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LSMA Angle Strategy

This strategy uses the angle of the Least Squares Moving Average (LSMA) to detect trend direction. The angle is approximated by the difference between two LSMA values separated by a configurable number of bars.

  • Long entry: LSMA angle rises above the positive threshold.
  • Long exit: Angle returns below the positive threshold.
  • Short entry: LSMA angle falls below the negative threshold.
  • Short exit: Angle returns above the negative threshold.

Parameters

  • LSMA Period: Length for LSMA calculation.
  • Angle Threshold: Absolute value defining the neutral zone around zero.
  • Start Shift: Older bar used to calculate the angle.
  • End Shift: Recent bar used to calculate the angle.
  • Candle Type: Candle data type for calculation.

Notes

  • Angle values are scaled to points depending on the security (1000 for JPY pairs, otherwise 100000).
  • Works on completed candles only.
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>
/// LSMA Angle based strategy.
/// Opens long when the LSMA slope rises above a threshold and short when it falls below.
/// </summary>
public class LsmaAngleStrategy : Strategy
{
	private readonly StrategyParam<int> _lsmaPeriod;
	private readonly StrategyParam<decimal> _slopeThreshold;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevLsma;
	private decimal _prevSlope;

	public int LsmaPeriod { get => _lsmaPeriod.Value; set => _lsmaPeriod.Value = value; }
	public decimal SlopeThreshold { get => _slopeThreshold.Value; set => _slopeThreshold.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public LsmaAngleStrategy()
	{
		_lsmaPeriod = Param(nameof(LsmaPeriod), 25)
			.SetGreaterThanZero()
			.SetDisplay("LSMA Period", "LSMA calculation length", "Indicator");

		_slopeThreshold = Param(nameof(SlopeThreshold), 0.05m)
			.SetDisplay("Slope Threshold", "Percentage slope threshold", "Indicator");

		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevLsma = null;
		_prevSlope = 0m;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var lsma = new LinearReg { Length = LsmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(lsma, (candle, lsmaValue) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (_prevLsma is null)
				{
					_prevLsma = lsmaValue;
					return;
				}

				// Calculate slope as percentage change
				var slope = _prevLsma.Value != 0 ? (lsmaValue - _prevLsma.Value) / _prevLsma.Value * 100m : 0m;

				var wasUp = _prevSlope > SlopeThreshold;
				var wasDown = _prevSlope < -SlopeThreshold;
				var isUp = slope > SlopeThreshold;
				var isDown = slope < -SlopeThreshold;

				if (!wasUp && isUp && Position <= 0)
				{
					if (Position < 0) BuyMarket();
					BuyMarket();
				}
				else if (!wasDown && isDown && Position >= 0)
				{
					if (Position > 0) SellMarket();
					SellMarket();
				}
				else if (wasUp && !isUp && Position > 0)
				{
					SellMarket();
				}
				else if (wasDown && !isDown && Position < 0)
				{
					BuyMarket();
				}

				_prevSlope = slope;
				_prevLsma = lsmaValue;
			})
			.Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			useMarketOrders: true);

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