In fact, I created a new environment with the package amsthm in LuaLaTeX like this :
\newtheoremstyle{exa}
{\topsep}{\topsep}
{}
{0pt}
{\strut\bfseries}
{}
{\newline}
{\rule[0pt]{1mm}{1mm} \thmname{#1}\thmnumber{ \textup
{#2}}\thmnote{ \textnormal{(#3)}}}
\theoremstyle{exa}
\newtheorem{ex}{Exercice}
I try to do the same with ConteXt.
@Wolfgang The paragraph should find the following line, and not on the same line of text.