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Polarized Fractal Efficiency Strategy

This strategy trades based on the Polarized Fractal Efficiency (PFE) indicator. PFE measures the efficiency of price movement and changes sign when momentum shifts.

Trading Logic

  1. Subscribe to candles of the selected timeframe and calculate PFE.
  2. If PFE on the previous bar is lower than two bars ago and the current value is higher than the previous one, a long position is opened.
  3. If PFE on the previous bar is higher than two bars ago and the current value is lower than the previous one, a short position is opened.
  4. Opposite positions are closed before opening new ones.
  5. Optional stop loss and take profit protection is enabled.

Parameters

Name Description
CandleType Candle series used for analysis.
PfePeriod Period for calculating the PFE indicator.
SignalBar Offset of the bar used to generate signals.
TakeProfit Take profit in price steps.
StopLoss Stop loss in price steps. 
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>
/// Polarized Fractal Efficiency strategy.
/// Computes PFE manually from close prices.
/// Buys on PFE turning up from negative, sells on PFE turning down from positive.
/// </summary>
public class PolarizedFractalEfficiencyStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _pfePeriod;

	private readonly List<decimal> _closes = new();
	private decimal _prevPfe;
	private decimal _prevPrevPfe;
	private int _formed;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int PfePeriod { get => _pfePeriod.Value; set => _pfePeriod.Value = value; }

	public PolarizedFractalEfficiencyStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_pfePeriod = Param(nameof(PfePeriod), 9)
			.SetDisplay("PFE Period", "Indicator calculation period", "Indicators")
			.SetGreaterThanZero();
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_closes.Clear();
		_prevPfe = 0;
		_prevPrevPfe = 0;
		_formed = 0;
	}

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

		_closes.Clear();
		_prevPfe = 0;
		_prevPrevPfe = 0;
		_formed = 0;

		var sma = new SimpleMovingAverage { Length = 1 };

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

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

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

		_closes.Add(candle.ClosePrice);

		var period = PfePeriod;
		if (_closes.Count < period + 1)
			return;

		// Keep only what we need
		while (_closes.Count > period + 2)
			_closes.RemoveAt(0);

		var n = _closes.Count;
		var closeNow = _closes[n - 1];
		var closePast = _closes[n - 1 - period];

		// Direct distance
		var diff = (double)(closeNow - closePast);
		var directDist = Math.Sqrt(diff * diff + (double)(period * period));

		// Sum of bar-to-bar distances
		var sumDist = 0.0;
		for (var i = n - period; i < n; i++)
		{
			var d = (double)(_closes[i] - _closes[i - 1]);
			sumDist += Math.Sqrt(d * d + 1.0);
		}

		if (sumDist == 0)
			return;

		var sign = closeNow >= closePast ? 1.0 : -1.0;
		var pfe = (decimal)(100.0 * sign * directDist / sumDist);

		_formed++;

		if (_formed < 3)
		{
			_prevPrevPfe = _prevPfe;
			_prevPfe = pfe;
			return;
		}

		if (!IsFormedAndOnline())
			return;

		// Trend reversal: PFE was falling and now rising => buy
		if (_prevPfe < _prevPrevPfe && pfe > _prevPfe && Position <= 0)
			BuyMarket();
		// PFE was rising and now falling => sell
		else if (_prevPfe > _prevPrevPfe && pfe < _prevPfe && Position >= 0)
			SellMarket();

		_prevPrevPfe = _prevPfe;
		_prevPfe = pfe;
	}
}