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True Sort 趋势策略

该策略复刻了 MetaTrader 中著名的 “True Sort” 模板：要求五条指数移动平均线严格排序。当当前和前一根已完成 K 线都呈现相同的多头或空头顺序，同时平均趋向指数（ADX）超过阈值以确认趋势强度时，策略顺势开仓。风控部分提供可选的绝对价差止损、止盈以及只有在价格足够向有利方向移动后才会启动的跟踪止损。

工作流程

  1. 在所选 K 线级别上计算五条 EMA（默认周期分别为 10、20、50、100、200）。
  2. 计算可配置周期的 ADX（默认 24），并要求其超过阈值（默认 20）以过滤弱趋势。
  3. 仅在 K 线收盘后分析指标，所有未完成的 K 线信号都会被忽略，避免过早下单。
  4. 做多条件（当前和上一根收盘 K 线均需满足）：
    • EMA_fast > EMA_2 > EMA_3 > EMA_4 > EMA_slow，即多头排列。
    • ADX > 阈值，确认趋势力度。
  5. 做空条件与上面完全相反，所有不等号方向互换。
  6. 当 EMA 排序被破坏、保护性价差被触及，或跟踪止损回吐既定利润时，仓位将被平掉。

双重排序验证能有效筛除噪声，使策略仅参与方向明确的行情。

交易规则

  • 入场
    • 多头：ADX 高于阈值，且五条 EMA 在当前和前一根已完成 K 线中都呈递减排序。若持有空头头寸，会先行平仓，再按 Volume 设置的数量开多。
    • 空头：ADX 高于阈值，且五条 EMA 在两根连续 K 线上都呈递增排序。若持有多头，会先行平仓后开空。
  • 出场
    • 一旦 EMA 排列被破坏，即刻平仓。
    • 可选风控措施：
      • 在入场价下方（多头）或上方（空头）设置固定距离的止损。
      • 在入场价外侧设置固定距离的止盈。
      • 跟踪止损：只有在价格先运行 TrailingStopDistance + TrailingStepDistance 后才激活，随后以 TrailingStopDistance 的距离跟随价格。
    • 若出现手动平仓或外部成交，内部状态也会被重置。

参数

参数 说明 默认值
CandleType 用于计算的 K 线数据类型。 1 小时
FastEmaLength 最快 EMA 的周期。 10
SecondEmaLength 第二条 EMA 的周期。 20
ThirdEmaLength 第三条 EMA 的周期。 50
FourthEmaLength 第四条 EMA 的周期。 100
SlowEmaLength 最慢 EMA 的周期。 200
AdxPeriod ADX 指标的计算周期。 24
AdxThreshold 允许交易的最小 ADX 值。 20
StopLossDistance 绝对价格止损距离（0 表示关闭）。 0.005
TakeProfitDistance 绝对价格止盈距离（0 表示关闭）。 0.015
TrailingStopDistance 跟踪止损距离。 0.0005
TrailingStepDistance 跟踪止损激活或移动前所需的额外价差。 0.0001

所有距离都以价格单位表示。对于 4/5 位小数报价的外汇品种，0.005 大约等于 50 个点。请根据交易品种的最小跳动调整这些数值。

使用建议

  • 适用于外汇、指数、商品等趋势性资产。对于较长周期可适当增加 EMA 周期；用于短线时则可缩短周期。
  • 两根 K 线的确认能够显著降低假突破，但也会导致信号略微滞后，可通过优化 EMA 周期和 ADX 阈值来平衡。
  • 当 TrailingStepDistance = 0 时，跟踪止损会在价格刚好运行 TrailingStopDistance 后立即启动，与原始 EA 的行为一致。
  • 策略使用市价单（BuyMarket、SellMarket）执行，仓位规模由 Volume 属性控制，可结合资金管理模块进一步扩展。
  • 如需限制交易时段，可叠加会话过滤或更高周期的趋势判定。
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>
/// Trend-following strategy that requires five exponential moving averages to be sorted in the same order for two consecutive candles.
/// Uses ADX to confirm trend strength and supports optional stop-loss, take-profit, and trailing stop distances expressed in price units.
/// </summary>
public class TrueSortTrendStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _secondEmaLength;
	private readonly StrategyParam<int> _thirdEmaLength;
	private readonly StrategyParam<int> _fourthEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<decimal> _stopLossDistance;
	private readonly StrategyParam<decimal> _takeProfitDistance;
	private readonly StrategyParam<decimal> _trailingStopDistance;
	private readonly StrategyParam<decimal> _trailingStepDistance;

