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EURUSD V2.0 Strategy

Mean-reversion system for EURUSD using a long-term simple moving average (SMA) and volatility filter based on Average True Range (ATR).

Strategy Logic

  • Calculate an SMA of length MA Length on the chosen candle type.
  • Enter short when price is above the SMA and pulls back within Buffer pips while ATR is below ATR Threshold.
  • Enter long when price is below the SMA and approaches it within Buffer pips with low ATR.
  • Position size is derived from account balance and Risk Factor Z.
  • Stop-loss and take-profit are placed in fixed pip distances from entry.
  • After exit, the system waits for price to move Noise Filter pips away from the entry level before a new trade is allowed.

Parameters

  • MA Length – period for the simple moving average (default 218).
  • Buffer (pips) – maximum distance from SMA to trigger entry (default 0).
  • Stop Loss (pips) – stop loss distance from entry (default 20).
  • Take Profit (pips) – take profit distance from entry (default 350).
  • Noise Filter (pips) – distance to reset trading permission (default 50).
  • ATR Length – ATR calculation period (default 200).
  • ATR Threshold (pips) – maximum ATR to allow new positions (default 40).
  • Max Spread (pips) – maximum allowed spread (default 4).
  • Risk Factor Z – money management factor (default 2).
  • Candle Type – timeframe of processed candles (default 15 minutes).

This strategy uses market orders for entries and exits.

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>
/// SMA mean-reversion strategy with ATR filter.
/// Buys below SMA, sells above SMA when ATR confirms range conditions.
/// </summary>
public class EurusdV20Strategy : Strategy
{
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;

	public int MaLength { get => _maLength.Value; set => _maLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public EurusdV20Strategy()
	{
		_maLength = Param(nameof(MaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "SMA period", "General");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period", "Indicators");

		_takeProfit = Param(nameof(TakeProfit), 500m)
			.SetDisplay("Take Profit", "Take profit in price units", "Risk");

		_stopLoss = Param(nameof(StopLoss), 300m)
			.SetDisplay("Stop Loss", "Stop loss in price units", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0;
	}

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

		var sma = new SimpleMovingAverage { Length = MaLength };

		var sub = SubscribeCandles(CandleType);
		sub.Bind(sma, ProcessCandle).Start();
	}

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

		var close = candle.ClosePrice;

		// Exit management
		if (Position > 0)
		{
			if (close - _entryPrice >= TakeProfit || _entryPrice - close >= StopLoss)
			{
				SellMarket();
				_entryPrice = 0;
				return;
			}
		}
		else if (Position < 0)
		{
			if (_entryPrice - close >= TakeProfit || close - _entryPrice >= StopLoss)
			{
				BuyMarket();
				_entryPrice = 0;
				return;
			}
		}

		if (Position != 0)
			return;

		// Mean reversion: buy below SMA, sell above SMA
		var dist = Math.Abs(close - smaValue);
		if (dist < smaValue * 0.002m)
			return;

		if (close < smaValue)
		{
			BuyMarket();
			_entryPrice = close;
		}
		else if (close > smaValue)
		{
			SellMarket();
			_entryPrice = close;
		}
	}
}