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ADX 平均回帰戦略

ここではAverage Directional Index（ADX）が全体的なトレンドの強さを測定します。ADXが低いとき、市場は方向性を欠き、価格は平均値を中心に振動する傾向があります。この戦略は、ADXがその移動平均から乖離するのを取引することでその動きを利用します。

テストでは年平均リターンは約70%を示しています。株式市場で最もよいパフォーマンスを発揮します。

ADXが平均をDeviationMultiplier倍の標準偏差下回り、価格が移動平均を下回っているときにロングトレードに入ります。ADXが上限バンドを急上昇し価格が平均を上回っているときにショートトレードが建てられます。ADXが平均に向かって戻ったときにポジションを決済します。

このシステムは、低トレンド環境での機会を探すトレーダーに訴求します。新たなトレンドが発生した場合、ストップロスにより小さな平均回帰トレードが大きな損失に成長するのを防ぎます。

詳細

  • エントリー条件:
    • ロング: ADX < Avg - DeviationMultiplier * StdDev && Close < MA
    • ショート: ADX > Avg + DeviationMultiplier * StdDev && Close > MA
  • ロング/ショート: 両方。
  • エグジット条件:
    • ロング: ADX > Avg のときに決済
    • ショート: ADX < Avg のときに決済
  • ストップ: あり、パーセンテージストップロス。
  • デフォルト値:
    • AdxPeriod = 14
    • AveragePeriod = 20
    • DeviationMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 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
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: イントラデイ
    • 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
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// ADX Mean Reversion strategy.
/// This strategy enters positions when ADX is significantly below or above its average value.
/// </summary>
public class AdxMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _averagePeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevAdx;
	private decimal _avgAdx;
	private decimal _stdDevAdx;
	private decimal _sumAdx;
	private decimal _sumSquaresAdx;
	private int _count;
	private readonly Queue<decimal> _adxValues = [];

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

	/// <summary>
	/// Period for calculating mean and standard deviation of ADX.
	/// </summary>
	public int AveragePeriod
	{
		get => _averagePeriod.Value;
		set => _averagePeriod.Value = value;
	}

	/// <summary>
	/// Deviation multiplier for entry signals.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AdxMeanReversionStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			
			.SetOptimize(10, 20, 5)
			.SetDisplay("ADX Period", "Period for ADX indicator", "Indicators");

		_averagePeriod = Param(nameof(AveragePeriod), 20)
			.SetGreaterThanZero()
			
			.SetOptimize(10, 50, 10)
			.SetDisplay("Average Period", "Period for calculating ADX average and standard deviation", "Settings");

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2m)
			.SetGreaterThanZero()
			
			.SetOptimize(1.5m, 3m, 0.5m)
			.SetDisplay("Deviation Multiplier", "Multiplier for standard deviation", "Settings");

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

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			
			.SetOptimize(1m, 3m, 0.5m)
			.SetDisplay("Stop Loss %", "Stop loss as percentage of entry price", "Risk Management");
	}

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

		_prevAdx = 0;
		_avgAdx = 0;
		_stdDevAdx = 0;
		_sumAdx = 0;
		_sumSquaresAdx = 0;
		_count = 0;
		_adxValues.Clear();
	}


	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		// Create ADX indicator
		var adx = new AverageDirectionalIndex { Length = AdxPeriod };

		// Create subscription and bind indicator
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(adx, ProcessCandle)
			.Start();

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

		// Enable position protection
		StartProtection(
			takeProfit: new Unit(0m), // We'll manage exits ourselves based on ADX
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
		);

		base.OnStarted2(time);
	}

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

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var adxTyped = (AverageDirectionalIndexValue)adxValue;
		
		if (adxTyped.MovingAverage is not decimal currentAdx)
			return;

		var dx = adxTyped.Dx;

		if (dx.Plus is not decimal plusDi || dx.Minus is not decimal minusDi)
			return;

		// Update ADX statistics
		UpdateAdxStatistics(currentAdx);

		// Save current ADX for next iteration
		_prevAdx = currentAdx;

		// If we don't have enough data yet for statistics
		if (_count < AveragePeriod)
			return;

		// Check for entry conditions
		if (Position == 0)
		{
			// Positive trend strength should correspond to price direction for entry
			var direction = plusDi > minusDi ? Sides.Buy : Sides.Sell;

			// ADX is significantly below its average - mean reversion expects it to rise
			// This could indicate a period of low trend strength that might change
			if (currentAdx < _avgAdx - DeviationMultiplier * _stdDevAdx)
			{
				if (direction == Sides.Buy)
				{
					BuyMarket(Volume);
					LogInfo($"Long entry: ADX = {currentAdx}, Avg = {_avgAdx}, StdDev = {_stdDevAdx}, +DI > -DI");
				}
				else
				{
					SellMarket(Volume);
					LogInfo($"Short entry: ADX = {currentAdx}, Avg = {_avgAdx}, StdDev = {_stdDevAdx}, +DI < -DI");
				}
			}
			// ADX is significantly above its average - mean reversion expects it to fall
			// This could indicate a period of high trend strength that might weaken
			else if (currentAdx > _avgAdx + DeviationMultiplier * _stdDevAdx)
			{
				// For high ADX values, we're more cautious and might want to go against the direction
				// as extremely high ADX may indicate trend exhaustion
				if (direction == Sides.Sell)
				{
					BuyMarket(Volume);
					LogInfo($"Long entry (trend strength exhaustion): ADX = {currentAdx}, Avg = {_avgAdx}, StdDev = {_stdDevAdx}");
				}
				else
				{
					SellMarket(Volume);
					LogInfo($"Short entry (trend strength exhaustion): ADX = {currentAdx}, Avg = {_avgAdx}, StdDev = {_stdDevAdx}");
				}
			}
		}
		// Check for exit conditions
		else if (Position > 0) // Long position
		{
			if (currentAdx > _avgAdx)
			{
				ClosePosition();
				LogInfo($"Long exit: ADX = {currentAdx}, Avg = {_avgAdx}");
			}
		}
		else if (Position < 0) // Short position
		{
			if (currentAdx < _avgAdx)
			{
				ClosePosition();
				LogInfo($"Short exit: ADX = {currentAdx}, Avg = {_avgAdx}");
			}
		}
	}

	private void UpdateAdxStatistics(decimal currentAdx)
	{
		// Add current value to the queue
		_adxValues.Enqueue(currentAdx);
		_sumAdx += currentAdx;
		_sumSquaresAdx += currentAdx * currentAdx;
		_count++;

		// If queue is larger than period, remove oldest value
		if (_adxValues.Count > AveragePeriod)
		{
			var oldestAdx = _adxValues.Dequeue();
			_sumAdx -= oldestAdx;
			_sumSquaresAdx -= oldestAdx * oldestAdx;
			_count--;
		}

		// Calculate average and standard deviation
		if (_count > 0)
		{
			_avgAdx = _sumAdx / _count;
			
			if (_count > 1)
			{
				var variance = (_sumSquaresAdx - (_sumAdx * _sumAdx) / _count) / (_count - 1);
				_stdDevAdx = variance <= 0 ? 0 : (decimal)Math.Sqrt((double)variance);
			}
			else
			{
				_stdDevAdx = 0;
			}
		}
	}
}