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Adx Stochastic 戦略

トレンドの強さにADX（平均方向性指数）、売られすぎ/買われすぎ状態のエントリータイミングにストキャスティクスオシレーターを組み合わせた戦略。

テストでは年平均リターン約172%を示しています。外国為替市場で最もパフォーマンスが高いです。

ADXはトレンドの強さを強調し、Stochasticはプルバックを特定します。ADXが高い水準を維持している間にモメンタムが転換するとロングまたはショートのシグナルが現れます。

トレンドフォローとオシレータータイミングを組み合わせるトレーダーに適しています。保護的なパーセントストップがドローダウンを抑制するのに役立ちます。

詳細

  • エントリー条件:
    • ロング: ADX > AdxThreshold && StochK < StochOversold && Bullish
    • ショート: ADX > AdxThreshold && StochK > StochOverbought && Bearish
  • ロング/ショート: 両方
  • エグジット条件:
    • ADX < AdxThreshold のときに退出
  • ストップ: StopLossPercent でのパーセントベース
  • デフォルト値:
    • AdxPeriod = 14
    • AdxThreshold = 25m
    • StochPeriod = 14
    • StochK = 3
    • StochOversold = 20m
    • StochOverbought = 80m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() 強気は+DIが-DIを上回る状態、弱気は-DIが+DIを上回る状態です。ルール中のStochKは%Kで、StochPeriod本のストキャスティクスをStochK本で平滑化した値です。%Dはルールに関与しないため設定はありません。保有ポジションと逆方向のエントリーはドテンになります。
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: ADX, Stochastic Oscillator
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 中期
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
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>
/// ADX Stochastic strategy.
/// Bullish means +DI above -DI and bearish means -DI above +DI. While ADX is above AdxThreshold, %K below StochOversold in a bullish
/// trend goes long and %K above StochOverbought in a bearish trend goes short, reversing an opposite position; %K is the stochastic over
/// StochPeriod candles smoothed over StochK candles. The position closes once ADX falls below AdxThreshold, and a percent stop limits the loss.
/// </summary>
public class AdxStochasticStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<int> _stochK;
	private readonly StrategyParam<decimal> _stochOversold;
	private readonly StrategyParam<decimal> _stochOverbought;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

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

	/// <summary>
	/// ADX level of a strong trend.
	/// </summary>
	public decimal AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

	/// <summary>
	/// Lookback period of the raw stochastic.
	/// </summary>
	public int StochPeriod
	{
		get => _stochPeriod.Value;
		set => _stochPeriod.Value = value;
	}

	/// <summary>
	/// Smoothing period of %K.
	/// </summary>
	public int StochK
	{
		get => _stochK.Value;
		set => _stochK.Value = value;
	}

	/// <summary>
	/// %K level for longs.
	/// </summary>
	public decimal StochOversold
	{
		get => _stochOversold.Value;
		set => _stochOversold.Value = value;
	}

	/// <summary>
	/// %K level for shorts.
	/// </summary>
	public decimal StochOverbought
	{
		get => _stochOverbought.Value;
		set => _stochOverbought.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AdxStochasticStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period of ADX", "ADX");

		_adxThreshold = Param(nameof(AdxThreshold), 25m)
			.SetDisplay("ADX Threshold", "ADX level of a strong trend", "ADX");

		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Period", "Lookback period of the raw stochastic", "Stochastic");

		_stochK = Param(nameof(StochK), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic %K", "Smoothing period of %K", "Stochastic");

		_stochOversold = Param(nameof(StochOversold), 20m)
			.SetDisplay("Stochastic Oversold", "%K level for longs", "Stochastic");

		_stochOverbought = Param(nameof(StochOverbought), 80m)
			.SetDisplay("Stochastic Overbought", "%K level for shorts", "Stochastic");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var adx = new AverageDirectionalIndex { Length = AdxPeriod };
		// The D line of the core oscillator is the smoothed %K.
		var stochastic = new StochasticOscillator
		{
			K = { Length = StochPeriod },
			D = { Length = StochK },
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(adx, stochastic, ProcessCandle)
			.Start();

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, adx);
				DrawIndicator(oscillators, stochastic);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue adxValue, IIndicatorValue stochasticValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!adxValue.IsFormed || !stochasticValue.IsFormed)
			return;

		if (adxValue is not AverageDirectionalIndexValue { MovingAverage: decimal strength } typedAdx
			|| typedAdx.Dx.Plus is not decimal plusDi || typedAdx.Dx.Minus is not decimal minusDi)
			return;

		if (stochasticValue is not IStochasticOscillatorValue { D: decimal k })
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var strong = strength > AdxThreshold;

		if (strong && k < StochOversold && plusDi > minusDi && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (strong && k > StochOverbought && minusDi > plusDi && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && strength < AdxThreshold)
			SellMarket(Position);
		else if (Position < 0 && strength < AdxThreshold)
			BuyMarket(-Position);
	}
}