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ADX 突破策略

该策略监控 ADX 指标的迅速上升。当读数明显超出常态时，价格往往开始新的趋势。

测试表明年均收益约为 97%，该策略在加密市场表现最佳。

当指标突破由近期数据和偏差倍数形成的通道时开仓，可做多亦可做空，并设置止损。ADX 回到均值附近即平仓。

适合动量交易者捕捉早期突破机会。

详细信息

  • 入场条件: Indicator exceeds average by deviation multiplier.
  • Long/Short: 双向 directions.
  • 退出条件: Indicator reverts to average.
  • 止损: 是
  • 默认值:
    • ADXPeriod = 14
    • AvgPeriod = 20
    • Multiplier = 0.1m
    • CandleType = TimeSpan.FromMinutes(5)
    • StopLoss = 2.0m
  • 筛选条件:
    • 类别: 突破
    • 方向: 双向
    • 指标: ADX
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 短期
    • 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 that trades on ADX breakouts.
/// When ADX breaks out above its average, it enters position in the direction determined by price.
/// </summary>
public class ADXBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLoss;
	
	private AverageDirectionalIndex _adx;
	private SimpleMovingAverage _adxAverage;
	private decimal _prevAdxValue;
	private decimal _prevAdxAvgValue;
	
	/// <summary>
	/// ADX period.
	/// </summary>
	public int ADXPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}
	
	/// <summary>
	/// Period for ADX average calculation.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}
	
	/// <summary>
	/// Standard deviation multiplier for breakout detection.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}
	
	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}
	
	/// <summary>
	/// Initialize <see cref="ADXBreakoutStrategy"/>.
	/// </summary>
	public ADXBreakoutStrategy()
	{
		_adxPeriod = Param(nameof(ADXPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period for ADX indicator", "Indicators")
			
			.SetOptimize(10, 30, 2);
		
		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for ADX average calculation", "Indicators")
			
			.SetOptimize(10, 50, 5);
		
		_multiplier = Param(nameof(Multiplier), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviation multiplier for breakout detection", "Indicators")
			
			.SetOptimize(0.0m, 1.0m, 0.1m);
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		
		_stopLoss = Param(nameof(StopLoss), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop Loss percentage", "Risk Management")
			
			.SetOptimize(1.0m, 5.0m, 0.5m);
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevAdxValue = 0;
		_prevAdxAvgValue = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		
		
		// Create indicators
		_adx = new AverageDirectionalIndex { Length = ADXPeriod };
		_adxAverage = new SMA { Length = AvgPeriod };
		
		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		
		// First bind ADX to the candle subscription
		subscription
			.BindEx(_adx, ProcessAdx)
			.Start();
			
		// Enable stop loss protection
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute),
			stopLoss: new Unit(StopLoss, UnitTypes.Percent)
		);
		
		// Create chart area for visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _adx);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessAdx(ICandleMessage candle, IIndicatorValue adxValue)
	{
		if (candle.State != CandleStates.Finished)
			return;
		
		if (!adxValue.IsFinal)
			return;
		
		// Get current ADX value
		if (((AverageDirectionalIndexValue)adxValue).MovingAverage is not decimal currentAdx)
		{
			return;
		}

		// Process ADX through average indicator
		var adxAvgValue = _adxAverage.Process(new DecimalIndicatorValue(_adxAverage, currentAdx, candle.ServerTime));
		var currentAdxAvg = adxAvgValue.ToDecimal();
		
		// For first values, just save and skip
		if (_prevAdxValue == 0)
		{
			_prevAdxValue = currentAdx;
			_prevAdxAvgValue = currentAdxAvg;
			return;
		}
		
		// Calculate standard deviation of ADX (simplified approach)
		var stdDev = Math.Abs(currentAdx - currentAdxAvg) * 2; // Simplified approximation
		
		// Check if trading is allowed
		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevAdxValue = currentAdx;
			_prevAdxAvgValue = currentAdxAvg;
			return;
		}
		
		// ADX breakout detection (ADX increases significantly above its average)
		if (currentAdx > currentAdxAvg + Multiplier * stdDev)
		{
			// Determine direction based on price movement
			var priceDirection = candle.ClosePrice > candle.OpenPrice;
			
			// Cancel active orders before placing new ones
			CancelActiveOrders();
			
			// Trade in the direction of price movement
			if (priceDirection && Position <= 0)
			{
				// Bullish breakout - Buy
				BuyMarket(Volume + Math.Abs(Position));
			}
			else if (!priceDirection && Position >= 0)
			{
				// Bearish breakout - Sell
				SellMarket(Volume + Math.Abs(Position));
			}
		}
		// Check for exit condition - ADX returns to average
		else if ((Position > 0 && currentAdx < currentAdxAvg) || 
				 (Position < 0 && currentAdx < currentAdxAvg))
		{
			// Exit position
			ClosePosition();
		}
		
		// Update previous values
		_prevAdxValue = currentAdx;
		_prevAdxAvgValue = currentAdxAvg;
	}
}