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Robot ADX + 2 MA Strategy

Overview

The Robot ADX + 2 MA strategy is a StockSharp port of the MetaTrader expert Robot_ADX+2MA. The system combines a fast and a slow exponential moving average with the +DI/-DI components of the Average Directional Index (ADX). Orders are only opened when the previous candle shows a wide enough EMA separation and the current candle confirms momentum through the directional index. The conversion keeps the original behaviour of opening at most one market position at a time and delegating exits to stop-loss and take-profit protections.

Trading logic

  1. Subscribe to the primary candle series configured through CandleType and process finished candles only.
  2. Feed two exponential moving averages (periods 5 and 12) with the candle close prices. Their values from the previous candle emulate the shift = 1 lookback used in MetaTrader.
  3. Feed an AverageDirectionalIndex indicator (period 6) with the same candles. Store both the current and the previous +DI/-DI readings to replicate the EA filters.
  4. Compute the absolute EMA distance from the previous candle and compare it to DifferenceThreshold converted from points into price units (Point in MetaTrader equals Security.PriceStep in StockSharp).
  5. Bullish entry: allowed only if no position is open and the following conditions are met:
    • Previous fast EMA is below the previous slow EMA.
    • Previous +DI is below 5, current +DI is above 10, and +DI is stronger than -DI.
    • EMA distance is above the configured threshold.
  6. Bearish entry: symmetric to the long rules, requiring the previous fast EMA above the slow EMA, the -DI filters to be satisfied, and -DI to dominate +DI.
  7. When a trade is opened, rely on the risk module started by StartProtection to exit via take profit or stop loss. No manual exit rules are added, matching the original expert.

Parameters

Name Type Default Description
CandleType DataType 1-minute timeframe Primary candle series processed by the strategy.
TakeProfitPoints int 4700 Distance of the take-profit target expressed in price steps. Set to zero to disable.
StopLossPoints int 2400 Distance of the stop-loss target in price steps. Set to zero to disable.
TradeVolume decimal 0.1 Net volume used for every market order.
DifferenceThreshold int 10 Minimum EMA distance (in price steps) required before a signal is accepted.

Risk management

  • The StockSharp version calls StartProtection with UnitTypes.Step, so the configured stop-loss and take-profit distances are converted to the broker's price step automatically.
  • Protective orders are generated as market exits (useMarketOrders = true), replicating the immediate close behaviour of the MQL helper function.

Implementation details

  • Indicator bindings use the high-level SubscribeCandles(...).Bind(...).BindEx(...) API so no manual data loops are required.
  • EMA values from the previous candle are cached to reproduce the iMA(..., shift = 1) calls in the original EA.
  • ADX data is consumed through AverageDirectionalIndexValue, giving direct access to the +DI and -DI components without calling forbidden GetValue helpers.
  • A per-candle guard (_lastProcessedTime) ensures signals are evaluated only once even though both EMA and ADX bindings trigger callbacks for the same candle.

Differences from the MetaTrader expert

  • The redundant direct OrderSend call present in the sell branch of the MQL code is removed; both directions use a single BuyMarket/SellMarket helper.
  • MetaTrader checks free margin before sending orders. The StockSharp port delegates risk controls to the hosting environment and assumes sufficient balance.
  • Protective logic is implemented via StockSharp's risk manager instead of custom loops that repeatedly call OrderSend.

Usage tips

  • Adjust TradeVolume to respect the lot step of the selected security before starting live trading.
  • If the market uses a different price scale, tweak DifferenceThreshold together with the stop/target distances so that the EMA separation is comparable to the MetaTrader configuration.
  • The default timeframe is one minute, but the CandleType parameter allows switching to any other series supported by the data source.

Indicators

  • ExponentialMovingAverage(5) calculated on close prices.
  • ExponentialMovingAverage(12) calculated on close prices.
  • AverageDirectionalIndex(6) providing +DI/-DI and ADX strength filters.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// RobotADX2MA: Dual EMA crossover with RSI confirmation and ATR stops.
/// </summary>
public class RobotAdxTwoMaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;

	public RobotAdxTwoMaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");
		_fastEmaLength = Param(nameof(FastEmaLength), 5)
			.SetDisplay("Fast EMA Length", "Fast EMA period.", "Indicators");
		_slowEmaLength = Param(nameof(SlowEmaLength), 12)
			.SetDisplay("Slow EMA Length", "Slow EMA period.", "Indicators");
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period.", "Indicators");
		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");
	}

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastEmaLength { get => _fastEmaLength.Value; set => _fastEmaLength.Value = value; }
	public int SlowEmaLength { get => _slowEmaLength.Value; set => _slowEmaLength.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevFast = 0; _prevSlow = 0; _entryPrice = 0;
	}

		protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0;
		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var atr = new AverageTrueRange { Length = AtrLength };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fastEma, slowEma, rsi, atr, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fastEma); DrawIndicator(area, slowEma); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastVal, decimal slowVal, decimal rsiVal, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (_prevFast == 0 || _prevSlow == 0 || atrVal <= 0) { _prevFast = fastVal; _prevSlow = slowVal; return; }
		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if ((fastVal < slowVal && _prevFast >= _prevSlow) || close <= _entryPrice - atrVal * 2m) { SellMarket(); _entryPrice = 0; }
		}
		else if (Position < 0)
		{
			if ((fastVal > slowVal && _prevFast <= _prevSlow) || close >= _entryPrice + atrVal * 2m) { BuyMarket(); _entryPrice = 0; }
		}

		if (Position == 0)
		{
			if (fastVal > slowVal && _prevFast <= _prevSlow && rsiVal > 50) { _entryPrice = close; BuyMarket(); }
			else if (fastVal < slowVal && _prevFast >= _prevSlow && rsiVal < 50) { _entryPrice = close; SellMarket(); }
		}
		_prevFast = fastVal; _prevSlow = slowVal;
	}
}