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AMMA Trend Strategy

Overview

The strategy uses the Modified Moving Average (AMMA) indicator to capture short term trend changes. It analyzes the direction of the AMMA slope on recent candles and opens a position in the direction of the emerging trend while closing the opposite one.

How it works

  1. A ModifiedMovingAverage with a configurable period is calculated on the selected timeframe.
  2. On every finished candle, the strategy compares the last three AMMA values.
  3. If the indicator values form a rising sequence and the most recent value is greater than the previous one, a long position is opened. Any short position is closed.
  4. If the indicator values form a falling sequence and the most recent value is less than the previous one, a short position is opened. Any long position is closed.

Parameters

  • CandleType – timeframe of candles used for calculations.
  • MaPeriod – period of the modified moving average.
  • AllowLongEntry – enable opening long positions.
  • AllowShortEntry – enable opening short positions.
  • AllowLongExit – enable closing long positions.
  • AllowShortExit – enable closing short positions.

Notes

The strategy operates on completed candles only and relies on the built-in BuyMarket and SellMarket methods for order execution. Risk management functions can be added externally using the standard Strategy properties.

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>
/// AMMA Trend strategy using Modified Moving Average direction changes.
/// Buys when MMA turns up, sells when MMA turns down.
/// </summary>
public class AmmaTrendStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;

	private decimal? _mma0;
	private decimal? _mma1;
	private decimal? _mma2;
	private decimal? _mma3;

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

	public AmmaTrendStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use for analysis", "General");

		_maPeriod = Param(nameof(MaPeriod), 25)
			.SetGreaterThanZero()
			.SetDisplay("AMMA Period", "Period of the modified moving average", "Indicator");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_mma0 = _mma1 = _mma2 = _mma3 = null;
	}

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

		var mma = new SmoothedMovingAverage { Length = MaPeriod };

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

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

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

		_mma3 = _mma2;
		_mma2 = _mma1;
		_mma1 = _mma0;
		_mma0 = mmaValue;

		if (_mma1 is null || _mma2 is null || _mma3 is null)
			return;

		// Upward movement detected: MMA turned from falling to rising
		if (_mma2 < _mma3 && _mma1 > _mma2 && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		// Downward movement detected: MMA turned from rising to falling
		else if (_mma2 > _mma3 && _mma1 < _mma2 && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
	}
}