	private ExponentialMovingAverage _fastEma;
	private ExponentialMovingAverage _secondEma;
	private ExponentialMovingAverage _thirdEma;
	private ExponentialMovingAverage _fourthEma;
	private ExponentialMovingAverage _slowEma;
	private AverageDirectionalIndex _adx;

	private decimal? _prevFast;
	private decimal? _prevSecond;
	private decimal? _prevThird;
	private decimal? _prevFourth;
	private decimal? _prevSlow;

	private decimal _entryPrice;
	private decimal _highestPrice;
	private decimal _lowestPrice;
	private int _positionDirection;

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

	/// <summary>
	/// Length of the fastest EMA.
	/// </summary>
	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	/// <summary>
	/// Length of the second EMA.
	/// </summary>
	public int SecondEmaLength
	{
		get => _secondEmaLength.Value;
		set => _secondEmaLength.Value = value;
	}

	/// <summary>
	/// Length of the third EMA.
	/// </summary>
	public int ThirdEmaLength
	{
		get => _thirdEmaLength.Value;
		set => _thirdEmaLength.Value = value;
	}

	/// <summary>
	/// Length of the fourth EMA.
	/// </summary>
	public int FourthEmaLength
	{
		get => _fourthEmaLength.Value;
		set => _fourthEmaLength.Value = value;
	}

	/// <summary>
	/// Length of the slowest EMA.
	/// </summary>
	public int SlowEmaLength
	{
		get => _slowEmaLength.Value;
		set => _slowEmaLength.Value = value;
	}

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

	/// <summary>
	/// Minimum ADX value that confirms a strong trend.
	/// </summary>
	public decimal AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

	/// <summary>
	/// Absolute stop-loss distance expressed in price units.
	/// </summary>
	public decimal StopLossDistance
	{
		get => _stopLossDistance.Value;
		set => _stopLossDistance.Value = value;
	}

	/// <summary>
	/// Absolute take-profit distance expressed in price units.
	/// </summary>
	public decimal TakeProfitDistance
	{
		get => _takeProfitDistance.Value;
		set => _takeProfitDistance.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price units.
	/// </summary>
	public decimal TrailingStopDistance
	{
		get => _trailingStopDistance.Value;
		set => _trailingStopDistance.Value = value;
	}

	/// <summary>
	/// Minimum price advance required before the trailing stop is activated or moved.
	/// </summary>
	public decimal TrailingStepDistance
	{
		get => _trailingStepDistance.Value;
		set => _trailingStepDistance.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="TrueSortTrendStrategy"/> class.
	/// </summary>
	public TrueSortTrendStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type used for calculations", "General");

		_fastEmaLength = Param(nameof(FastEmaLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA Length", "Period of the fastest EMA", "Moving Averages")
			
			.SetOptimize(5, 20, 1);

		_secondEmaLength = Param(nameof(SecondEmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Second EMA Length", "Period of the second EMA", "Moving Averages")
			
			.SetOptimize(10, 40, 2);

		_thirdEmaLength = Param(nameof(ThirdEmaLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Third EMA Length", "Period of the third EMA", "Moving Averages")
			
			.SetOptimize(30, 80, 5);

		_fourthEmaLength = Param(nameof(FourthEmaLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Fourth EMA Length", "Period of the fourth EMA", "Moving Averages")
			
			.SetOptimize(60, 140, 5);

		_slowEmaLength = Param(nameof(SlowEmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA Length", "Period of the slowest EMA", "Moving Averages")
			
