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2pb Ideal MA Re-Open Strategy

Overview

  • Implements the MQL expert "Exp_2pbIdealMA_ReOpen" using the StockSharp high level API.
  • Trades a contrarian crossover between a single ideal moving average and a triple-staged ideal moving average.
  • Adds to winning positions when price advances by a configurable number of ticks and optionally closes positions on opposite signals.

Indicators

  • 2pb Ideal 1 MA – single ideal moving average with two weighting periods. It reacts quickly and defines the short-term bias.
  • 2pb Ideal 3 MA – triple cascade of the same ideal filter (stages X, Y, Z). It reacts slower and represents the background trend.

Trading logic

  1. Subscribe to the selected candle series (default H4) and evaluate signals on finished candles only.
  2. Store filter values SignalBarShift bars back (default 1). Use the pair of values at shifts SignalBarShift and SignalBarShift + 1 to detect crossings.
  3. Long entry – when the fast filter was above the slow filter two bars ago and fell below it one bar ago (bearish cross), open a long position if long trading is enabled and no position is open.
  4. Short entry – when the fast filter was below the slow filter two bars ago and rose above it one bar ago (bullish cross), open a short position if short trading is enabled and no position is open.
  5. Re-entries – while a position is profitable, add one more order of PositionVolume once price moves by PriceStepTicks * Security.PriceStep in the trade direction. The number of add-ons per direction is limited by MaxReEntries.
  6. Exits – if the opposite crossover appears and the respective exit flag is enabled, close the open position before considering new entries.
  7. Apply optional stop loss and take profit using the configured tick distances.

Parameters

  • CandleType – timeframe of the working candle series.
  • PositionVolume – base volume for entries and re-entries (also assigned to Strategy.Volume).
  • StopLossTicks / TakeProfitTicks – protective distances expressed in ticks; converted to price using Security.PriceStep.
  • PriceStepTicks – number of ticks required between successive re-entry orders.
  • MaxReEntries – maximum number of add-on trades per direction.
  • EnableBuyEntries / EnableSellEntries – allow opening long or short positions.
  • EnableBuyExits / EnableSellExits – close existing positions when the opposite signal appears.
  • SignalBarShift – number of bars back used to evaluate the crossover (mimics the original SignalBar).
  • Period1, Period2 – weights for the single ideal moving average.
  • PeriodX1, PeriodX2, PeriodY1, PeriodY2, PeriodZ1, PeriodZ2 – weights for each stage of the triple ideal moving average.

Risk management

  • Stop loss and take profit protections are activated through StartProtection if the corresponding tick distances are greater than zero.
  • The strategy does not place new trades while an opposite position is still open, mirroring the MQL behaviour.

Notes

  • Works with any instrument that provides Security.PriceStep; default configuration targets H4 candles.
  • No Python port is provided, matching the original request.
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>
/// Contrarian strategy based on the 2pb Ideal Moving Average filters.
/// Opens trades on crossings between the single and triple smoothed filters
/// and re-enters the trend when price advances by a configured number of ticks.
/// </summary>
public class TwoPbIdealMaReOpenStrategy : Strategy
{
	private readonly StrategyParam<decimal> _positionVolume;
	private readonly StrategyParam<int> _stopLossTicks;
	private readonly StrategyParam<int> _takeProfitTicks;
	private readonly StrategyParam<int> _priceStepTicks;
	private readonly StrategyParam<int> _maxReEntries;
	private readonly StrategyParam<bool> _enableBuyEntries;
	private readonly StrategyParam<bool> _enableSellEntries;
	private readonly StrategyParam<bool> _enableBuyExits;
	private readonly StrategyParam<bool> _enableSellExits;
	private readonly StrategyParam<int> _signalBarShift;
	private readonly StrategyParam<int> _period1;
	private readonly StrategyParam<int> _period2;
	private readonly StrategyParam<int> _periodX1;
	private readonly StrategyParam<int> _periodX2;
	private readonly StrategyParam<int> _periodY1;
	private readonly StrategyParam<int> _periodY2;
	private readonly StrategyParam<int> _periodZ1;
	private readonly StrategyParam<int> _periodZ2;
	private readonly StrategyParam<DataType> _candleType;

	private IdealMovingAverage _fastMa = null!;
	private TripleIdealMovingAverage _slowMa = null!;

	private readonly List<decimal> _fastHistory = new();
	private readonly List<decimal> _slowHistory = new();

	private decimal _lastBuyPrice;
	private decimal _lastSellPrice;
	private int _buyReEntries;
	private int _sellReEntries;

