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3103 — ADX EA (C#)

Overview

The original MetaTrader "ADX EA" combines Average Directional Index breakouts with +DI/−DI crossovers, higher timeframe momentum confirmation, and a monthly MACD filter. The C# port replicates that multi-filter workflow on top of the StockSharp high-level API. The strategy subscribes to three candle streams:

  1. Primary timeframe (default 5 minutes) — drives ADX, linear weighted moving averages, price structure checks, and volume filters.
  2. Momentum timeframe (default 15 minutes) — produces the momentum deviations around the 100 baseline that gate entries.
  3. MACD timeframe (default 30 days) — mirrors the monthly MACD that controls position exits.

Trading logic

  • Breakout module – When enabled, long trades require:

    • ADX or +DI above EntryLevel and the gap between +DI and −DI greater than MinDirectionalDifference.
    • The fast LWMA above the slow LWMA, bullish candle structure (Low[2] < High[1]), and growing momentum (Momentum[1] > Momentum[2]).
    • At least one of the last three momentum readings on the higher timeframe to deviate from 100 by more than MomentumBuyThreshold.
    • Rising volume on the primary timeframe (Volume[1] > Volume[2] or Volume[1] > Volume[3]).
    • MACD on the monthly timeframe bullish (MacdMain[1] > MacdSignal[1]).
    • ADX above ExitLevel to confirm overall trend strength.

    Short breakouts apply the symmetrical logic with −DI dominance, bearish structure (Low[1] < High[2]), momentum below 100 by MomentumSellThreshold, and a bearish MACD comparison.

  • Crossover module – When active, looks for +DI crossing above −DI (longs) or −DI crossing above +DI (shorts). Optional filters mirror the original EA:

    • RequireAdxSlope demands ADX to be higher than the previous reading.
    • ConfirmCrossOnBreakout adds the same breakout threshold checks on the crossing bar.
    • MinAdxMainLine enforces a minimum ADX strength during the cross.
    • LWMA alignment, momentum slope, volume expansion, and MACD polarity must still agree with the intended direction.

  • Pyramiding – Every new order adds volume according to LotExponent. The strategy treats TradeVolume as the base lot size and increases it by LotExponent^n, where n is the number of already opened steps. MaxTrades limits the amount of net volume that can be accumulated.

Risk management

  • Protective orders – TakeProfitSteps and StopLossSteps are fed to StartProtection and expressed in security price steps.
  • Trailing stop – TrailingStopSteps maintains a manual trailing barrier beyond the best close price.
  • Break-even – When UseBreakEven is enabled, the stop is tightened after price advances by BreakEvenTrigger steps and can offset the stop by BreakEvenOffset steps.
  • MACD exit – When EnableMacdExit is true, the monthly MACD relationship closes longs when MACD falls below its signal (and vice versa for shorts), matching the Close_BUY/Close_SELL routines from the EA.
  • Equity stop – UseEquityStop tracks the floating profit curve and liquidates positions once the drawdown reaches TotalEquityRisk percent.

Features that relied on account currency targets ("Take Profit in Money", "Trailing Profit in Money", etc.) are not ported because StockSharp strategies typically manage protective logic through stop distances and the built-in protection service. All other decision points from the EA are preserved with indicator equivalents.

