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Auto ADX Strategy

Overview

The Auto ADX Strategy is a direct port of the MetaTrader expert advisor Auto ADX.mq5 into the StockSharp high-level API. The strategy evaluates Average Directional Index (ADX) strength and the relation between the +DI and -DI components to determine trade direction. It reproduces the original risk controls, including stop-loss, take-profit, reversible signals, and pip-based trailing stops, while adopting StockSharp concepts such as candle subscriptions and indicator bindings.

Trading Logic

  • Candle Source – The strategy subscribes to a configurable candle type (default: 1-hour time frame) and processes only finished candles to avoid intrabar noise.
  • ADX Calculation – A single AverageDirectionalIndex indicator is bound through BindEx, giving access to the smoothed ADX value as well as the +DI and -DI lines.
  • Long Entry – Triggered when:
    • +DI is greater than -DI (positive directional momentum),
    • ADX is above the configurable ADX level, and
    • ADX is rising compared to the previous candle.
  • Short Entry – Triggered when:
    • -DI is greater than +DI (negative directional momentum),
    • ADX is below the configured level, and
    • ADX is falling versus the previous candle.
  • Reverse Mode – When ReverseSignals is enabled (default behaviour), open positions are closed if:
    • A long position sees +DI drop below -DI or ADX declines,
    • A short position sees +DI climb above -DI or ADX rises.
  • Position Sizing – Orders are issued with the strategy Volume. Reversal handling relies on ClosePosition() to exit the entire exposure before a new signal is considered.

Risk Management

  • Stop-Loss / Take-Profit – Converted from pip inputs into absolute price distances using the instrument PriceStep. StockSharp’s StartProtection helper places the protective orders with optional market execution.
  • Trailing Stop – The original pip-based trailing logic is replicated:
    • Trailing activates only after unrealised profit exceeds the trailing distance.
    • The stop level moves in pip-sized steps (TrailingStepPips).
    • A long position exits if price prints below the trailing stop; a short exits when price rallies above the trailing stop.
  • Pip Conversion – To mimic the MQL implementation, the pip size equals PriceStep, multiplied by 10 when the security uses 3- or 5-decimal pricing. This keeps behaviour consistent across forex symbols.

Parameters

Name Default Description
StopLossPips 50 Distance of the protective stop in pips. Set to zero to disable the stop-loss.
TakeProfitPips 50 Distance of the profit target in pips. Set to zero to disable the take-profit.
TrailingStopPips 5 Size of the trailing stop in pips. Set to zero to disable trailing.
TrailingStepPips 5 Minimal incremental gain (in pips) before the trailing stop is shifted. Must be positive when trailing is enabled.
AdxPeriod 14 Averaging period for the ADX indicator.
AdxLevel 30 ADX strength threshold that filters entries.
ReverseSignals true Enables closing existing positions when the DI relationship or ADX slope flips.
CandleType 1 hour Candle type used for analysis and trading.

Implementation Notes

  • BindEx is used to access the full AverageDirectionalIndexValue, ensuring we never rely on manual indicator value retrieval.
  • Trailing logic keeps track of the last stop level and moves it only when price progresses by at least TrailingStepPips in favour of the position, mirroring the MQL trailing-step behaviour.
  • All inline comments in the C# source are in English to satisfy repository guidelines.
  • The strategy is self-contained inside API/2908_Auto_ADX/CS/AutoAdxStrategy.cs; there is no Python counterpart per requirements.

Usage Tips

  1. Attach the strategy to a security with correct PriceStep metadata so pip conversion stays accurate.
  2. Adjust AdxLevel to match the volatility profile of the traded instrument—higher thresholds reduce signal frequency.
  3. When trailing is disabled (TrailingStopPips = 0), TrailingStepPips is ignored, reproducing the original expert advisor behaviour.
  4. Backtest across multiple markets to validate pip-based protection distances and confirm that ADX slope filtering matches expectations.
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>
/// Auto ADX strategy (simplified). Uses RSI for trend strength detection
/// combined with EMA for direction, mimicking ADX directional movement logic.
/// </summary>
public class AutoAdxStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<decimal> _rsiHigh;
	private readonly StrategyParam<decimal> _rsiLow;

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

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public decimal RsiHigh
	{
		get => _rsiHigh.Value;
		set => _rsiHigh.Value = value;
	}

	public decimal RsiLow
	{
		get => _rsiLow.Value;
		set => _rsiLow.Value = value;
	}

	public AutoAdxStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period for direction", "Indicators");

		_rsiHigh = Param(nameof(RsiHigh), 60m)
			.SetDisplay("RSI High", "RSI threshold for bullish strength", "Logic");

		_rsiLow = Param(nameof(RsiLow), 40m)
			.SetDisplay("RSI Low", "RSI threshold for bearish weakness", "Logic");
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, ema, (ICandleMessage candle, decimal rsiVal, decimal emaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var close = candle.ClosePrice;

				// Strong trend up: RSI above threshold and price above EMA
				if (rsiVal > RsiHigh && close > emaVal && Position <= 0)
					BuyMarket();
				// Weak trend / bearish: RSI below threshold and price below EMA
				else if (rsiVal < RsiLow && close < emaVal && Position >= 0)
					SellMarket();
			})
			.Start();

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

			var rsiArea = CreateChartArea();
			if (rsiArea != null)
				DrawIndicator(rsiArea, rsi);
		}
	}
}