	/// <summary>
	/// Initializes a new instance of <see cref="TwoPbIdealMaReOpenStrategy"/>.
	/// </summary>
	public TwoPbIdealMaReOpenStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for calculations", "General");

		_positionVolume = Param(nameof(PositionVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Position Volume", "Base order volume", "Risk");

		_stopLossTicks = Param(nameof(StopLossTicks), 1000)
			.SetNotNegative()
			.SetDisplay("Stop Loss (ticks)", "Protective stop distance in ticks", "Risk");

		_takeProfitTicks = Param(nameof(TakeProfitTicks), 2000)
			.SetNotNegative()
			.SetDisplay("Take Profit (ticks)", "Protective profit distance in ticks", "Risk");

		_priceStepTicks = Param(nameof(PriceStepTicks), 300)
			.SetNotNegative()
			.SetDisplay("Re-entry Step (ticks)", "Price advance required for re-entry", "Entries");

		_maxReEntries = Param(nameof(MaxReEntries), 10)
			.SetNotNegative()
			.SetDisplay("Max Re-entries", "Maximum number of add-on trades", "Entries");

		_enableBuyEntries = Param(nameof(EnableBuyEntries), true)
			.SetDisplay("Enable Long Entries", "Allow opening long positions", "Entries");

		_enableSellEntries = Param(nameof(EnableSellEntries), true)
			.SetDisplay("Enable Short Entries", "Allow opening short positions", "Entries");

		_enableBuyExits = Param(nameof(EnableBuyExits), true)
			.SetDisplay("Close Long Positions", "Close longs on opposite signal", "Risk");

		_enableSellExits = Param(nameof(EnableSellExits), true)
			.SetDisplay("Close Short Positions", "Close shorts on opposite signal", "Risk");

		_signalBarShift = Param(nameof(SignalBarShift), 1)
			.SetNotNegative()
			.SetDisplay("Signal Shift", "Bars back used for crossover detection", "Logic");

		_period1 = Param(nameof(Period1), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast Filter Period 1", "First weight of single filter", "Indicators");

		_period2 = Param(nameof(Period2), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast Filter Period 2", "Second weight of single filter", "Indicators");

		_periodX1 = Param(nameof(PeriodX1), 10)
			.SetGreaterThanZero()
			.SetDisplay("Stage X Period 1", "First weight of stage X", "Indicators");

		_periodX2 = Param(nameof(PeriodX2), 10)
			.SetGreaterThanZero()
			.SetDisplay("Stage X Period 2", "Second weight of stage X", "Indicators");

		_periodY1 = Param(nameof(PeriodY1), 10)
			.SetGreaterThanZero()
			.SetDisplay("Stage Y Period 1", "First weight of stage Y", "Indicators");

		_periodY2 = Param(nameof(PeriodY2), 10)
			.SetGreaterThanZero()
			.SetDisplay("Stage Y Period 2", "Second weight of stage Y", "Indicators");

		_periodZ1 = Param(nameof(PeriodZ1), 10)
			.SetGreaterThanZero()
			.SetDisplay("Stage Z Period 1", "First weight of stage Z", "Indicators");

		_periodZ2 = Param(nameof(PeriodZ2), 10)
			.SetGreaterThanZero()
			.SetDisplay("Stage Z Period 2", "Second weight of stage Z", "Indicators");
	}

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

	/// <summary>
	/// Base order size used for entries and re-entries.
	/// </summary>
	public decimal PositionVolume
	{
		get => _positionVolume.Value;
		set => _positionVolume.Value = value;
	}

	/// <summary>
	/// Stop loss distance expressed in ticks.
	/// </summary>
	public int StopLossTicks
	{
		get => _stopLossTicks.Value;
		set => _stopLossTicks.Value = value;
	}

	/// <summary>
	/// Take profit distance expressed in ticks.
	/// </summary>
	public int TakeProfitTicks
	{
		get => _takeProfitTicks.Value;
		set => _takeProfitTicks.Value = value;
	}