Parameters

Parameter Default Description
TradeVolume 0.01 Base lot size for the first entry.
CandleType 5m timeframe Primary candle series for ADX/LWMA logic.
MomentumCandleType 15m timeframe Higher timeframe for the momentum deviation filter.
MacdCandleType 30-day timeframe Timeframe that feeds the MACD exit filter.
FastMaPeriod 6 Fast linear weighted moving average length.
SlowMaPeriod 85 Slow linear weighted moving average length.
AdxPeriod 14 Average Directional Index period.
MomentumPeriod 14 Momentum indicator period on the higher timeframe.
MacdFastPeriod 12 Fast EMA period inside the MACD exit filter.
MacdSlowPeriod 26 Slow EMA period inside the MACD exit filter.
MacdSignalPeriod 9 Signal SMA period inside the MACD exit filter.
EnableBreakoutStrategy true Toggle for the ADX breakout branch.
EnableCrossStrategy true Toggle for the DI crossover branch.
UseTrendFilter true Enforces +DI dominance for longs and −DI dominance for shorts during breakouts.
RequireAdxSlope true Requires ADX to rise when evaluating DI crosses.
ConfirmCrossOnBreakout true Adds breakout thresholds to the crossover module.
EnableMacdExit true Enables the MACD-based exit routine.
EntryLevel 10 Minimum ADX/+DI/−DI level used by breakouts.
ExitLevel 10 Minimum ADX strength that allows new entries.
MinDirectionalDifference 10 Required gap between +DI and −DI.
MinAdxMainLine 10 Minimum ADX level during DI crosses.
MomentumBuyThreshold 0.3 Required deviation from 100 for bullish momentum confirmation.
MomentumSellThreshold 0.3 Required deviation from 100 for bearish momentum confirmation.
MaxTrades 10 Maximum number of pyramid steps.
LotExponent 1.44 Volume multiplier for each additional step.
TakeProfitSteps 50 Distance, in price steps, for the take-profit order.
StopLossSteps 20 Distance, in price steps, for the stop-loss order.
TrailingStopSteps 40 Manual trailing stop distance in price steps.
UseBreakEven true Activates the break-even relocation logic.
BreakEvenTrigger 30 Steps of favourable movement required before arming break-even.
BreakEvenOffset 30 Additional steps added to the entry price when moving the stop.
UseEquityStop true Enables the drawdown-based emergency exit.
TotalEquityRisk 1 Allowed percentage drawdown before flattening all positions.

Usage tips

  • Align the MomentumCandleType and MacdCandleType with your primary timeframe to mimic the original timeframe mapping (e.g., 5-minute chart → 15-minute momentum, → monthly MACD).
  • Tune EntryLevel, MinDirectionalDifference, and MinAdxMainLine together; lowering all three loosens the breakout filter considerably.
  • LotExponent greater than 1.0 recreates the martingale-style scaling from the EA. Set it to 1.0 to keep position sizes constant.
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>
/// ADX EA strategy using EMA crossover with ADX trend strength filter.
/// Buys when fast EMA crosses above slow EMA with strong trend.
/// Sells on reverse crossover.
/// </summary>
public class AdxEaStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in price steps.
	/// </summary>
	public int StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take-profit distance in price steps.
	/// </summary>
	public int TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public AdxEaStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Indicator");

		_slowPeriod = Param(nameof(SlowPeriod), 200)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Indicator");

		_stopLossPoints = Param(nameof(StopLossPoints), 200)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Stop-loss distance in price steps", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take-profit distance in price steps", "Risk");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

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

		_fast = null;
		_slow = null;
		_prevFast = 0;
		_prevSlow = 0;
		_entryPrice = 0;
		_cooldown = 0;
	}

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

		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

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

		if (!_fast.IsFormed || !_slow.IsFormed)
		{
			_prevFast = fastValue;
			_prevSlow = slowValue;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevFast = fastValue;
			_prevSlow = slowValue;
			return;
		}

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		// Check SL/TP
		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step)
			{
				SellMarket();
				_entryPrice = 0;
				_cooldown = 60;
				_prevFast = fastValue;
				_prevSlow = slowValue;
				return;
			}

			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step)
			{
				SellMarket();
				_entryPrice = 0;
				_cooldown = 60;
				_prevFast = fastValue;
				_prevSlow = slowValue;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step)
			{
				BuyMarket();
				_entryPrice = 0;
				_cooldown = 60;
				_prevFast = fastValue;
				_prevSlow = slowValue;
				return;
			}

			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step)
			{
				BuyMarket();
				_entryPrice = 0;
				_cooldown = 60;
				_prevFast = fastValue;
				_prevSlow = slowValue;
				return;
			}
		}

		// EMA crossover
		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();

			BuyMarket();
			_entryPrice = close;
			_cooldown = 60;
		}
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{
			if (Position > 0)
				SellMarket();

			SellMarket();
			_entryPrice = close;
			_cooldown = 60;
		}

		_prevFast = fastValue;
		_prevSlow = slowValue;
	}
}