			.SetOptimize(150, 250, 5);

		_adxPeriod = Param(nameof(AdxPeriod), 24)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Averaging period for the ADX indicator", "Indicators")
			
			.SetOptimize(14, 40, 2);

		_adxThreshold = Param(nameof(AdxThreshold), 10m)
			.SetGreaterThanZero()
			.SetDisplay("ADX Threshold", "Minimum ADX value to confirm trend strength", "Indicators")
			
			.SetOptimize(15m, 35m, 5m);

		_stopLossDistance = Param(nameof(StopLossDistance), 500m)
			.SetRange(0m, 1m)
			.SetDisplay("Stop Loss Distance", "Absolute distance for stop loss", "Risk")
			
			.SetOptimize(0.001m, 0.01m, 0.001m);

		_takeProfitDistance = Param(nameof(TakeProfitDistance), 1500m)
			.SetRange(0m, 1m)
			.SetDisplay("Take Profit Distance", "Absolute distance for take profit", "Risk")
			
			.SetOptimize(0.002m, 0.03m, 0.002m);

		_trailingStopDistance = Param(nameof(TrailingStopDistance), 300m)
			.SetRange(0m, 1m)
			.SetDisplay("Trailing Stop Distance", "Trailing stop distance in price units", "Risk")
			
			.SetOptimize(0.0002m, 0.002m, 0.0002m);

		_trailingStepDistance = Param(nameof(TrailingStepDistance), 100m)
			.SetRange(0m, 1m)
			.SetDisplay("Trailing Step Distance", "Additional advance before trailing stop adjustment", "Risk")
			
			.SetOptimize(0m, 0.001m, 0.0001m);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevFast = null;
		_prevSecond = null;
		_prevThird = null;
		_prevFourth = null;
		_prevSlow = null;

		ResetTradeState();
	}

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

		_fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		_secondEma = new ExponentialMovingAverage { Length = SecondEmaLength };
		_thirdEma = new ExponentialMovingAverage { Length = ThirdEmaLength };
		_fourthEma = new ExponentialMovingAverage { Length = FourthEmaLength };
		_slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		_adx = new AverageDirectionalIndex { Length = AdxPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandleRaw)
			.Start();

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

	private void ProcessCandleRaw(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var fastResult = _fastEma.Process(candle);
		var secondResult = _secondEma.Process(candle);
		var thirdResult = _thirdEma.Process(candle);
		var fourthResult = _fourthEma.Process(candle);
		var slowResult = _slowEma.Process(candle);
		var adxResult = _adx.Process(candle);

		if (!_slowEma.IsFormed || !_adx.IsFormed)
			return;

		if (fastResult.IsEmpty || secondResult.IsEmpty || thirdResult.IsEmpty || fourthResult.IsEmpty || slowResult.IsEmpty || adxResult.IsEmpty)
			return;

		var fast = fastResult.ToDecimal();
		var second = secondResult.ToDecimal();
		var third = thirdResult.ToDecimal();
		var fourth = fourthResult.ToDecimal();
		var slow = slowResult.ToDecimal();

		var adxData = (AverageDirectionalIndexValue)adxResult;
		var adxValue = adxData.MovingAverage ?? 0m;

		if (_prevFast is null || _prevSecond is null || _prevThird is null || _prevFourth is null || _prevSlow is null)
		{
			UpdatePreviousValues(fast, second, third, fourth, slow);
			return;
		}

		var ascendingCurrent = fast > second && second > third && third > fourth && fourth > slow;
		var descendingCurrent = fast < second && second < third && third < fourth && fourth < slow;
		var ascendingPrevious = _prevFast > _prevSecond && _prevSecond > _prevThird && _prevThird > _prevFourth && _prevFourth > _prevSlow;
		var descendingPrevious = _prevFast < _prevSecond && _prevSecond < _prevThird && _prevThird < _prevFourth && _prevFourth < _prevSlow;

