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Fractal Force Index Strategy

This strategy trades based on a smoothed Force Index crossing user-defined levels. When the indicator rises above the high level or falls below the low level, the strategy opens or closes positions depending on the selected trading mode. The Force Index is calculated from the price change and volume and smoothed with an EMA.

Details

  • Entry Criteria
    • Direct mode:
      • Long: indicator crosses above HighLevel.
      • Short: indicator crosses below LowLevel.
    • Against mode:
      • Long: indicator crosses below LowLevel.
      • Short: indicator crosses above HighLevel.
  • Exit Criteria
    • Direct mode:
      • Long: cross below LowLevel.
      • Short: cross above HighLevel.
    • Against mode:
      • Long: cross above HighLevel.
      • Short: cross below LowLevel.
  • Stops: No.
  • Default Values:
    • Period = 30
    • HighLevel = 0
    • LowLevel = 0
    • Candle Type = 4-hour
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: Force Index
    • Stops: No
    • Complexity: Medium
    • Timeframe: Medium-term
    • 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>
/// Fractal Force Index strategy.
/// Uses EMA of price changes as a momentum measure.
/// Opens or closes positions based on indicator level crossovers.
/// </summary>
public class FractalForceIndexStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private decimal _prevClose;
	private bool _hasPrev;

	/// <summary>
	/// EMA smoothing period.
	/// </summary>
	public int Period
	{
		get => _period.Value;
		set => _period.Value = value;
	}

	/// <summary>
	/// The type of candles used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="FractalForceIndexStrategy"/>.
	/// </summary>
	public FractalForceIndexStrategy()
	{
		_period = Param(nameof(Period), 21)
			.SetGreaterThanZero()
			.SetDisplay("Period", "EMA length", "Indicator")
			.SetOptimize(5, 30, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for indicator", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevEma = 0m;
		_prevClose = 0m;
		_hasPrev = false;
	}

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

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

		_hasPrev = false;

		var ema = new ExponentialMovingAverage { Length = Period };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;

		if (_hasPrev)
		{
			// Force-like momentum: price relative to EMA direction
			var crossedAbove = _prevClose <= _prevEma && close > emaValue;
			var crossedBelow = _prevClose >= _prevEma && close < emaValue;

			if (crossedAbove && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
			}
			else if (crossedBelow && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
			}
		}

		_prevClose = close;
		_prevEma = emaValue;
		_hasPrev = true;
	}
}