中文
在 GitHub 上查看

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 = 0.1
    • CandleType = TimeSpan.FromMinutes(5)
    • StopLossPercent = 2 Avg和StdDev为最近AvgPeriod个ADX值（含当前值）的平均值和标准差。止损为入场价的固定StopLossPercent百分比，在K线之间同样监控；设为0则关闭。通道为平均值加Multiplier倍标准差：ADX在阳线上突破通道时做多，在阴线上突破时做空；ADX回落到平均值以下时平仓。与持仓方向相反的入场信号会反转持仓。
  • 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.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ADX Breakout strategy.
/// The bands lie Multiplier standard deviations around the average of the last AvgPeriod ADX values, the current one included.
/// ADX above the upper band on a rising candle goes long and on a falling candle goes short, reversing an opposite position.
/// A position closes once ADX falls back below its average, and a percent stop limits the loss.
/// </summary>
public class ADXBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _aDXPeriod;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private readonly Queue<decimal> _values = [];

	/// <summary>
	/// Period of ADX.
	/// </summary>
	public int ADXPeriod
	{
		get => _aDXPeriod.Value;
		set => _aDXPeriod.Value = value;
	}

	/// <summary>
	/// Values of ADX the average and the standard deviation span.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviations between the average and a band.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public ADXBreakoutStrategy()
	{
		_aDXPeriod = Param(nameof(ADXPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period of ADX", "Indicators");

		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Values of ADX the average and the standard deviation span", "Indicators");

		_multiplier = Param(nameof(Multiplier), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviations between the average and a band", "Indicators");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_values.Clear();
	}

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

		_values.Clear();

		var adx = new AverageDirectionalIndex { Length = ADXPeriod };

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

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, adx);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		if (!adxValue.IsFormed || adxValue is not AverageDirectionalIndexValue { MovingAverage: decimal value })
			return;

		_values.Enqueue(value);

		if (_values.Count > AvgPeriod)
			_values.Dequeue();

		if (_values.Count < AvgPeriod)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var mean = _values.Average();
		var deviation = (decimal)Math.Sqrt((double)_values.Average(v => (v - mean) * (v - mean)));
		var upper = mean + Multiplier * deviation;

		if (value > upper && candle.ClosePrice > candle.OpenPrice && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (value > upper && candle.ClosePrice < candle.OpenPrice && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && value < mean)
			SellMarket(Position);
		else if (Position < 0 && value < mean)
			BuyMarket(-Position);
	}
}