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Ergodic Ticks Volume Indicator Strategy

This strategy applies the True Strength Index (TSI) to candle data and compares it with an exponential moving average signal line. A long position is opened when the TSI crosses above the signal line, while a short position is opened when it crosses below.

Parameters

  • Candle Type – timeframe of candles used for calculations.
  • Short Length – fast smoothing period of TSI.
  • Long Length – slow smoothing period of TSI.
  • Signal Length – period of the EMA used as the signal line.

Logic

  1. Subscribe to candles of the selected timeframe.
  2. Calculate the TSI for each finished candle.
  3. Process the TSI through an EMA to obtain a signal line.
  4. When the TSI crosses above the signal line, enter long (closing any short position).
  5. When the TSI crosses below the signal line, enter short (closing any long position).

The strategy is an adaptation of the MQL example "exp_ergodic_ticks_volume_indicator.mq5" and uses only built-in StockSharp indicators.

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 True Strength Index crossovers of the signal line.
/// </summary>
public class ErgodicTicksVolumeIndicatorStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _firstLength;
	private readonly StrategyParam<int> _secondLength;
	private readonly StrategyParam<int> _signalLength;

	private decimal _prevTsi;
	private decimal _prevSignal;
	private bool _prevReady;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FirstLength { get => _firstLength.Value; set => _firstLength.Value = value; }
	public int SecondLength { get => _secondLength.Value; set => _secondLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }

	public ErgodicTicksVolumeIndicatorStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_firstLength = Param(nameof(FirstLength), 25)
			.SetGreaterThanZero()
			.SetDisplay("First Length", "First smoothing length", "Indicator");

		_secondLength = Param(nameof(SecondLength), 13)
			.SetGreaterThanZero()
			.SetDisplay("Second Length", "Second smoothing length", "Indicator");

		_signalLength = Param(nameof(SignalLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Signal line length", "Indicator");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevTsi = default;
		_prevSignal = default;
		_prevReady = false;
	}

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

		var tsi = new TrueStrengthIndex
		{
			FirstLength = FirstLength,
			SecondLength = SecondLength,
			SignalLength = SignalLength
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(tsi, ProcessCandle)
			.Start();
	}

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

		var tsiVal = (ITrueStrengthIndexValue)value;

		if (tsiVal.Tsi is not decimal tsi || tsiVal.Signal is not decimal signal)
			return;

		if (!_prevReady)
		{
			_prevTsi = tsi;
			_prevSignal = signal;
			_prevReady = true;
			return;
		}

		// TSI crosses above signal - buy
		if (_prevTsi <= _prevSignal && tsi > signal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// TSI crosses below signal - sell
		else if (_prevTsi >= _prevSignal && tsi < signal && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevTsi = tsi;
		_prevSignal = signal;
	}
}