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Color X Derivative Strategy

Overview

This strategy is a StockSharp port of the MetaTrader expert "Exp_ColorXDerivative". It works on a configurable candle timeframe (12-hour candles by default) and analyses the ColorXDerivative momentum histogram. The indicator measures how fast the chosen price source changes over a fixed shift, smooths the result with a moving average, and then classifies each bar into one of five colour states. Trades follow the same logic as in the original EA: the robot buys when bullish momentum accelerates or a bearish move starts to contract, and it sells when bearish pressure increases or a bullish leg loses strength.

Indicator logic

  1. Convert each candle to the selected AppliedPrice (close, open, weighted close, Demark, etc.).
  2. Compute the price derivative: (price[0] - price[shift]) * 100 / shift, where shift = DerivativePeriod.
  3. Smooth the derivative with the selected method (SMA, EMA, SMMA, LWMA or Jurik). The default Jurik moving average reproduces the JJMA smoothing from the MQL implementation.
  4. Assign a colour state:
    • 0 – derivative > 0 and rising (strong bullish acceleration).
    • 1 – derivative > 0 but falling (bullish momentum losing strength).
    • 2 – derivative ≈ 0 (neutral).
    • 3 – derivative < 0 but rising (bearish move contracting).
    • 4 – derivative < 0 and falling (bearish acceleration).

A signal shift controls which finished bar is evaluated (1 = last closed bar, 2 = previous bar, etc.).

Trading rules

  • Long entry: enabled when EnableLongEntry is true and either
    • the current colour is 0 while the previous colour was not 0 (momentum turns sharply bullish), or
    • the current colour is 3 while the previous colour was 4 or 2 (bearish move starts to contract).
  • Short entry: enabled when EnableShortEntry is true and either
    • the current colour is 4 while the previous colour was not 4 (bearish acceleration starts), or
    • the current colour is 1 while the previous colour was 0 or 2 (bullish move fades).
  • Long exit: triggered when the current colour is 1 or 4 and EnableLongExit is true.
  • Short exit: triggered when the current colour is 0 or 3 and EnableShortExit is true.

Orders are sent as market orders using the OrderVolume parameter. Position closes are executed before new entries to mimic the sequential logic of the original EA.

Risk management

Optional stop loss and take profit distances are provided via StopLossTicks and TakeProfitTicks. When either value is above zero the strategy calls StartProtection, converting ticks into price steps using the security's Step size. The stop/target protection runs once and is compatible with auto-trading or backtesting.

Parameters

  • OrderVolume – market order size.
  • CandleType – timeframe for the indicator calculations (default 12-hour time frame).
  • DerivativePeriod – distance in bars used for the derivative shift.
  • AppliedPrice – price source passed into the derivative (close, median, weighted, Demark, etc.).
  • SmoothingMethod – smoothing filter applied to the derivative. Supported values: SMA, EMA, SMMA, LWMA, Jurik.
  • SmoothingLength – period of the smoothing filter.
  • SignalShift – how many finished bars back to read the colour values (1 = most recent closed bar).
  • StopLossTicks / TakeProfitTicks – optional protective distances in security steps.
  • EnableLongEntry, EnableShortEntry, EnableLongExit, EnableShortExit – toggles matching the original EA inputs.

Notes

  • The strategy reproduces the indicator-driven logic of the MetaTrader EA without additional money-management features.
  • Jurik smoothing is the closest approximation to the JJMA filter used in the MQL library; other options map to the standard StockSharp moving averages.
  • The colour history is stored internally so optimisation on SignalShift works exactly as in the MetaTrader version.
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>
/// Color X Derivative strategy (simplified). Uses Momentum to detect
/// acceleration/deceleration and generate reversal signals.
/// </summary>
public class ColorXDerivativeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _momentumLength;
	private readonly StrategyParam<int> _emaLength;

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

	public int MomentumLength
	{
		get => _momentumLength.Value;
		set => _momentumLength.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public ColorXDerivativeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");

		_momentumLength = Param(nameof(MomentumLength), 34)
			.SetGreaterThanZero()
			.SetDisplay("Momentum Length", "Derivative lookback", "Indicators");

		_emaLength = Param(nameof(EmaLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "Smoothing period", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var momentum = new Momentum { Length = MomentumLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

		decimal prevMom = 0;
		var hasPrev = false;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(momentum, ema, (ICandleMessage candle, decimal momValue, decimal emaValue) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!hasPrev)
				{
					prevMom = momValue;
					hasPrev = true;
					return;
				}

				if (!IsFormedAndOnlineAndAllowTrading())
				{
					prevMom = momValue;
					return;
				}

				var close = candle.ClosePrice;

				// Momentum turning positive with price above EMA
				if (prevMom <= 0 && momValue > 0 && close > emaValue && Position <= 0)
					BuyMarket();
				// Momentum turning negative with price below EMA
				else if (prevMom >= 0 && momValue < 0 && close < emaValue && Position >= 0)
					SellMarket();

				prevMom = momValue;
			})
			.Start();

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