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Add ADX DMI crossover strategy (#2271)
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‎API/2303_ADX_DMI/CS/AdxDmiStrategy.cs

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namespace StockSharp.Samples.Strategies;
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using System;
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using System.Collections.Generic;
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using StockSharp.Algo;
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using StockSharp.Algo.Indicators;
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using StockSharp.Algo.Strategies;
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using StockSharp.BusinessEntities;
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using StockSharp.Messages;
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/// <summary>
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/// Directional Movement Index crossover strategy.
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/// </summary>
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public class AdxDmiStrategy : Strategy
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{
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private readonly StrategyParam<DataType> _candleTypeParam;
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private readonly StrategyParam<int> _dmiPeriod;
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private readonly StrategyParam<bool> _allowLong;
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private readonly StrategyParam<bool> _allowShort;
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private readonly StrategyParam<bool> _closeLong;
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private readonly StrategyParam<bool> _closeShort;
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private DirectionalIndex _dmi = null!;
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private decimal? _prevPlus;
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private decimal? _prevMinus;
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public AdxDmiStrategy()
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{
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_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromHours(8).TimeFrame())
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.SetDisplay("Candle Type", "Time frame for strategy calculation", "General");
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_dmiPeriod = Param(nameof(DmiPeriod), 14)
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.SetDisplay("DMI Period", "Directional Movement Index period", "Indicators")
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.SetGreaterThanZero();
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_allowLong = Param(nameof(AllowLong), true)
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.SetDisplay("Allow Long", "Enable long entries", "Trading");
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_allowShort = Param(nameof(AllowShort), true)
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.SetDisplay("Allow Short", "Enable short entries", "Trading");
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_closeLong = Param(nameof(CloseLong), true)
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.SetDisplay("Close Long", "Close long positions on opposite signal", "Trading");
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_closeShort = Param(nameof(CloseShort), true)
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.SetDisplay("Close Short", "Close short positions on opposite signal", "Trading");
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}
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public DataType CandleType
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{
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get => _candleTypeParam.Value;
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set => _candleTypeParam.Value = value;
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}
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public int DmiPeriod
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{
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get => _dmiPeriod.Value;
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set => _dmiPeriod.Value = value;
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}
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public bool AllowLong
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{
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get => _allowLong.Value;
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set => _allowLong.Value = value;
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}
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public bool AllowShort
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{
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get => _allowShort.Value;
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set => _allowShort.Value = value;
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}
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public bool CloseLong
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{
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get => _closeLong.Value;
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set => _closeLong.Value = value;
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}
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public bool CloseShort
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{
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get => _closeShort.Value;
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set => _closeShort.Value = value;
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}
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/// <inheritdoc />
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public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
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=> [(Security, CandleType)];
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/// <inheritdoc />
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protected override void OnStarted(DateTimeOffset time)
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{
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base.OnStarted(time);
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_dmi = new DirectionalIndex
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{
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Length = DmiPeriod
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};
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var subscription = SubscribeCandles(CandleType);
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subscription
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.BindEx(_dmi, ProcessCandle)
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.Start();
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var area = CreateChartArea();
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if (area != null)
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{
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DrawCandles(area, subscription);
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DrawIndicator(area, _dmi);
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DrawOwnTrades(area);
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}
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}
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private void ProcessCandle(ICandleMessage candle, IIndicatorValue dmiValue)
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{
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if (candle.State != CandleStates.Finished)
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return;
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var dmi = (DirectionalIndexValue)dmiValue;
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if (dmi.Plus is not decimal currentPlus ||
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dmi.Minus is not decimal currentMinus)
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return;
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if (_prevPlus is null || _prevMinus is null)
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{
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_prevPlus = currentPlus;
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_prevMinus = currentMinus;
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return;
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}
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var buySignal = _prevMinus > _prevPlus && currentMinus <= currentPlus;
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var sellSignal = _prevPlus > _prevMinus && currentPlus <= currentMinus;
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if (buySignal)
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{
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if (CloseShort && Position < 0)
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BuyMarket(Math.Abs(Position));
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if (AllowLong && Position <= 0)
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BuyMarket(Volume);
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}
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if (sellSignal)
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{
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if (CloseLong && Position > 0)
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SellMarket(Position);
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if (AllowShort && Position >= 0)
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SellMarket(Volume);
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}
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_prevPlus = currentPlus;
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_prevMinus = currentMinus;
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}
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}

