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UltraFATL Threshold Strategy

This strategy uses the UltraFATL oscillator to detect shifts in trend strength. The indicator outputs discrete levels from 0 to 8. A long position is opened when the previous value is above level 4 and the current value falls below 5 while staying positive. A short position is opened when the previous value is below 5 but above zero and the current value rises above 4. The algorithm works on 4‑hour candles by default but the timeframe can be adjusted.

The approach expects trend continuation after a pullback from extreme UltraFATL readings. Positions are reversed when the opposite condition appears.

Details

  • Entry Criteria:
    • Long: UltraFATL(prev) > 4 and UltraFATL(curr) < 5 and UltraFATL(curr) != 0.
    • Short: UltraFATL(prev) < 5 and UltraFATL(prev) != 0 and UltraFATL(curr) > 4.
  • Long/Short: Both sides.
  • Exit Criteria: Opposite signal reverses the position.
  • Stops: Not used by default.
  • Default Values:
    • Candle Type = 4‑hour candles.
    • Length = 3.
    • Signal Bar = 1 (use previous bar for signals).
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Single (UltraFATL)
    • Stops: No
    • Complexity: Medium
    • Timeframe: Medium-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Moderate
using System;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on UltraFATL-style threshold signals.
/// </summary>
public class UltraFatlStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<int> _signalBar;

	private decimal _prevValue;
	private bool _isInitialized;

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

	/// <summary>
	/// Smoothing period.
	/// </summary>
	public int Length
	{
		get => _length.Value;
		set => _length.Value = value;
	}

	/// <summary>
	/// Bar index used for signal calculation.
	/// </summary>
	public int SignalBar
	{
		get => _signalBar.Value;
		set => _signalBar.Value = value;
	}

	/// <summary>
	/// Initialize the UltraFATL strategy.
	/// </summary>
	public UltraFatlStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_length = Param(nameof(Length), 8)
			.SetDisplay("Length", "Smoothing period", "UltraFATL")
			.SetOptimize(4, 20, 1);

		_signalBar = Param(nameof(SignalBar), 1)
			.SetDisplay("Signal Bar", "Bar index for signal calculation", "UltraFATL");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevValue = 0m;
		_isInitialized = false;
	}

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

		var rsi = new RelativeStrengthIndex { Length = Length };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Map RSI to the 0..8 discrete UltraFATL-style scale.
		var current = Math.Max(0m, Math.Min(8m, rsiValue / 12.5m));

		if (!_isInitialized)
		{
			_prevValue = current;
			_isInitialized = true;
			return;
		}

		var previous = _prevValue;
		_prevValue = current;

		var isBuySignal = previous >= 5m && current < 5m && current > 0m;
		var isSellSignal = previous <= 4m && current > 4m;

		if (isBuySignal && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (isSellSignal && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}