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ADX Trend

Strategy based on Average Directional Index (ADX) trend The ADX Trend strategy gauges market strength using the ADX indicator. When ADX is above a threshold and price is on the correct side of its moving average, the system trades in that direction. Positions close once ADX weakens or the opposite setup appears.

Testing indicates an average annual return of about 46%. It performs best in the stocks market.

By waiting for a solid ADX reading, the approach only trades when momentum is firmly established. Stops typically use an ATR multiple so risk adjusts with volatility.

Details

  • Entry Criteria: Signals based on MA, ADX, ATR.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal or stop.
  • Stops: Yes.
  • Default Values:
    • AdxPeriod = 14
    • MaPeriod = 50
    • AtrMultiplier = 2m
    • AdxExitThreshold = 20
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: MA, ADX, ATR
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Average Directional Index (ADX) trend.
/// It enters long position when ADX > 25 and price > MA, and short position when ADX > 25 and price < MA.
/// </summary>
public class AdxTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _adxExitThreshold;
	private readonly StrategyParam<DataType> _candleType;
	
	// Current trend state
	private bool _adxAboveThreshold;
	private decimal _prevAdxValue;
	private decimal _prevMaValue;

	/// <summary>
	/// ADX period.
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

	/// <summary>
	/// Moving Average period.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop loss.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// ADX threshold to exit position.
	/// </summary>
	public int AdxExitThreshold
	{
		get => _adxExitThreshold.Value;
		set => _adxExitThreshold.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize the ADX Trend strategy.
	/// </summary>
	public AdxTrendStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 50)
			.SetDisplay("ADX Period", "Period for calculating ADX indicator", "Indicators")

			.SetOptimize(10, 30, 2);

		_maPeriod = Param(nameof(MaPeriod), 200)
			.SetDisplay("MA Period", "Period for calculating Moving Average", "Indicators")

			.SetOptimize(20, 100, 10);

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetDisplay("ATR Multiplier", "Multiplier for stop-loss based on ATR", "Risk parameters")
			
			.SetOptimize(1, 3, 0.5m);

		_adxExitThreshold = Param(nameof(AdxExitThreshold), 20)
			.SetDisplay("ADX Exit Threshold", "ADX level below which to exit position", "Exit parameters")
			
			.SetOptimize(15, 25, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_adxAboveThreshold = default;
		_prevAdxValue = default;
		_prevMaValue = default;

	}

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

		// Create indicators
		var adx = new AverageDirectionalIndex { Length = AdxPeriod };
		var ma = new SMA { Length = MaPeriod };

		var currentAdxMa = 0m;
		var currentMaValue = 0m;

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(adx, (candle, adxVal) =>
			{
				if (adxVal is AverageDirectionalIndexValue adxTyped && adxTyped.MovingAverage is decimal adxMaVal)
					currentAdxMa = adxMaVal;
			})
			.Bind(ma, (candle, maVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				currentMaValue = maVal;

				ProcessCandle(candle, currentAdxMa, currentMaValue);
			})
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, adx);
			DrawIndicator(area, ma);
			DrawOwnTrades(area);
		}

	}

	private void ProcessCandle(ICandleMessage candle, decimal adxMa, decimal maValue)
	{
		if (adxMa == 0 || maValue == 0)
		{
			_prevMaValue = maValue;
			_prevAdxValue = adxMa;
			return;
		}

		var isPriceAboveMa = candle.ClosePrice > maValue;
		var wasPriceAboveMa = _prevMaValue != 0 && candle.OpenPrice > _prevMaValue;
		var isAdxStrong = adxMa > 25;

		// Only trade on MA crossover when ADX is strong
		if (_prevMaValue != 0 && isAdxStrong && wasPriceAboveMa != isPriceAboveMa)
		{
			if (isPriceAboveMa && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
			}
			else if (!isPriceAboveMa && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
			}
		}

		// Update previous values
		_prevAdxValue = adxMa;
		_prevMaValue = maValue;
		_adxAboveThreshold = isAdxStrong;
	}
}