Position < 0m && SellPosClose)
				_pendingOrder = BuyMarket(-Position + (BuyPosOpen ? Volume : 0m));
			else if (Position == 0m && BuyPosOpen)
				_pendingOrder = BuyMarket(Volume);
		}
		else if (turnDown)
		{
			if (Position > 0m && BuyPosClose)
				_pendingOrder = SellMarket(Position + (SellPosOpen ? Volume : 0m));
			else if (Position == 0m && SellPosOpen)
				_pendingOrder = SellMarket(Volume);
		}
	}
}