中文 ZH
在 GitHub 上查看

ADX 均值回归策略

平均趋向指数(ADX)用于衡量市场趋势力度。当 ADX 值处于低位时，市场倾向于围绕均值震荡。本策略交易 ADX 相对其均值的偏离。

测试表明年均收益约为 70%，该策略在股票市场表现最佳。

当 ADX 低于平均值减 DeviationMultiplier 倍标准差且价格位于均线下方时做多；当 ADX 高于上轨并且价格在均线上方时做空。ADX 回归均值附近后平仓。

此系统适合在弱趋势环境中寻找机会的交易者，若出现新的趋势则由止损限制亏损。

详细信息

  • 入场条件:
    • 做多: ADX < Avg - DeviationMultiplier * StdDev && Close < MA
    • 做空: ADX > Avg + DeviationMultiplier * StdDev && Close > MA
  • 多空方向: 双向
  • 退出条件:
    • 做多: Exit when ADX > Avg
    • 做空: Exit when ADX < Avg
  • 止损: 是
  • 默认值:
    • AdxPeriod = 14
    • AveragePeriod = 20
    • DeviationMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 筛选条件:
    • 类别: 均值回归
    • 方向: 双向
    • 指标: ADX
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// ADX Mean Reversion strategy.
/// This strategy enters positions when ADX is significantly below or above its average value.
/// </summary>
public class AdxMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _averagePeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevAdx;
	private decimal _avgAdx;
	private decimal _stdDevAdx;
	private decimal _sumAdx;
	private decimal _sumSquaresAdx;
	private int _count;
	private readonly Queue<decimal> _adxValues = [];

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

	/// <summary>
	/// Period for calculating mean and standard deviation of ADX.
	/// </summary>
	public int AveragePeriod
	{
		get => _averagePeriod.Value;
		set => _averagePeriod.Value = value;
	}

	/// <summary>
	/// Deviation multiplier for entry signals.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

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

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public AdxMeanReversionStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			
			.SetOptimize(10, 20, 5)
			.SetDisplay("ADX Period", "Period for ADX indicator", "Indicators");

		_averagePeriod = Param(nameof(AveragePeriod), 20)
			.SetGreaterThanZero()
			
			.SetOptimize(10, 50, 10)
			.SetDisplay("Average Period", "Period for calculating ADX average and standard deviation", "Settings");

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2m)
			.SetGreaterThanZero()
			
			.SetOptimize(1.5m, 3m, 0.5m)
			.SetDisplay("Deviation Multiplier", "Multiplier for standard deviation", "Settings");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			
			.SetOptimize(1m, 3m, 0.5m)
			.SetDisplay("Stop Loss %", "Stop loss as percentage of entry price", "Risk Management");
	}

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

		_prevAdx = 0;
		_avgAdx = 0;
		_stdDevAdx = 0;
		_sumAdx = 0;
		_sumSquaresAdx = 0;
		_count = 0;
		_adxValues.Clear();
	}


	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		// Create ADX indicator
		var adx = new AverageDirectionalIndex { Length = AdxPeriod };

		// Create subscription and bind indicator
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(adx, ProcessCandle)
			.Start();

		// Setup chart visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, adx);
			DrawOwnTrades(area);
		}

		// Enable position protection
		StartProtection(
			takeProfit: new Unit(0m), // We'll manage exits ourselves based on ADX
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
		);

		base.OnStarted2(time);
	}

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

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var adxTyped = (AverageDirectionalIndexValue)adxValue;
		
		if (adxTyped.MovingAverage is not decimal currentAdx)
			return;

		var dx = adxTyped.Dx;

		if (dx.Plus is not decimal plusDi || dx.Minus is not decimal minusDi)
			return;

		// Update ADX statistics
		UpdateAdxStatistics(currentAdx);

		// Save current ADX for next iteration
		_prevAdx = currentAdx;

		// If we don't have enough data yet for statistics
		if (_count < AveragePeriod)
			return;

		// Check for entry conditions
		if (Position == 0)
		{
			// Positive trend strength should correspond to price direction for entry
			var direction = plusDi > minusDi ? Sides.Buy : Sides.Sell;

			// ADX is significantly below its average - mean reversion expects it to rise
			// This could indicate a period of low trend strength that might change
			if (currentAdx < _avgAdx - DeviationMultiplier * _stdDevAdx)
			{
				if (direction == Sides.Buy)
				{
					BuyMarket(Volume);
					LogInfo($"Long entry: ADX = {currentAdx}, Avg = {_avgAdx}, StdDev = {_stdDevAdx}, +DI > -DI");
				}
				else
				{
					SellMarket(Volume);
					LogInfo($"Short entry: ADX = {currentAdx}, Avg = {_avgAdx}, StdDev = {_stdDevAdx}, +DI < -DI");
				}
			}
			// ADX is significantly above its average - mean reversion expects it to fall
			// This could indicate a period of high trend strength that might weaken
			else if (currentAdx > _avgAdx + DeviationMultiplier * _stdDevAdx)
			{
				// For high ADX values, we're more cautious and might want to go against the direction
				// as extremely high ADX may indicate trend exhaustion
				if (direction == Sides.Sell)
				{
					BuyMarket(Volume);
					LogInfo($"Long entry (trend strength exhaustion): ADX = {currentAdx}, Avg = {_avgAdx}, StdDev = {_stdDevAdx}");
				}
				else
				{
					SellMarket(Volume);
					LogInfo($"Short entry (trend strength exhaustion): ADX = {currentAdx}, Avg = {_avgAdx}, StdDev = {_stdDevAdx}");
				}
			}
		}
		// Check for exit conditions
		else if (Position > 0) // Long position
		{
			if (currentAdx > _avgAdx)
			{
				ClosePosition();
				LogInfo($"Long exit: ADX = {currentAdx}, Avg = {_avgAdx}");
			}
		}
		else if (Position < 0) // Short position
		{
			if (currentAdx < _avgAdx)
			{
				ClosePosition();
				LogInfo($"Short exit: ADX = {currentAdx}, Avg = {_avgAdx}");
			}
		}
	}

	private void UpdateAdxStatistics(decimal currentAdx)
	{
		// Add current value to the queue
		_adxValues.Enqueue(currentAdx);
		_sumAdx += currentAdx;
		_sumSquaresAdx += currentAdx * currentAdx;
		_count++;

		// If queue is larger than period, remove oldest value
		if (_adxValues.Count > AveragePeriod)
		{
			var oldestAdx = _adxValues.Dequeue();
			_sumAdx -= oldestAdx;
			_sumSquaresAdx -= oldestAdx * oldestAdx;
			_count--;
		}

		// Calculate average and standard deviation
		if (_count > 0)
		{
			_avgAdx = _sumAdx / _count;
			
			if (_count > 1)
			{
				var variance = (_sumSquaresAdx - (_sumAdx * _sumAdx) / _count) / (_count - 1);
				_stdDevAdx = variance <= 0 ? 0 : (decimal)Math.Sqrt((double)variance);
			}
			else
			{
				_stdDevAdx = 0;
			}
		}
	}
}