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Ichimoku Adx Strategy

本策略结合一目均衡表和ADX指标。做多条件：价格在云层上方，且转折线高于基准线，ADX>25；做空条件：价格在云层下方，且转折线低于基准线，ADX>25。价格穿越云层相反方向时平仓。

测试表明年均收益约为 187%，该策略在股票市场表现最佳。

策略利用云图信号配合ADX过滤强势趋势。当价格突破云层并得到ADX确认时进场。适合偏好结构化趋势形态的交易者，ATR设定的止损帮助控制风险。

细节

  • 入场条件:
    • 多头: Price > Cloud && Tenkan > Kijun && ADX > AdxThreshold
    • 空头: Price < Cloud && Tenkan < Kijun && ADX > AdxThreshold
  • 多/空: 双向
  • 离场条件: 价格反向穿越云层
  • 止损: 使用云图作为跟踪止损
  • 默认值:
    • TenkanPeriod = 9
    • KijunPeriod = 26
    • SenkouSpanBPeriod = 52
    • AdxPeriod = 14
    • AdxThreshold = 25m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • 过滤器:
    • 类别: Trend
    • 方向: 双向
    • 指标: Ichimoku Cloud, ADX
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 中期
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
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 based on Ichimoku Cloud and ADX indicators.
/// 
/// Entry criteria:
/// Long: Price > Kumo (cloud) && Tenkan > Kijun && ADX > 25 (uptrend with strong movement)
/// Short: Price < Kumo (cloud) && Tenkan < Kijun && ADX > 25 (downtrend with strong movement)
/// 
/// Exit criteria:
/// Long: Price < Kumo (price falls below cloud)
/// Short: Price > Kumo (price rises above cloud)
/// </summary>
public class IchimokuAdxStrategy : Strategy
{
	private readonly StrategyParam<int> _tenkanPeriod;
	private readonly StrategyParam<int> _kijunPeriod;
	private readonly StrategyParam<int> _senkouSpanBPeriod;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<DataType> _candleType;

	// Previous state tracking
	private bool _isPriceAboveCloud;
	private bool _isTenkanAboveKijun;
	private decimal _lastAdxValue;

	/// <summary>
	/// Period for Tenkan-sen calculation (conversion line).
	/// </summary>
	public int TenkanPeriod
	{
		get => _tenkanPeriod.Value;
		set => _tenkanPeriod.Value = value;
	}

	/// <summary>
	/// Period for Kijun-sen calculation (base line).
	/// </summary>
	public int KijunPeriod
	{
		get => _kijunPeriod.Value;
		set => _kijunPeriod.Value = value;
	}

	/// <summary>
	/// Period for Senkou Span B calculation (second cloud component).
	/// </summary>
	public int SenkouSpanBPeriod
	{
		get => _senkouSpanBPeriod.Value;
		set => _senkouSpanBPeriod.Value = value;
	}

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

	/// <summary>
	/// Threshold for ADX to confirm trend strength.
	/// </summary>
	public decimal AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public IchimokuAdxStrategy()
	{
		_tenkanPeriod = Param(nameof(TenkanPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Tenkan Period", "Period for Tenkan-sen (conversion line)", "Ichimoku")
			
			.SetOptimize(7, 13, 2);

		_kijunPeriod = Param(nameof(KijunPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Kijun Period", "Period for Kijun-sen (base line)", "Ichimoku")
			
			.SetOptimize(20, 32, 3);

		_senkouSpanBPeriod = Param(nameof(SenkouSpanBPeriod), 52)
			.SetGreaterThanZero()
			.SetDisplay("Senkou Span B Period", "Period for Senkou Span B (second cloud component)", "Ichimoku")
			
			.SetOptimize(40, 60, 5);

		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period for ADX calculation", "Indicators")
			
			.SetOptimize(10, 20, 5);

		_adxThreshold = Param(nameof(AdxThreshold), 25m)
			.SetGreaterThanZero()
			.SetDisplay("ADX Threshold", "Minimum ADX value to confirm trend strength", "Indicators")
			
			.SetOptimize(20m, 30m, 5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();

		_isPriceAboveCloud = default;
		_isTenkanAboveKijun = default;
		_lastAdxValue = default;
	}

