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Elder Impulse System Strategy

This strategy replicates the Elder Impulse System that combines the direction of an Exponential Moving Average (EMA) with the momentum of the MACD histogram. It opens trades when the bullish or bearish impulse fades on higher timeframe candles.

The approach observes color-coded impulses derived from EMA slope and MACD histogram dynamics:

  • Green (2) — EMA rising and MACD histogram rising and positive.
  • Red (1) — EMA falling and MACD histogram falling and negative.
  • Blue (0) — any other state.

A long position is opened when a prior bullish impulse (green) weakens, while shorts appear after a bearish impulse (red) weakens. Opposite positions are closed when the corresponding impulse is detected.

Details

  • Entry Criteria: Elder Impulse color change on finished candles.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite impulse or position protection.
  • Stops: Uses StartProtection with 2% stop and take profit by default.
  • Default Values:
    • EmaPeriod = 13
    • MacdFastPeriod = 12
    • MacdSlowPeriod = 26
    • MacdSignalPeriod = 9
    • CandleType = TimeSpan.FromHours(4)
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: EMA, MACD
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: 4H
    • 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>
/// Strategy implementing Elder Impulse System logic.
/// </summary>
public class ElderImpulseSystemStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;
	
	private decimal? _previousEma;
	private decimal? _previousMacdHist;
	private int? _previousColor;
	private int _barsSinceTrade;
	
	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}
	
	/// <summary>
	/// MACD fast period.
	/// </summary>
	public int MacdFastPeriod
	{
		get => _macdFastPeriod.Value;
		set => _macdFastPeriod.Value = value;
	}
	
	/// <summary>
	/// MACD slow period.
	/// </summary>
	public int MacdSlowPeriod
	{
		get => _macdSlowPeriod.Value;
		set => _macdSlowPeriod.Value = value;
	}
	
	/// <summary>
	/// MACD signal period.
	/// </summary>
	public int MacdSignalPeriod
	{
		get => _macdSignalPeriod.Value;
		set => _macdSignalPeriod.Value = value;
	}

	/// <summary>
	/// Bars to wait after a completed trade.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}
	
	/// <summary>
	/// Candle type used by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Initializes a new instance of <see cref="ElderImpulseSystemStrategy"/>.
	/// </summary>
	public ElderImpulseSystemStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 13)
		.SetDisplay("EMA Period", "Period for EMA calculation", "Indicators")
		
		.SetOptimize(8, 21, 1);
		
		_macdFastPeriod = Param(nameof(MacdFastPeriod), 12)
		.SetDisplay("MACD Fast Period", "Fast EMA period for MACD", "Indicators")
		
		.SetOptimize(8, 20, 1);
		
		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 26)
		.SetDisplay("MACD Slow Period", "Slow EMA period for MACD", "Indicators")
		
		.SetOptimize(20, 40, 1);
		
		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 9)
		.SetDisplay("MACD Signal Period", "Signal EMA period for MACD", "Indicators")
		
		.SetOptimize(5, 15, 1);
		
		_cooldownBars = Param(nameof(CooldownBars), 1)
		.SetDisplay("Cooldown Bars", "Bars to wait after a completed trade", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles to use", "General");
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		
		_previousEma = null;
		_previousMacdHist = null;
		_previousColor = null;
		_barsSinceTrade = CooldownBars;
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFastPeriod },
			LongMa = { Length = MacdSlowPeriod }
			},
		SignalMa = { Length = MacdSignalPeriod }
		};
		
		var subscription = SubscribeCandles(CandleType);
		subscription
		.BindEx(ema, macd, ProcessCandle)
		.Start();
		
		StartProtection(new Unit(2, UnitTypes.Percent), new Unit(2, UnitTypes.Percent));
		
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema);
			DrawIndicator(area, macd);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessCandle(ICandleMessage candle, IIndicatorValue emaValue, IIndicatorValue macdValue)
	{
		// Process only finished candles
		if (candle.State != CandleStates.Finished)
		return;
		
		if (!IsFormedAndOnlineAndAllowTrading())
		return;

		if (_barsSinceTrade < CooldownBars)
			_barsSinceTrade++;
		
		var ema = emaValue.ToDecimal();
		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
		return;
		
		var macdHist = macd - signal;
		
		if (_previousEma is null || _previousMacdHist is null)
		{
			_previousEma = ema;
			_previousMacdHist = macdHist;
			return;
		}
		
		var emaDelta = ema - _previousEma.Value;
		var macdDelta = macdHist - _previousMacdHist.Value;
		var color = 0;
		
		if (emaDelta > 0 && macdHist > 0 && macdDelta > 0)
		color = 2;
		else if (emaDelta < 0 && macdHist < 0 && macdDelta < 0)
		color = 1;
		
		if (_previousColor.HasValue && _barsSinceTrade >= CooldownBars)
		{
			if (_previousColor.Value == 2 && color != 2)
			{
				if (Position < 0)
					BuyMarket(Math.Abs(Position));
				
				if (Position <= 0)
				{
					BuyMarket(Volume + Math.Abs(Position));
					_barsSinceTrade = 0;
				}
			}
			else if (_previousColor.Value == 1 && color != 1)
			{
				if (Position > 0)
					SellMarket(Math.Abs(Position));
				
				if (Position >= 0)
				{
					SellMarket(Volume + Math.Abs(Position));
					_barsSinceTrade = 0;
				}
			}
		}
		
		_previousColor = color;
		_previousEma = ema;
		_previousMacdHist = macdHist;
	}
}