	/// <summary>
	/// Number of price ticks required between re-entry orders.
	/// </summary>
	public int PriceStepTicks
	{
		get => _priceStepTicks.Value;
		set => _priceStepTicks.Value = value;
	}

	/// <summary>
	/// Maximum number of additional entries allowed per direction.
	/// </summary>
	public int MaxReEntries
	{
		get => _maxReEntries.Value;
		set => _maxReEntries.Value = value;
	}

	/// <summary>
	/// Controls whether the strategy can open new long positions.
	/// </summary>
	public bool EnableBuyEntries
	{
		get => _enableBuyEntries.Value;
		set => _enableBuyEntries.Value = value;
	}

	/// <summary>
	/// Controls whether the strategy can open new short positions.
	/// </summary>
	public bool EnableSellEntries
	{
		get => _enableSellEntries.Value;
		set => _enableSellEntries.Value = value;
	}

	/// <summary>
	/// Controls whether long trades are closed when the signal reverses.
	/// </summary>
	public bool EnableBuyExits
	{
		get => _enableBuyExits.Value;
		set => _enableBuyExits.Value = value;
	}

	/// <summary>
	/// Controls whether short trades are closed when the signal reverses.
	/// </summary>
	public bool EnableSellExits
	{
		get => _enableSellExits.Value;
		set => _enableSellExits.Value = value;
	}

	/// <summary>
	/// Number of bars back that participates in crossover detection.
	/// </summary>
	public int SignalBarShift
	{
		get => _signalBarShift.Value;
		set => _signalBarShift.Value = value;
	}

	/// <summary>
	/// First weight for the single stage ideal moving average.
	/// </summary>
	public int Period1
	{
		get => _period1.Value;
		set => _period1.Value = value;
	}

	/// <summary>
	/// Second weight for the single stage ideal moving average.
	/// </summary>
	public int Period2
	{
		get => _period2.Value;
		set => _period2.Value = value;
	}

	/// <summary>
	/// First weight for the X stage of the triple filter.
	/// </summary>
	public int PeriodX1
	{
		get => _periodX1.Value;
		set => _periodX1.Value = value;
	}

	/// <summary>
	/// Second weight for the X stage of the triple filter.
	/// </summary>
	public int PeriodX2
	{
		get => _periodX2.Value;
		set => _periodX2.Value = value;
	}

	/// <summary>
	/// First weight for the Y stage of the triple filter.
	/// </summary>
	public int PeriodY1
	{
		get => _periodY1.Value;
		set => _periodY1.Value = value;
	}

	/// <summary>
	/// Second weight for the Y stage of the triple filter.
	/// </summary>
	public int PeriodY2
	{
		get => _periodY2.Value;
		set => _periodY2.Value = value;
	}

	/// <summary>
	/// First weight for the Z stage of the triple filter.
	/// </summary>
	public int PeriodZ1
	{
		get => _periodZ1.Value;
		set => _periodZ1.Value = value;
	}

	/// <summary>
	/// Second weight for the Z stage of the triple filter.
	/// </summary>
	public int PeriodZ2
	{
		get => _periodZ2.Value;
		set => _periodZ2.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_fastHistory.Clear();
		_slowHistory.Clear();
		_lastBuyPrice = 0m;
		_lastSellPrice = 0m;
		_buyReEntries = 0;
		_sellReEntries = 0;
	}

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

		_fastMa = new IdealMovingAverage
		{
			Period1 = Period1,
			Period2 = Period2
		};

		_slowMa = new TripleIdealMovingAverage
		{
			PeriodX1 = PeriodX1,
			PeriodX2 = PeriodX2,
			PeriodY1 = PeriodY1,
			PeriodY2 = PeriodY2,
			PeriodZ1 = PeriodZ1,
			PeriodZ2 = PeriodZ2
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_fastMa, _slowMa, ProcessCandle)
			.Start();

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

		StartProtection(
			new Unit(2000m, UnitTypes.Absolute),
			new Unit(1000m, UnitTypes.Absolute));

		if (PositionVolume > 0m)
			Volume = PositionVolume;
	}

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

		_fastHistory.Add(fast);
		_slowHistory.Add(slow);

