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Color Schaff JCCX Trend Cycle Strategy

This strategy is a C# conversion of the MQL5 expert Exp_ColorSchaffJCCXTrendCycle. It employs the Schaff Trend Cycle (STC) oscillator built on top of the JCCX algorithm.

Trading Logic

  • Calculate the Schaff Trend Cycle on each finished candle.
  • When the oscillator drops below the High Level after being above it, a long position is opened and short positions are closed.
  • When the oscillator rises above the Low Level after being below it, a short position is opened and long positions are closed.

Parameters

Name Description
Fast JCCX Fast JCCX period used in the indicator.
Slow JCCX Slow JCCX period used in the indicator.
Smoothing JJMA smoothing factor for JCCX.
Phase JJMA phase value.
Cycle Length of the cycle for Schaff Trend calculation.
High Level Upper trigger level of the oscillator.
Low Level Lower trigger level of the oscillator.
Open Long Allow opening long positions.
Open Short Allow opening short positions.
Close Long Allow closing existing long positions.
Close Short Allow closing existing short positions.

Notes

The strategy uses StockSharp's high level API and subscribes to candle data. It reacts only to finished candles. Money management and risk control are kept simple for demonstration purposes.

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 the Schaff Trend Cycle indicator level crossovers.
/// </summary>
public class ColorSchaffJccxTrendCycleStrategy : Strategy
{
	private readonly StrategyParam<decimal> _highLevel;
	private readonly StrategyParam<decimal> _lowLevel;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prev;

	public decimal HighLevel { get => _highLevel.Value; set => _highLevel.Value = value; }
	public decimal LowLevel { get => _lowLevel.Value; set => _lowLevel.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorSchaffJccxTrendCycleStrategy()
	{
		_highLevel = Param(nameof(HighLevel), 75m)
			.SetDisplay("High Level", "Upper trigger level", "Signal");

		_lowLevel = Param(nameof(LowLevel), 25m)
			.SetDisplay("Low Level", "Lower trigger level", "Signal");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prev = null;
	}

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

		var stc = new SchaffTrendCycle();

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

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

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

		if (_prev is null)
		{
			_prev = stc;
			return;
		}

		if (_prev > HighLevel && stc <= HighLevel && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (_prev < LowLevel && stc >= LowLevel && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prev = stc;
	}
}