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Three Line Break Strategy

Strategy that trades reversals detected by the Three Line Break indicator. The indicator compares the current high and low against the highest high and lowest low of the previous N completed candles. A breakout above the recent high during a downtrend signals a new uptrend and triggers a long entry; a breakdown below the recent low during an uptrend triggers a short entry. Positions are reversed on each signal.

Details

  • Entry Criteria:
    • Long: Downtrend switches to Uptrend
    • Short: Uptrend switches to Downtrend
  • Long/Short: Both
  • Exit Criteria: Opposite signal (position reversal)
  • Stops: No
  • Default Values:
    • LinesBreak = 3
    • CandleType = TimeSpan.FromHours(12).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Highest, Lowest (Three Line Break logic)
    • Stops: No
    • Complexity: Basic
    • Timeframe: Swing
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
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 the Three Line Break pattern.
/// Detects trend reversals when price breaks above/below recent N-bar high/low.
/// </summary>
public class ThreeLineBreakStrategy : Strategy
{
	private readonly StrategyParam<int> _linesBreak;
	private readonly StrategyParam<DataType> _candleType;

	private Lowest _lowest;
	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _trendUp = true;

	public int LinesBreak { get => _linesBreak.Value; set => _linesBreak.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ThreeLineBreakStrategy()
	{
		_linesBreak = Param(nameof(LinesBreak), 3)
			.SetGreaterThanZero()
			.SetDisplay("Lines Break", "Number of lines for trend detection", "General");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_lowest = null;
		_prevHigh = 0;
		_prevLow = 0;
		_trendUp = true;
	}

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

		var highest = new Highest { Length = LinesBreak };
		_lowest = new Lowest { Length = LinesBreak };
		Indicators.Add(_lowest);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(highest, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, highest);
			DrawOwnTrades(area);
		}
	}

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

		var lowValue = _lowest.Process(highValue);

		if (!highValue.IsFormed || !lowValue.IsFormed)
			return;

		var currentHigh = highValue.GetValue<decimal>();
		var currentLow = lowValue.GetValue<decimal>();

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevHigh = currentHigh;
			_prevLow = currentLow;
			return;
		}

		if (_prevHigh == 0 || _prevLow == 0)
		{
			_prevHigh = currentHigh;
			_prevLow = currentLow;
			return;
		}

		var trendUp = _trendUp;

		if (trendUp && candle.LowPrice < _prevLow)
			trendUp = false;
		else if (!trendUp && candle.HighPrice > _prevHigh)
			trendUp = true;

		if (trendUp != _trendUp)
		{
			if (trendUp && Position <= 0)
				BuyMarket();
			else if (!trendUp && Position >= 0)
				SellMarket();
		}

		_trendUp = trendUp;
		_prevHigh = currentHigh;
		_prevLow = currentLow;
	}
}