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NonLagDot Strategy

Strategy inspired by the NonLagDot indicator. The indicator approximates price trend using a smooth moving average and color-coded dots. The strategy opens a long position when the indicator turns upward and a short position when it turns downward. Previous opposite positions are closed before opening a new one.

Details

  • Entry Criteria:
    • Long: Indicator turns from down to up (moving average slope becomes positive)
    • Short: Indicator turns from up to down (moving average slope becomes negative)
  • Long/Short: Both
  • Exit Criteria: Opposite signal
  • Stops: Optional stop-loss percentage
  • Default Values:
    • Length = 10
    • CandleType = TimeSpan.FromHours(1).TimeFrame()
    • StopLossPercent = 1m
  • Filters:
    • Category: Trend-following
    • Direction: Both
    • Indicators: SMA slope approximation of NonLagDot
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on NonLagDot indicator trend changes.
/// Uses a simple moving average to approximate NonLagDot behavior.
/// When the moving average slope turns positive, a long position is opened.
/// When the slope turns negative, a short position is opened.
/// Opposite positions are closed before opening new ones.
/// </summary>
public class NonLagDotStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private ExponentialMovingAverage _sma;
	private decimal? _prevSma;
	private int _prevTrend;

	/// <summary>
	/// Moving average length approximating NonLagDot.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

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

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

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public NonLagDotStrategy()
	{
		_length = Param(nameof(Length), 10)
			.SetGreaterThanZero()
			.SetDisplay("Length", "Moving average period", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for calculations", "General");

		_stopLossPercent = Param(nameof(StopLossPercent), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Percent based stop-loss", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_sma = null;
		_prevSma = null;
		_prevTrend = 0;
	}

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

		_sma = new ExponentialMovingAverage { Length = Length };

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

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

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

		if (_prevSma is null)
		{
			_prevSma = sma;
			return;
		}

		var trend = sma > _prevSma ? 1 : sma < _prevSma ? -1 : _prevTrend;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevTrend = trend;
			_prevSma = sma;
			return;
		}

		if (trend > 0 && _prevTrend < 0 && Position <= 0)
			BuyMarket();
		else if (trend < 0 && _prevTrend > 0 && Position >= 0)
			SellMarket();

		_prevTrend = trend;
		_prevSma = sma;
	}
}