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ADX MA Crossover

Overview

This strategy reproduces the "ADX & MA" Expert Advisor by combining a smoothed moving average with an Average Directional Index (ADX) trend filter. The logic analyses the last two completed candles on the selected timeframe and reacts only after both the moving average and ADX have produced confirmed values. It is designed for hedging-style entries but is implemented on a netted position model, automatically reversing the position when opposite signals appear.

The moving average is calculated on the median price of each candle, matching the MetaTrader version that used an SMMA built on (High + Low) / 2. The ADX threshold prevents trades when the trend strength is weak, reducing false signals from short-lived crosses.

Entry logic

  • Wait until both the smoothed moving average and ADX have produced final values.
  • Evaluate the previous candle (n-1) close relative to the smoothed MA value taken at the same candle.
  • Go long when:
    • Close of candle n-1 is above the MA value of n-1.
    • Close of candle n-2 was below that MA value (bullish cross), and
    • ADX value of candle n-1 is greater than or equal to AdxThreshold.
  • Go short when the inverse conditions occur (bearish cross with ADX confirmation).
  • Position size uses the strategy Volume plus the absolute value of any opposite exposure to guarantee a reversal on opposite signals.

Exit logic

Long trades are closed when any of the following conditions triggers:

  • The latest confirmed close (n-1) drops back below the smoothed MA (opposite cross).
  • Price reaches the configured long take-profit distance in pips.
  • Price falls to the configured long stop-loss distance in pips.
  • Trailing stop for long trades locks in profits once price has moved TrailingStopBuy pips beyond the entry price.

Short trades mirror the same rules with their respective parameters and trailing logic. Each time an opposite signal appears the strategy sends a market order large enough to close the current position and open one in the new direction.

Risk and trade management

  • Distances for take profit, stop loss and trailing stop are expressed in pips. The strategy derives the pip size from Security.PriceStep; when the symbol uses 3 or 5 decimals the pip is defined as PriceStep × 10, matching the original MetaTrader adjustment.
  • InitializeLongTargets and InitializeShortTargets compute absolute price levels immediately after sending the market order, storing the entry price approximation based on the last confirmed close.
  • When trailing stops are enabled and price moves favourably beyond the configured distance, the stop level is shifted to preserve unrealised profit.
  • Both target sets are reset when the position is closed so stale levels are never reused.

Parameters

  • MaPeriod – length of the smoothed moving average (default 15).
  • AdxPeriod – ADX smoothing period (default 12).
  • AdxThreshold – minimum ADX value required to confirm a trend (default 16).
  • TakeProfitBuy / StopLossBuy / TrailingStopBuy – pip distances for long trades.
  • TakeProfitSell / StopLossSell / TrailingStopSell – pip distances for short trades.
  • CandleType – timeframe for input candles, default 1 minute.

Set the strategy Volume to control the base order size. The implementation retains the original behaviour where short trades receive their own risk settings instead of reusing the long parameters.

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;

using System.Globalization;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ADX filtered smoothed moving average crossover strategy.
/// Opens trades when the previous candle crosses the smoothed MA and ADX confirms the trend.
/// Adds configurable take profit, stop loss and trailing stop distances measured in pips.
/// </summary>
public class AdxMaCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<decimal> _takeProfitBuy;
	private readonly StrategyParam<decimal> _stopLossBuy;
	private readonly StrategyParam<decimal> _trailingStopBuy;
	private readonly StrategyParam<decimal> _takeProfitSell;
	private readonly StrategyParam<decimal> _stopLossSell;
	private readonly StrategyParam<decimal> _trailingStopSell;
	private readonly StrategyParam<DataType> _candleType;

	private SmoothedMovingAverage _ma = null!;
	private AverageDirectionalIndex _adx = null!;
	private decimal _pipSize;
	private decimal _prevClose;
	private decimal _prevPrevClose;
	private decimal _prevMa;
	private decimal _prevAdx;
	private bool _hasPrev;
	private bool _hasPrevPrev;

	private decimal _longEntryPrice;
	private decimal _longStopPrice;
	private decimal _longTakeProfitPrice;
	private decimal _shortEntryPrice;
	private decimal _shortStopPrice;
	private decimal _shortTakeProfitPrice;