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

		// Create indicators
		var ichimoku = new Ichimoku
		{
			Tenkan = { Length = TenkanPeriod },
			Kijun = { Length = KijunPeriod },
			SenkouB = { Length = SenkouSpanBPeriod }
		};
		
		var adx = new AverageDirectionalIndex { Length = AdxPeriod };

		// Create subscription
		var subscription = SubscribeCandles(CandleType);
		
		// We'll need to manually bind Ichimoku and ADX separately as they have different output values
		subscription
			.BindEx(ichimoku, adx, ProcessIndicators)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ichimoku);
			
			// Create separate area for ADX
			var adxArea = CreateChartArea();
			if (adxArea != null)
			{
				DrawIndicator(adxArea, adx);
			}
			
			DrawOwnTrades(area);
		}
	}
	
	// Process Ichimoku indicator data
	private void ProcessIndicators(ICandleMessage candle, IIndicatorValue ichimokuValue, IIndicatorValue adxValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		var typedAdx = (AverageDirectionalIndexValue)adxValue;

		if (typedAdx.MovingAverage is not decimal adx)
			return;

		_lastAdxValue = adx;

		// Get Ichimoku values
		// The component values must be extracted based on the Ichimoku implementation
		var ichimokuTyped = (IchimokuValue)ichimokuValue;

		if (ichimokuTyped.Tenkan is not decimal tenkan)
			return;

		if (ichimokuTyped.Kijun is not decimal kijun)
			return;

		if (ichimokuTyped.SenkouA is not decimal senkouA)
			return;

		if (ichimokuTyped.SenkouB is not decimal senkouB)
			return;

		// Determine cloud boundaries
		var cloudTop = Math.Max(senkouA, senkouB);
		var cloudBottom = Math.Min(senkouA, senkouB);
		
		// Update state
		var isPriceAboveCloud = candle.ClosePrice > cloudTop;
		var isPriceBelowCloud = candle.ClosePrice < cloudBottom;
		var isTenkanAboveKijun = tenkan > kijun;
		
		// Log current state
		LogInfo($"Close: {candle.ClosePrice}, Tenkan: {tenkan:N2}, Kijun: {kijun:N2}, " + 
					  $"Cloud Top: {cloudTop:N2}, Cloud Bottom: {cloudBottom:N2}, ADX: {_lastAdxValue:N2}");
		
		var isPriceRelativeToCloudChanged = _isPriceAboveCloud != isPriceAboveCloud;
		
		// Only make trading decisions if both Ichimoku and ADX have been calculated
		if (_lastAdxValue <= 0)
			return;
			
		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;
		
		var isStrongTrend = _lastAdxValue > AdxThreshold;
		
		// Trading logic
		if (Position == 0) // No position
		{
			if (isPriceAboveCloud && isTenkanAboveKijun && isStrongTrend)
			{
				// Buy signal: price above cloud, Tenkan above Kijun, strong trend
				BuyMarket(Volume);
				LogInfo($"Buy signal: Price above cloud, Tenkan above Kijun, ADX = {_lastAdxValue}");
			}
			else if (isPriceBelowCloud && !isTenkanAboveKijun && isStrongTrend)
			{
				// Sell signal: price below cloud, Tenkan below Kijun, strong trend
				SellMarket(Volume);
				LogInfo($"Sell signal: Price below cloud, Tenkan below Kijun, ADX = {_lastAdxValue}");
			}
		}
		else if (isPriceRelativeToCloudChanged) // Exit on cloud crossing
		{
			if (Position > 0 && !isPriceAboveCloud)
			{
				// Exit long position: price fell below cloud
				SellMarket(Math.Abs(Position));
				LogInfo($"Exit long position: Price fell into/below cloud");
			}
			else if (Position < 0 && !isPriceBelowCloud)
			{
				// Exit short position: price rose above cloud
				BuyMarket(Math.Abs(Position));
				LogInfo($"Exit short position: Price rose into/above cloud");
			}
		}
		
		// Update tracking variables
		_isPriceAboveCloud = isPriceAboveCloud;
		_isTenkanAboveKijun = isTenkanAboveKijun;
	}
}