‎API/2303_ADX_DMI/README.md

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# ADX DMI Strategy
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[Русский](README_ru.md) | [中文](README_cn.md)
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Uses the Directional Movement Index (DMI) to trade crossovers between the +DI and -DI lines. When -DI moves above +DI and then drops below it, the strategy opens a long position. When +DI rises above -DI and then falls back below, it opens a short position. Opposite signals can optionally close existing positions.
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## Details
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- **Entry Criteria**:
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- **Long**: -DI was above +DI on the previous bar and crosses below it on the latest bar.
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- **Short**: +DI was above -DI on the previous bar and crosses below it on the latest bar.
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- **Exit Criteria**:
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- Reverse crossover if corresponding close option is enabled.
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- **Indicators**:
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- Directional Index (period 14 by default)
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- **Stops**: none by default.
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- **Default Values**:
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- `DmiPeriod` = 14
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- `AllowLong` = true
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- `AllowShort` = true
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- `CloseLong` = true
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- `CloseShort` = true
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- **Filters**:
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- Works on any timeframe
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- Indicators: DMI
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- Stops: optional via external risk management
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- Complexity: basic

‎API/2303_ADX_DMI/README_cn.md

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# ADX DMI 策略
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[English](README.md) | [Русский](README_ru.md)
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使用方向移动指数（DMI）交易 +DI 与 -DI 线的交叉。当上一根K线的 -DI 高于 +DI 而当前K线跌破 +DI 时，策略开多仓。上一根K线的 +DI 高于 -DI 而当前K线跌破 -DI 时，策略开空仓。反向信号可选择性关闭已有仓位。
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## 详情
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- **入场条件**：
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- **多头**：上一根 -DI > +DI，当前 -DI 下穿 +DI。
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- **空头**：上一根 +DI > -DI，当前 +DI 下穿 -DI。
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- **出场条件**：
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- 反向交叉（若启用相应的平仓选项）。
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- **指标**：
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- Directional Index（默认周期 14）
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- **止损**：默认无。
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- **默认值**：
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- `DmiPeriod` = 14
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- `AllowLong` = true
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- `AllowShort` = true
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- `CloseLong` = true
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- `CloseShort` = true
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- **过滤条件**：
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- 适用于任何时间周期
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- 指标：DMI
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- 止损：可通过外部风控模块设置
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- 复杂度：基础

‎API/2303_ADX_DMI/README_ru.md

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# Стратегия ADX DMI
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[English](README.md) | [中文](README_cn.md)
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Использует Directional Movement Index (DMI) для торговли пересечениями линий +DI и -DI. Когда -DI находился выше +DI на предыдущей свече и опускается ниже на текущей, стратегия открывает длинную позицию. Когда +DI был выше -DI и опускается ниже, открывается короткая позиция. Обратные сигналы по желанию закрывают открытые позиции.
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## Детали
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- **Условия входа**:
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- **Лонг**: -DI был выше +DI на предыдущей свече и пересекает её сверху вниз на текущей.
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- **Шорт**: +DI был выше -DI на предыдущей свече и пересекает её сверху вниз на текущей.
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- **Условия выхода**:
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- Обратное пересечение при включённой соответствующей опции закрытия.
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- **Индикаторы**:
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- Directional Index (период по умолчанию 14)
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- **Стопы**: отсутствуют по умолчанию.
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- **Значения по умолчанию**:
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- `DmiPeriod` = 14
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- `AllowLong` = true
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- `AllowShort` = true
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- `CloseLong` = true
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- `CloseShort` = true
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- **Фильтры**:
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- Работает на любых таймфреймах
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- Индикаторы: DMI
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- Стопы: опционально через внешнее управление рисками
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- Сложность: базовая

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