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Fisher Transform X2 Strategy

This strategy uses the Fisher Transform indicator on two different timeframes. The higher timeframe defines the overall trend, while the lower timeframe generates entries when Fisher crosses its previous value against that trend. Optional parameters allow closing positions on trend change or on cross signals.

Details

  • Entry Criteria:
    • Long: Trend Fisher rising && Signal Fisher crosses below its previous value
    • Short: Trend Fisher falling && Signal Fisher crosses above its previous value
  • Long/Short: Both
  • Exit Criteria:
    • Optional close on trend reversal
    • Optional close on opposite Fisher cross on signal timeframe
  • Stops: Take profit and stop loss in points
  • Default Values:
    • Trend Length = 10
    • Signal Length = 10
    • Trend Timeframe = 6 hours
    • Signal Timeframe = 30 minutes
    • Take Profit = 2000 points
    • Stop Loss = 1000 points
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Fisher Transform
    • Stops: Yes
    • Complexity: Medium
    • Timeframe: Multi-timeframe
    • 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>
/// Fisher Transform strategy using two Fisher indicators (trend + signal).
/// Trend Fisher defines direction; Signal Fisher generates entries.
/// Both use same timeframe but different lengths.
/// </summary>
public class FisherTransformX2Strategy : Strategy
{
	private readonly StrategyParam<int> _trendLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private EhlersFisherTransform _trendFisher;
	private EhlersFisherTransform _signalFisher;

	private decimal _prevTrend;
	private decimal _prevSignal;
	private decimal _prevPrevSignal;
	private int _trendDirection;
	private int _count;

	public int TrendLength { get => _trendLength.Value; set => _trendLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FisherTransformX2Strategy()
	{
		_trendLength = Param(nameof(TrendLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Trend Length", "Fisher length for trend", "Parameters")
			.SetOptimize(10, 30, 2);

		_signalLength = Param(nameof(SignalLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Fisher length for signal", "Parameters")
			.SetOptimize(5, 20, 1);

		_takeProfit = Param(nameof(TakeProfit), 2000m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take profit in price units", "Risk");

		_stopLoss = Param(nameof(StopLoss), 1000m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop loss in price units", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevTrend = 0m;
		_prevSignal = 0m;
		_prevPrevSignal = 0m;
		_trendDirection = 0;
		_count = 0;
	}

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

		_trendFisher = new EhlersFisherTransform { Length = TrendLength };
		_signalFisher = new EhlersFisherTransform { Length = SignalLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_signalFisher, ProcessCandle)
			.Start();

		StartProtection(
			new Unit(TakeProfit, UnitTypes.Absolute),
			new Unit(StopLoss, UnitTypes.Absolute));

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

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

		// Process trend Fisher manually with the candle
		var trendResult = _trendFisher.Process(candle);
		if (!_trendFisher.IsFormed || !_signalFisher.IsFormed)
			return;

		var signalVal = ((IEhlersFisherTransformValue)signalResult).MainLine ?? 0m;
		var trendVal = ((IEhlersFisherTransformValue)trendResult).MainLine ?? 0m;

		_count++;
		if (_count < 3)
		{
			_prevPrevSignal = _prevSignal;
			_prevSignal = signalVal;
			_prevTrend = trendVal;
			return;
		}

		// Update trend direction
		if (trendVal > _prevTrend)
			_trendDirection = 1;
		else if (trendVal < _prevTrend)
			_trendDirection = -1;

		// Signal crossover
		var signalCrossUp = signalVal > _prevSignal && _prevSignal <= _prevPrevSignal && signalVal < 0m;
		var signalCrossDown = signalVal < _prevSignal && _prevSignal >= _prevPrevSignal && signalVal > 0m;

		if (_trendDirection > 0 && signalCrossUp && Position <= 0)
			BuyMarket();
		else if (_trendDirection < 0 && signalCrossDown && Position >= 0)
			SellMarket();

		_prevTrend = trendVal;
		_prevPrevSignal = _prevSignal;
		_prevSignal = signalVal;
	}
}