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ADX 出来高乗数戦略

ADX 出来高乗数戦略は、Average Directional Index によるトレンド強度と出来高急増フィルターを組み合わせます。ADX がしきい値を超え、優勢な方向線がトレンド方向を示し、現在の出来高がユーザー定義の係数で乗算した移動平均を上回る場合にのみ取引に参入します。

詳細

  • エントリー条件:
    • ADX がしきい値を超え DI+ > DI- で出来高が SMA(出来高) * 乗数より大きい → ロング。
    • ADX がしきい値を超え DI- > DI+ で出来高が SMA(出来高) * 乗数より大きい → ショート。
  • ロング/ショート: 両方。
  • エグジット条件:
    • 逆シグナルがポジションの反転をトリガーします。
  • ストップ: なし。
  • デフォルト値:
    • AdxPeriod = 21
    • AdxThreshold = 26
    • VolumeMultiplier = 1.8
    • VolumePeriod = 20
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 方向: 両方
    • インジケーター: ADX, Volume SMA
    • ストップ: いいえ
    • 複雑さ: 低
    • 時間軸: 任意
    • 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>
/// Strategy based on ADX with volume multiplier filter.
/// </summary>
public class AdxVolumeMultiplierStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<decimal> _volumeMultiplier;
	private readonly StrategyParam<int> _volumePeriod;
	private readonly StrategyParam<int> _cooldownBars;

	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int AdxPeriod { get => _adxPeriod.Value; set => _adxPeriod.Value = value; }
	public decimal AdxThreshold { get => _adxThreshold.Value; set => _adxThreshold.Value = value; }
	public decimal VolumeMultiplier { get => _volumeMultiplier.Value; set => _volumeMultiplier.Value = value; }
	public int VolumePeriod { get => _volumePeriod.Value; set => _volumePeriod.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public AdxVolumeMultiplierStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period for ADX", "ADX");

		_adxThreshold = Param(nameof(AdxThreshold), 20m)
			.SetDisplay("ADX Threshold", "Trend strength threshold", "ADX");

		_volumeMultiplier = Param(nameof(VolumeMultiplier), 0.8m)
			.SetDisplay("Volume Multiplier", "Multiplier for average volume", "Volume");

		_volumePeriod = Param(nameof(VolumePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume Period", "Period for volume SMA", "Volume");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

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

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

		var adx = new AverageDirectionalIndex { Length = AdxPeriod };
		var ema = new ExponentialMovingAverage { Length = VolumePeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var adxTyped = (IAverageDirectionalIndexValue)adxValue;
		if (adxTyped.MovingAverage is not decimal adx ||
			adxTyped.Dx.Plus is not decimal diPlus ||
			adxTyped.Dx.Minus is not decimal diMinus)
			return;

		var ema = emaValue.ToDecimal();

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		// Use EMA as trend confirmation instead of volume multiplier
		var aboveEma = candle.ClosePrice > ema;
		var belowEma = candle.ClosePrice < ema;

		var longCondition = adx > AdxThreshold && diPlus > diMinus && aboveEma;
		var shortCondition = adx > AdxThreshold && diMinus > diPlus && belowEma;

		if (longCondition && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (shortCondition && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
	}
}