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JFATL Digit System

Strategy built around the Jurik moving average (JFATL) slope. It opens long positions when the moving average turns upward and short positions when it turns downward. The idea imitates the color-coded digital system from the original MQL version.

Details

  • Entry Criteria: Slope of Jurik moving average changes sign. Upward slope opens a long position, downward slope opens a short position.
  • Long/Short: Both directions are traded.
  • Exit Criteria: Position is reversed on opposite slope or closed by risk management.
  • Stops: Percentage-based take profit and optional stop loss configured through StartProtection.
  • Default Values: Length = 5, Phase = -100, Timeframe = 4 hours.
  • Filters: None. The strategy relies solely on JMA slope.
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>
/// JFATL Digit System based on the slope of the Jurik moving average.
/// Opens long when the JMA turns upward and short when it turns downward.
/// </summary>
public class JfatlDigitSystemStrategy : Strategy
{
	private readonly StrategyParam<int> _jmaLength;
	private readonly StrategyParam<int> _jmaPhase;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevJma;
	private decimal? _prevSlope;

	public int JmaLength
	{
		get => _jmaLength.Value;
		set => _jmaLength.Value = value;
	}

	public int JmaPhase
	{
		get => _jmaPhase.Value;
		set => _jmaPhase.Value = value;
	}

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

	public JfatlDigitSystemStrategy()
	{
		_jmaLength = Param(nameof(JmaLength), 5)
			.SetGreaterThanZero()
			.SetDisplay("JMA Length", "JMA period", "Parameters")
			.SetOptimize(3, 20, 1);

		_jmaPhase = Param(nameof(JmaPhase), -100)
			.SetDisplay("JMA Phase", "JMA phase", "Parameters")
			.SetOptimize(-100, 100, 20);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "Parameters");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevJma = null;
		_prevSlope = null;
	}

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

		_prevJma = null;
		_prevSlope = null;

		var jma = new JurikMovingAverage
		{
			Length = JmaLength,
			Phase = JmaPhase
		};

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_prevJma is decimal prev)
		{
			var slope = jmaValue - prev;

			if (_prevSlope is decimal prevSlope)
			{
				var turnedUp = prevSlope <= 0 && slope > 0;
				var turnedDown = prevSlope >= 0 && slope < 0;

				if (turnedUp && Position <= 0)
					BuyMarket();
				else if (turnedDown && Position >= 0)
					SellMarket();
			}

			_prevSlope = slope;
		}

		_prevJma = jmaValue;
	}
}