		var openLongSignal = adxValue > AdxThreshold && ascendingCurrent && ascendingPrevious;
		var openShortSignal = adxValue > AdxThreshold && descendingCurrent && descendingPrevious;
		var breakLongStack = !ascendingCurrent;
		var breakShortStack = !descendingCurrent;

		var position = Position;

		if (position == 0 && _positionDirection != 0)
			ResetTradeState();

		if (position > 0)
		{
			_highestPrice = _highestPrice == 0m ? candle.HighPrice : Math.Max(_highestPrice, candle.HighPrice);
			_lowestPrice = candle.LowPrice;

			var exitVolume = Math.Abs(position);
			var shouldExit = false;

			if (!shouldExit && StopLossDistance > 0m && candle.LowPrice <= _entryPrice - StopLossDistance)
				shouldExit = true;

			if (!shouldExit && TakeProfitDistance > 0m && candle.HighPrice >= _entryPrice + TakeProfitDistance)
				shouldExit = true;

			if (!shouldExit && TrailingStopDistance > 0m)
			{
				var activation = TrailingStopDistance + Math.Max(0m, TrailingStepDistance);
				if (_highestPrice - _entryPrice >= activation)
				{
					var trailingLevel = _highestPrice - TrailingStopDistance;
					if (candle.ClosePrice <= trailingLevel)
						shouldExit = true;
				}
			}

			if (!shouldExit && breakLongStack)
				shouldExit = true;

			if (shouldExit && exitVolume > 0)
			{
				SellMarket(exitVolume);
				ResetTradeState();
				position = 0;
			}
		}
		else if (position < 0)
		{
			_lowestPrice = _lowestPrice == 0m ? candle.LowPrice : Math.Min(_lowestPrice, candle.LowPrice);
			_highestPrice = candle.HighPrice;

			var exitVolume = Math.Abs(position);
			var shouldExit = false;

			if (!shouldExit && StopLossDistance > 0m && candle.HighPrice >= _entryPrice + StopLossDistance)
				shouldExit = true;

			if (!shouldExit && TakeProfitDistance > 0m && candle.LowPrice <= _entryPrice - TakeProfitDistance)
				shouldExit = true;

			if (!shouldExit && TrailingStopDistance > 0m)
			{
				var activation = TrailingStopDistance + Math.Max(0m, TrailingStepDistance);
				if (_entryPrice - _lowestPrice >= activation)
				{
					var trailingLevel = _lowestPrice + TrailingStopDistance;
					if (candle.ClosePrice >= trailingLevel)
						shouldExit = true;
				}
			}

			if (!shouldExit && breakShortStack)
				shouldExit = true;

			if (shouldExit && exitVolume > 0)
			{
				BuyMarket(exitVolume);
				ResetTradeState();
				position = 0;
			}
		}

		if (position <= 0 && openLongSignal)
		{
			var volumeToBuy = Volume + Math.Max(0m, -position);
			if (volumeToBuy > 0)
			{
				BuyMarket(volumeToBuy);
				_entryPrice = candle.ClosePrice;
				_highestPrice = candle.HighPrice;
				_lowestPrice = candle.LowPrice;
				_positionDirection = 1;
			}
		}
		else if (position >= 0 && openShortSignal)
		{
			var volumeToSell = Volume + Math.Max(0m, position);
			if (volumeToSell > 0)
			{
				SellMarket(volumeToSell);
				_entryPrice = candle.ClosePrice;
				_highestPrice = candle.HighPrice;
				_lowestPrice = candle.LowPrice;
				_positionDirection = -1;
			}
		}

		if (Position == 0 && _positionDirection != 0)
			ResetTradeState();

		UpdatePreviousValues(fast, second, third, fourth, slow);
	}

	private void UpdatePreviousValues(decimal fast, decimal second, decimal third, decimal fourth, decimal slow)
	{
		_prevFast = fast;
		_prevSecond = second;
		_prevThird = third;
		_prevFourth = fourth;
		_prevSlow = slow;
	}

	private void ResetTradeState()
	{
		_entryPrice = 0m;
		_highestPrice = 0m;
		_lowestPrice = 0m;
		_positionDirection = 0;
	}
}