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Forex Line Strategy

The Forex Line strategy is a trend-following system derived from the MetaTrader indicator "ForexLine". It applies two stages of weighted moving averages to the price to build fast and slow lines. Crossovers between these double-smoothed lines are used to determine entry signals.

The strategy buys when the fast line crosses above the slow line and sells when the fast line crosses below the slow line. Each moving average uses a two-step smoothing process that helps filter market noise.

Details

  • Entry Criteria:
    • Long: Fast double-smoothed WMA crosses above the slow double-smoothed WMA.
    • Short: Fast double-smoothed WMA crosses below the slow double-smoothed WMA.
  • Long/Short: Both sides.
  • Exit Criteria:
    • Opposite crossover closes existing position.
  • Stops: Not included; can be added externally.
  • Default Values:
    • FastLength1 = 5
    • FastLength2 = 10
    • SlowLength1 = 20
    • SlowLength2 = 20
    • CandleType = 8 hour timeframe
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Weighted moving averages
    • Stops: No
    • Complexity: Moderate
    • Timeframe: Medium-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Forex Line strategy using fast/slow WMA crossover.
/// </summary>
public class ForexLineStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevFast;
	private decimal? _prevSlow;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ForexLineStrategy()
	{
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast WMA Length", "Fast line period", "Parameters");

		_slowLength = Param(nameof(SlowLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow WMA Length", "Slow line period", "Parameters");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = _prevSlow = null;
	}

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

		var fast = new WeightedMovingAverage { Length = FastLength };
		var slow = new WeightedMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		if (_prevFast is decimal pf && _prevSlow is decimal ps)
		{
			if (pf <= ps && fast > slow && Position <= 0)
				BuyMarket();
			else if (pf >= ps && fast < slow && Position >= 0)
				SellMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}