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ColorXADX

基于 +DI 和 -DI 交叉并由 ADX 强度确认的策略。

系统监控方向性运动指标。当 +DI 上穿 -DI 且平均方向指数高于设定阈值时，开多仓并平掉任何已有空仓；相反，当 -DI 上穿 +DI 且 ADX 较高时，开空仓并平掉多仓。通过固定的止损和止盈水平来管理风险。

细节

  • 入场条件：+DI/-DI 交叉且 ADX 高于阈值。
  • 多空：双向。
  • 出场条件：反向信号或止损/止盈。
  • 止损：是，固定止损与止盈。
  • 默认参数：
    • AdxPeriod = 14
    • AdxThreshold = 30m
    • StopLoss = 1000
    • TakeProfit = 2000
    • CandleType = TimeSpan.FromHours(4)
  • 过滤器：
    • 类别：趋势
    • 方向：双向
    • 指标：ADX，DMI
    • 止损：是
    • 复杂度：基础
    • 时间框架：波段（4小时）
    • 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 Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on crossing of +DI and -DI with ADX confirmation.
/// </summary>
public class ColorXAdxStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevPlusDi;
	private decimal? _prevMinusDi;

	public int AdxPeriod { get => _adxPeriod.Value; set => _adxPeriod.Value = value; }
	public decimal AdxThreshold { get => _adxThreshold.Value; set => _adxThreshold.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorXAdxStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetDisplay("ADX Period", "Period for ADX calculation", "Indicators");

		_adxThreshold = Param(nameof(AdxThreshold), 20m)
			.SetDisplay("ADX Threshold", "Minimum ADX level for trades", "Indicators");

		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).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();
		_prevPlusDi = null;
		_prevMinusDi = null;
	}

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

		var adx = new AverageDirectionalIndex { Length = AdxPeriod };

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

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			useMarketOrders: true);

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

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

		if (!adxValue.IsFormed)
			return;

		var adx = (AverageDirectionalIndexValue)adxValue;
		var plusDi = adx.Dx.Plus;
		var minusDi = adx.Dx.Minus;
		var adxMain = adx.MovingAverage;

		if (plusDi is null || minusDi is null || adxMain is null)
			return;

		if (_prevPlusDi is null || _prevMinusDi is null)
		{
			_prevPlusDi = plusDi;
			_prevMinusDi = minusDi;
			return;
		}

		// Detect DI cross with ADX confirmation
		if (plusDi > minusDi && _prevPlusDi <= _prevMinusDi && adxMain > AdxThreshold && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (minusDi > plusDi && _prevMinusDi <= _prevPlusDi && adxMain > AdxThreshold && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevPlusDi = plusDi;
		_prevMinusDi = minusDi;
	}
}