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

	public decimal AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

	public decimal TakeProfitBuy
	{
		get => _takeProfitBuy.Value;
		set => _takeProfitBuy.Value = value;
	}

	public decimal StopLossBuy
	{
		get => _stopLossBuy.Value;
		set => _stopLossBuy.Value = value;
	}

	public decimal TrailingStopBuy
	{
		get => _trailingStopBuy.Value;
		set => _trailingStopBuy.Value = value;
	}

	public decimal TakeProfitSell
	{
		get => _takeProfitSell.Value;
		set => _takeProfitSell.Value = value;
	}

	public decimal StopLossSell
	{
		get => _stopLossSell.Value;
		set => _stopLossSell.Value = value;
	}

	public decimal TrailingStopSell
	{
		get => _trailingStopSell.Value;
		set => _trailingStopSell.Value = value;
	}

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

	public AdxMaCrossoverStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 15)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period of the smoothed moving average", "General")
			;
		_adxPeriod = Param(nameof(AdxPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Smoothing period for Average Directional Index", "Indicators")
			;
		_adxThreshold = Param(nameof(AdxThreshold), 25m)
			.SetDisplay("ADX Threshold", "Minimum ADX value required to trade", "Indicators")
			;
		_takeProfitBuy = Param(nameof(TakeProfitBuy), 83m)
			.SetDisplay("Buy Take Profit (pips)", "Take profit distance for long trades", "Risk Management")
			.SetNotNegative();
		_stopLossBuy = Param(nameof(StopLossBuy), 55m)
			.SetDisplay("Buy Stop Loss (pips)", "Stop loss distance for long trades", "Risk Management")
			.SetNotNegative();
		_trailingStopBuy = Param(nameof(TrailingStopBuy), 27m)
			.SetDisplay("Buy Trailing Stop (pips)", "Trailing stop distance for long trades", "Risk Management")
			.SetNotNegative();
		_takeProfitSell = Param(nameof(TakeProfitSell), 63m)
			.SetDisplay("Sell Take Profit (pips)", "Take profit distance for short trades", "Risk Management")
			.SetNotNegative();
		_stopLossSell = Param(nameof(StopLossSell), 50m)
			.SetDisplay("Sell Stop Loss (pips)", "Stop loss distance for short trades", "Risk Management")
			.SetNotNegative();
		_trailingStopSell = Param(nameof(TrailingStopSell), 27m)
			.SetDisplay("Sell Trailing Stop (pips)", "Trailing stop distance for short trades", "Risk Management")
			.SetNotNegative();
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for calculations", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_ma?.Reset();
		_adx?.Reset();

		_pipSize = 0m;
		_prevClose = 0m;
		_prevPrevClose = 0m;
		_prevMa = 0m;
		_prevAdx = 0m;
		_hasPrev = false;
		_hasPrevPrev = false;

		ResetLongTargets();
		ResetShortTargets();
	}

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

		_ma = new SmoothedMovingAverage { Length = MaPeriod };
		_adx = new AverageDirectionalIndex { Length = AdxPeriod };
		_pipSize = CalculatePipSize();

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

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

			var adxArea = CreateChartArea();
			if (adxArea != null)
			{
				DrawIndicator(adxArea, _adx);
			}
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue adxValue)
	{
		// Only react to closed candles to match the MQL implementation.
		if (candle.State != CandleStates.Finished)
			return;

		var median = (candle.HighPrice + candle.LowPrice) / 2m;
		var maValue = _ma.Process(new DecimalIndicatorValue(_ma, median, candle.OpenTime) { IsFinal = true });

		if (!maValue.IsFinal || !adxValue.IsFinal)
			return;

		var ma = maValue.GetValue<decimal>();
		var adx = ((AverageDirectionalIndexValue)adxValue).MovingAverage ?? 0m;
		var close = candle.ClosePrice;

		if (_hasPrev && _hasPrevPrev)
		{
			ManageOpenPositions(close);

			var longSignal = _prevClose > _prevMa && _prevPrevClose < _prevMa && _prevAdx >= AdxThreshold;
			var shortSignal = _prevClose < _prevMa && _prevPrevClose > _prevMa && _prevAdx >= AdxThreshold;

			if (longSignal && Position <= 0)
			{
				BuyMarket();
				InitializeLongTargets(_prevClose);
			}
			else if (shortSignal && Position >= 0)
			{
				SellMarket();
				InitializeShortTargets(_prevClose);
			}
		}

