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Trend Arrows Strategy

This strategy trades breakouts when the closing price moves beyond recent extremes. It calculates the highest and lowest closing prices over a configurable period. A new uptrend is detected when the close exceeds the recent high, while a downtrend starts when the close drops below the recent low.

When a new uptrend is detected, existing short positions can be closed and optional long positions opened. Conversely, a new downtrend allows closing long positions and optionally opening shorts. The strategy processes finished candles only and uses StockSharp's high level API.

Parameters

  • Period – number of bars to determine recent extremes.
  • Candle Type – timeframe of candles.
  • Open Long – allow opening long positions.
  • Open Short – allow opening short positions.
  • Close Long – allow closing long positions.
  • Close Short – allow closing short positions.

Logic

  1. Subscribe to candle data of the selected timeframe.
  2. Track highest and lowest closes over the period using Highest and Lowest indicators.
  3. When price breaks above the highest close, signal an uptrend; when below the lowest close, signal a downtrend.
  4. Enter or exit positions according to the new trend and enabled options.
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>
/// Trend arrows strategy based on breakouts of recent extremes.
/// Detects when price moves above the highest close or below the lowest close
/// over the specified period and trades in the direction of the breakout.
/// </summary>
public class TrendArrowsStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<DataType> _candleType;

	private bool _prevTrendUp;
	private bool _prevTrendDown;
	private decimal? _prevHighest;
	private decimal? _prevLowest;

	public int Period { get => _period.Value; set => _period.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TrendArrowsStrategy()
	{
		_period = Param(nameof(Period), 15)
			.SetDisplay("Period", "Number of bars for extreme calculation", "Parameters")
			.SetOptimize(5, 30, 5);

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevTrendUp = false;
		_prevTrendDown = false;
		_prevHighest = null;
		_prevLowest = null;
	}

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

		_prevTrendUp = false;
		_prevTrendDown = false;
		_prevHighest = null;
		_prevLowest = null;

		var highest = new Highest { Length = Period };
		var lowest = new Lowest { Length = Period };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Use previous bar's highest/lowest to detect breakout
		if (_prevHighest is null || _prevLowest is null)
		{
			_prevHighest = highestVal;
			_prevLowest = lowestVal;
			return;
		}

		var trendUp = false;
		var trendDown = false;

		if (candle.ClosePrice > _prevHighest.Value)
			trendUp = true;
		else if (candle.ClosePrice < _prevLowest.Value)
			trendDown = true;
		else
		{
			trendUp = _prevTrendUp;
			trendDown = _prevTrendDown;
		}

		// Buy when up trend appears
		if (!_prevTrendUp && trendUp && Position <= 0)
			BuyMarket();

		// Sell when down trend appears
		if (!_prevTrendDown && trendDown && Position >= 0)
			SellMarket();

		_prevTrendUp = trendUp;
		_prevTrendDown = trendDown;
		_prevHighest = highestVal;
		_prevLowest = lowestVal;
	}
}