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ADX и импульс настроений

Стратегия ADX Sentiment Momentum использует ADX для оценки импульса настроений. Сигналы формируются, когда индикаторы подтверждают смену импульса на внутридневных данных (5м). Такой подход подходит активным трейдерам. Стопы рассчитываются исходя из кратных ATR и параметров AdxPeriod, AdxThreshold. Эти значения можно изменять для баланса риска и прибыли.

Подробности

  • Условия входа: см. реализацию для условий по индикаторам.
  • Длинные/короткие позиции: обе стороны.
  • Условия выхода: обратный сигнал или логика стопов.
  • Стопы: да, вычисляются на основе индикаторов.
  • Значения по умолчанию:
    • AdxPeriod = 14
    • AdxThreshold = 25m
    • SentimentPeriod = 5
    • StopLoss = 2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Фильтры:
    • Категория: Следование за трендом
    • Направление: Оба
    • Индикаторы: multiple indicators
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Внутридневной (5m)
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
using System;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ADX trend strategy filtered by deterministic sentiment momentum.
/// </summary>
public class AdxSentimentMomentumStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<int> _sentimentPeriod;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private ADX _adx = null!;
	private decimal _prevSentiment;
	private decimal _currentSentiment;
	private decimal _sentimentMomentum;
	private decimal? _prevDiPlus;
	private decimal? _prevDiMinus;
	private int _cooldownRemaining;

	/// <summary>
	/// ADX period.
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

	/// <summary>
	/// ADX threshold for strong trend.
	/// </summary>
	public decimal AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

	/// <summary>
	/// Period for sentiment momentum calculation.
	/// </summary>
	public int SentimentPeriod
	{
		get => _sentimentPeriod.Value;
		set => _sentimentPeriod.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Closed candles to wait before another position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Candle type for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize strategy.
	/// </summary>
	public AdxSentimentMomentumStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetRange(5, 30)
			.SetDisplay("ADX Period", "Period for ADX calculation", "Indicators");

		_adxThreshold = Param(nameof(AdxThreshold), 25m)
			.SetRange(15m, 35m)
			.SetDisplay("ADX Threshold", "Threshold for strong trend identification", "Indicators");

		_sentimentPeriod = Param(nameof(SentimentPeriod), 5)
			.SetRange(3, 10)
			.SetDisplay("Sentiment Period", "Period for sentiment momentum calculation", "Sentiment");

		_stopLoss = Param(nameof(StopLoss), 2m)
			.SetRange(1m, 5m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 24)
			.SetNotNegative()
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "General");

		_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();

		_adx?.Reset();
		_adx = null!;
		_prevSentiment = 0m;
		_currentSentiment = 0m;
		_sentimentMomentum = 0m;
		_prevDiPlus = null;
		_prevDiMinus = null;
		_cooldownRemaining = 0;
	}

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

		_adx = new ADX
		{
			Length = AdxPeriod
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_adx, ProcessCandle)
			.Start();

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

		StartProtection(
			new Unit(2, UnitTypes.Percent),
			new Unit(StopLoss, UnitTypes.Percent)
		);
	}

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

		UpdateSentiment(candle);

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (adxValue is not AverageDirectionalIndexValue typedAdx ||
			typedAdx.MovingAverage is not decimal adxMain ||
			typedAdx.Dx.Plus is not decimal diPlus ||
			typedAdx.Dx.Minus is not decimal diMinus)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var bullishCross = _prevDiPlus is decimal previousPlus && _prevDiMinus is decimal previousMinus &&
			previousPlus <= previousMinus && diPlus > diMinus;
		var bearishCross = _prevDiPlus is decimal previousPlus2 && _prevDiMinus is decimal previousMinus2 &&
			previousPlus2 >= previousMinus2 && diMinus > diPlus;
		var strongTrend = adxMain >= AdxThreshold;

		if (_cooldownRemaining == 0 && strongTrend && bullishCross && _sentimentMomentum > 0 && Position <= 0)
		{
			BuyMarket(Volume + (Position < 0 ? Math.Abs(Position) : 0m));
			_cooldownRemaining = CooldownBars;
		}
		else if (_cooldownRemaining == 0 && strongTrend && bearishCross && _sentimentMomentum < 0 && Position >= 0)
		{
			SellMarket(Volume + (Position > 0 ? Math.Abs(Position) : 0m));
			_cooldownRemaining = CooldownBars;
		}
		else if (Position > 0 && (adxMain < 20m || _sentimentMomentum < 0))
		{
			SellMarket(Position);
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && (adxMain < 20m || _sentimentMomentum > 0))
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevDiPlus = diPlus;
		_prevDiMinus = diMinus;
	}

	private void UpdateSentiment(ICandleMessage candle)
	{
		_prevSentiment = _currentSentiment;
		_currentSentiment = SimulateSentiment(candle);
		_sentimentMomentum = _currentSentiment - _prevSentiment;
	}

	private decimal SimulateSentiment(ICandleMessage candle)
	{
		var range = Math.Max(candle.HighPrice - candle.LowPrice, 1m);
		var body = candle.ClosePrice - candle.OpenPrice;
		var bodyRatio = body / range;
		var rangeRatio = range / Math.Max(candle.OpenPrice, 1m);
		var trendFactor = Math.Min(0.3m, rangeRatio * SentimentPeriod);

		return Math.Max(-1m, Math.Min(1m, bodyRatio + (Math.Sign(body) * trendFactor)));
	}
}