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BTC Difficulty Adjustments Strategy

The BTC Difficulty Adjustments strategy trades based on changes in Bitcoin mining difficulty. When threshold mode is enabled, trades are opened only if the percentage change exceeds the specified threshold. A long position is opened on positive difficulty adjustments, while a short position is opened on negative adjustments.

Details

  • Entry Criteria:
    • Threshold mode: abs(change) >= Threshold and change < 0 → enter long.
    • Threshold mode: abs(change) >= Threshold and change > 0 → enter short.
    • Without threshold mode: difficulty > previous difficulty → enter long.
    • Without threshold mode: difficulty < previous difficulty → enter short.
  • Long/Short: Both directions.
  • Exit Criteria:
    • Opposite signal closes and reverses positions.
  • Stops: None.
  • Default Values:
    • CandleType = 1 day
    • ThresholdMode = false
    • Threshold = 10
  • Filters:
    • Category: Fundamental
    • Direction: Long & Short
    • Indicators: None
    • Stops: No
    • Complexity: Low
    • Timeframe: Daily
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// BTC Difficulty Adjustments Strategy - uses rate of change indicator
/// to detect momentum shifts and trade accordingly.
/// </summary>
public class BtcDifficultyAdjustmentsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rocPeriod;
	private readonly StrategyParam<int> _smaPeriod;

	private decimal _prevRoc;
	private decimal _prevSma;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RocPeriod { get => _rocPeriod.Value; set => _rocPeriod.Value = value; }
	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }

	public BtcDifficultyAdjustmentsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_rocPeriod = Param(nameof(RocPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("ROC Period", "Rate of change period", "Indicators");

		_smaPeriod = Param(nameof(SmaPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Trend filter SMA period", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRoc = 0m;
		_prevSma = 0m;
	}

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

		var roc = new RateOfChange { Length = RocPeriod };
		var sma = new SimpleMovingAverage { Length = SmaPeriod };

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

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

		var rocArea = CreateChartArea();
		if (rocArea != null)
		{
			DrawIndicator(rocArea, roc);
		}
	}

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

		if (_prevRoc == 0m || _prevSma == 0m)
		{
			_prevRoc = rocValue;
			_prevSma = smaValue;
			return;
		}

		// Buy when ROC crosses above zero and price above SMA
		if (_prevRoc <= 0m && rocValue > 0m && candle.ClosePrice > smaValue && Position <= 0)
		{
			BuyMarket();
		}
		// Sell when ROC crosses below zero and price below SMA
		else if (_prevRoc >= 0m && rocValue < 0m && candle.ClosePrice < smaValue && Position >= 0)
		{
			SellMarket();
		}

		_prevRoc = rocValue;
		_prevSma = smaValue;
	}
}