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Color Zerolag TriX OSMA Strategy

Overview

This strategy uses a zero-lag TRIX OSMA oscillator built from five different TRIX periods. Each TRIX component is weighted and smoothed to form a single oscillator that reacts to trend changes with minimal lag. A long position is opened when the oscillator turns upward while a short position is opened when it turns downward.

How It Works

  1. Calculate five TRIX values using triple exponential moving averages and rate of change.
  2. Combine the TRIX values with their weights to form a fast trend value.
  3. Smooth the fast trend twice to create a zero-lag OSMA oscillator.
  4. Detect trend reversals by comparing the last two oscillator values.
  5. Enter long on upward turn and short on downward turn; existing opposite positions are closed before opening a new one.

Parameters

  • Smoothing1 – smoothing factor for the slow trend.
  • Smoothing2 – smoothing factor for the OSMA line.
  • Factor1..Factor5 – weights applied to each TRIX component.
  • Period1..Period5 – periods for the five TRIX calculations.
  • CandleType – candle series used for calculations.

Indicators

  • TripleExponentialMovingAverage
  • RateOfChange
  • Custom zero-lag TRIX OSMA combination

Notes

The strategy requires all five TRIX indicators to be formed before generating signals. Protection for stops and targets is enabled via StartProtection.

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>
/// Strategy based on a zero-lag TRIX OSMA oscillator.
/// Uses TRIX direction changes for trend reversal signals.
/// </summary>
public class ColorZerolagTrixOsmaStrategy : Strategy
{
	private readonly StrategyParam<int> _trixPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevOsma;
	private decimal _prevPrevOsma;
	private int _count;

	public int TrixPeriod { get => _trixPeriod.Value; set => _trixPeriod.Value = value; }
	public int SignalPeriod { get => _signalPeriod.Value; set => _signalPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorZerolagTrixOsmaStrategy()
	{
		_trixPeriod = Param(nameof(TrixPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("TRIX Period", "TRIX calculation period", "Indicator");

		_signalPeriod = Param(nameof(SignalPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal Period", "Signal line EMA period", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevOsma = 0;
		_prevPrevOsma = 0;
		_count = 0;
	}

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

		var trix = new Trix { Length = TrixPeriod };
		var signal = new ExponentialMovingAverage { Length = SignalPeriod };

		SubscribeCandles(CandleType)
			.Bind(trix, signal, ProcessCandle)
			.Start();
	}

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

		var osma = trixValue - signalValue;
		_count++;

		if (_count < 3)
		{
			_prevPrevOsma = _prevOsma;
			_prevOsma = osma;
			return;
		}

		// Buy when OSMA turns up
		var turnUp = _prevOsma < _prevPrevOsma && osma > _prevOsma;
		// Sell when OSMA turns down
		var turnDown = _prevOsma > _prevPrevOsma && osma < _prevOsma;

		if (turnUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (turnDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevPrevOsma = _prevOsma;
		_prevOsma = osma;
	}
}