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Batman ATR Trailing Stop Strategy

This strategy implements an ATR-based trailing stop approach inspired by the original "Batman" Expert Advisor. It tracks dynamic support and resistance levels derived from the Average True Range (ATR) indicator and reacts when the price crosses these levels.

Logic

  1. Calculate ATR with the configurable period.
  2. Determine support and resistance:
    • support = price - ATR * factor
    • resistance = price + ATR * factor
  3. Maintain the closest support or resistance depending on the current trend.
  4. When price breaks above the resistance, open a long position.
  5. When price breaks below the support, open a short position.

The price can be either the close price or the typical price (high + low + close) / 3.

Parameters

Name Description
ATR Period Period of the ATR indicator.
ATR Factor Multiplier applied to the ATR value to build the stop lines.
Use Typical Price If enabled, uses (High + Low + Close)/3 instead of the close price.
Candle Type Type of candles used for calculations.

Notes

  • The strategy uses the high-level API with SubscribeCandles and Bind.
  • StartProtection() is called on start to ensure position safety.
  • Trading is performed only on finished candles.
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 ATR trailing stop similar to "Batman" EA.
/// Opens long when price breaks above ATR-based support.
/// Opens short when price breaks below ATR-based resistance.
/// </summary>
public class BatmanAtrTrailingStopStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _factor;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _levelUp;
	private decimal _levelDown;
	private int _direction;
	private bool _isInitialized;

	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal Factor { get => _factor.Value; set => _factor.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BatmanAtrTrailingStopStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR indicator period", "General");

		_factor = Param(nameof(Factor), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Factor", "Multiplier for ATR distance", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_levelUp = 0;
		_levelDown = 0;
		_direction = 1;
		_isInitialized = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var stdev = new StandardDeviation { Length = AtrPeriod };
		SubscribeCandles(CandleType).Bind(stdev, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;
		var currUp = close - stdevValue * Factor;
		var currDown = close + stdevValue * Factor;

		if (!_isInitialized)
		{
			_levelUp = currUp;
			_levelDown = currDown;
			_isInitialized = true;
			return;
		}

		if (_direction == 1)
		{
			if (currUp > _levelUp)
				_levelUp = currUp;

			if (candle.LowPrice < _levelUp)
			{
				_direction = -1;
				_levelDown = currDown;
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}
		else
		{
			if (currDown < _levelDown)
				_levelDown = currDown;

			if (candle.HighPrice > _levelDown)
			{
				_direction = 1;
				_levelUp = currUp;
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
		}
	}
}