		UpdateHistory(close, ma, adx);
	}

	private void ManageOpenPositions(decimal currentClose)
	{
		// Manage long position exits before evaluating new entries.
		if (Position > 0)
		{
			if (_prevClose < _prevMa)
			{
				SellMarket();
				ResetLongTargets();
				return;
			}

			UpdateLongTrailing(currentClose);

			if (_longTakeProfitPrice > 0m && currentClose >= _longTakeProfitPrice)
			{
				SellMarket();
				ResetLongTargets();
				return;
			}

			if (_longStopPrice > 0m && currentClose <= _longStopPrice)
			{
				SellMarket();
				ResetLongTargets();
				return;
			}
		}
		else if (Position < 0)
		{
			if (_prevClose > _prevMa)
			{
				BuyMarket();
				ResetShortTargets();
				return;
			}

			UpdateShortTrailing(currentClose);

			if (_shortTakeProfitPrice > 0m && currentClose <= _shortTakeProfitPrice)
			{
				BuyMarket();
				ResetShortTargets();
				return;
			}

			if (_shortStopPrice > 0m && currentClose >= _shortStopPrice)
			{
				BuyMarket();
				ResetShortTargets();
				return;
			}
		}
		else
		{
			ResetLongTargets();
			ResetShortTargets();
		}
	}

	private void UpdateLongTrailing(decimal currentClose)
	{
		if (TrailingStopBuy <= 0m || _longEntryPrice <= 0m)
			return;

		var trailingDistance = TrailingStopBuy * _pipSize;
		if (trailingDistance <= 0m)
			return;

		var profit = currentClose - _longEntryPrice;
		if (profit <= trailingDistance)
			return;

		var newStop = currentClose - trailingDistance;
		if (newStop > _longStopPrice)
			_longStopPrice = newStop;
	}

	private void UpdateShortTrailing(decimal currentClose)
	{
		if (TrailingStopSell <= 0m || _shortEntryPrice <= 0m)
			return;

		var trailingDistance = TrailingStopSell * _pipSize;
		if (trailingDistance <= 0m)
			return;

		var profit = _shortEntryPrice - currentClose;
		if (profit <= trailingDistance)
			return;

		var newStop = currentClose + trailingDistance;
		if (_shortStopPrice == 0m || newStop < _shortStopPrice)
			_shortStopPrice = newStop;
	}

	private void InitializeLongTargets(decimal entryPrice)
	{
		_longEntryPrice = entryPrice;
		_longStopPrice = StopLossBuy > 0m ? entryPrice - StopLossBuy * _pipSize : 0m;
		_longTakeProfitPrice = TakeProfitBuy > 0m ? entryPrice + TakeProfitBuy * _pipSize : 0m;

		ResetShortTargets();
	}

	private void InitializeShortTargets(decimal entryPrice)
	{
		_shortEntryPrice = entryPrice;
		_shortStopPrice = StopLossSell > 0m ? entryPrice + StopLossSell * _pipSize : 0m;
		_shortTakeProfitPrice = TakeProfitSell > 0m ? entryPrice - TakeProfitSell * _pipSize : 0m;

		ResetLongTargets();
	}

	private void ResetLongTargets()
	{
		_longEntryPrice = 0m;
		_longStopPrice = 0m;
		_longTakeProfitPrice = 0m;
	}

	private void ResetShortTargets()
	{
		_shortEntryPrice = 0m;
		_shortStopPrice = 0m;
		_shortTakeProfitPrice = 0m;
	}

	private void UpdateHistory(decimal close, decimal ma, decimal adx)
	{
		if (_hasPrev)
		{
			_prevPrevClose = _prevClose;
			_hasPrevPrev = true;
		}
		else
		{
			_hasPrevPrev = false;
		}

		_prevClose = close;
		_prevMa = ma;
		_prevAdx = adx;
		_hasPrev = true;
	}

	private decimal CalculatePipSize()
	{
		var step = Security?.PriceStep ?? 1m;
		if (step <= 0m)
			step = 1m;

		var decimals = GetDecimalPlaces(step);
		if (decimals == 3 || decimals == 5)
			return step * 10m;

		return step;
	}

	private static int GetDecimalPlaces(decimal value)
	{
		var text = value.ToString(CultureInfo.InvariantCulture);
		var separatorIndex = text.IndexOf('.') >= 0 ? text.IndexOf('.') : text.IndexOf(',');
		if (separatorIndex < 0)
			return 0;

		return text.Length - separatorIndex - 1;
	}
}