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ADX for BTC

该策略使用平均趋向指数 (ADX) 并可选 SMA 趋势过滤器，以捕捉比特币中的强势行情。

回测显示平均年化收益约 80%。该策略在加密市场表现最佳。

当 ADX 上穿入场阈值且趋势过滤器看多时买入；当 ADX 下穿退出阈值时平仓。

细节

  • 入场条件：ADX 上穿 EntryLevel，且（若启用）快速 SMA > 慢速 SMA。
  • 多空方向：仅做多。
  • 出场条件：ADX 下穿 ExitLevel。
  • 止损：否。
  • 默认值：
    • EntryLevel = 14m
    • ExitLevel = 45m
    • SmaFilter = true
    • SmaLength = 200
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器：
    • 类别：趋势
    • 方向：多头
    • 指标：ADX, SMA
    • 止损：否
    • 复杂度：基础
    • 时间框架：日内 (5m)
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ADX based long-only strategy for BTC.
/// Enters when ADX crosses above entry level, exits when ADX crosses below exit level.
/// </summary>
public class AdxForBtcStrategy : Strategy
{
	private readonly StrategyParam<decimal> _entryLevel;
	private readonly StrategyParam<decimal> _exitLevel;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevAdx;
	private int _cooldownRemaining;

	public decimal EntryLevel { get => _entryLevel.Value; set => _entryLevel.Value = value; }
	public decimal ExitLevel { get => _exitLevel.Value; set => _exitLevel.Value = value; }
	public int SmaLength { get => _smaLength.Value; set => _smaLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public AdxForBtcStrategy()
	{
		_entryLevel = Param(nameof(EntryLevel), 14m)
			.SetGreaterThanZero()
			.SetDisplay("Entry Level", "ADX threshold for entry", "Strategy");

		_exitLevel = Param(nameof(ExitLevel), 40m)
			.SetGreaterThanZero()
			.SetDisplay("Exit Level", "ADX threshold for exit", "Strategy");

		_smaLength = Param(nameof(SmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("SMA Length", "Length for trend SMA", "Strategy");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevAdx = 0m;
		_cooldownRemaining = 0;
	}

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

		var adx = new AverageDirectionalIndex { Length = 14 };
		var sma = new SimpleMovingAverage { Length = SmaLength };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var adxTyped = (IAverageDirectionalIndexValue)adxValue;
		if (adxTyped.MovingAverage is not decimal adxMa ||
			adxTyped.Dx.Plus is not decimal diPlus ||
			adxTyped.Dx.Minus is not decimal diMinus)
			return;

		var smaVal = smaValue.ToDecimal();

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevAdx = adxMa;
			return;
		}

		// Enter long when ADX crosses above entry level with +DI > -DI and price above SMA
		if (_prevAdx > 0 && _prevAdx <= EntryLevel && adxMa > EntryLevel && diPlus > diMinus && candle.ClosePrice > smaVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Enter short when ADX crosses above entry level with -DI > +DI and price below SMA
		else if (_prevAdx > 0 && _prevAdx <= EntryLevel && adxMa > EntryLevel && diMinus > diPlus && candle.ClosePrice < smaVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit when ADX drops below exit level
		else if (Position > 0 && adxMa < ExitLevel && _prevAdx >= ExitLevel)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && adxMa < ExitLevel && _prevAdx >= ExitLevel)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevAdx = adxMa;
	}
}