		TrimHistory(_fastHistory);
		TrimHistory(_slowHistory);

		var shift = SignalBarShift;
		if (_fastHistory.Count < shift + 2 || _slowHistory.Count < shift + 2)
			return;

		var currentIndex = _fastHistory.Count - 1 - shift;
		var previousIndex = currentIndex - 1;
		if (previousIndex < 0)
			return;

		var fastCurrent = _fastHistory[currentIndex];
		var fastPrevious = _fastHistory[previousIndex];
		var slowCurrent = _slowHistory[currentIndex];
		var slowPrevious = _slowHistory[previousIndex];

		var bearishCross = fastPrevious > slowPrevious && fastCurrent < slowCurrent;
		var bullishCross = fastPrevious < slowPrevious && fastCurrent > slowCurrent;

		if (EnableBuyExits && bullishCross && Position > 0)
		{
			SellMarket();
			ResetLongState();
		}

		if (EnableSellExits && bearishCross && Position < 0)
		{
			BuyMarket();
			ResetShortState();
		}

		var step = Security?.PriceStep ?? 1m;
		var reEntryDistance = PriceStepTicks * step;

		if (PriceStepTicks > 0 && reEntryDistance > 0m)
		{
			if (Position > 0 && _buyReEntries < MaxReEntries)
			{
				var advance = candle.ClosePrice - _lastBuyPrice;
				if (advance >= reEntryDistance)
				{
					BuyMarket();
					_buyReEntries++;
					_lastBuyPrice = candle.ClosePrice;
				}
			}
			else if (Position < 0 && _sellReEntries < MaxReEntries)
			{
				var advance = _lastSellPrice - candle.ClosePrice;
				if (advance >= reEntryDistance)
				{
					SellMarket();
					_sellReEntries++;
					_lastSellPrice = candle.ClosePrice;
				}
			}
		}

		if (bearishCross && EnableBuyEntries && Position == 0)
		{
			BuyMarket(PositionVolume);
			_lastBuyPrice = candle.ClosePrice;
			_buyReEntries = 0;
			_sellReEntries = 0;
		}
		else if (bullishCross && EnableSellEntries && Position == 0)
		{
			SellMarket();
			_lastSellPrice = candle.ClosePrice;
			_sellReEntries = 0;
			_buyReEntries = 0;
		}
	}

	private void TrimHistory(List<decimal> history)
	{
		var maxCount = Math.Max(SignalBarShift + 2, 3);
		while (history.Count > maxCount)
			history.RemoveAt(0);
	}

	private void ResetLongState()
	{
		_lastBuyPrice = 0m;
		_buyReEntries = 0;
	}

	private void ResetShortState()
	{
		_lastSellPrice = 0m;
		_sellReEntries = 0;
	}

	private sealed class IdealMovingAverage : BaseIndicator
	{
		public int Period1 { get; set; } = 10;
		public int Period2 { get; set; } = 10;

		private bool _initialized;
		private decimal _previousPrice;
		private decimal _previousValue;

		protected override IIndicatorValue OnProcess(IIndicatorValue input)
		{
			var price = input.ToDecimal();

			if (!_initialized)
			{
				_initialized = true;
				_previousPrice = price;
				_previousValue = price;
				IsFormed = false;
				return new DecimalIndicatorValue(this, price, input.Time);
			}

			var weight1 = 1m / Math.Max(Period1, 1);
			var weight2 = 1m / Math.Max(Period2, 1);

			var diff = price - _previousPrice;
			var diffSquaredMinusOne = diff * diff - 1m;
			var denominator = 1m + weight2 * diffSquaredMinusOne;

			decimal result;
			if (denominator == 0m)
			{
				result = price;
			}
			else
			{
				var numerator = weight1 * (price - _previousValue) + _previousValue + weight2 * _previousValue * diffSquaredMinusOne;
				result = numerator / denominator;
			}

			_previousPrice = price;
			_previousValue = result;
			IsFormed = true;

			return new DecimalIndicatorValue(this, result, input.Time);
		}

		public override void Reset()
		{
			base.Reset();
			_initialized = false;
			_previousPrice = 0m;
			_previousValue = 0m;
		}
	}

	private sealed class TripleIdealMovingAverage : BaseIndicator
	{
		public int PeriodX1 { get; set; } = 10;
		public int PeriodX2 { get; set; } = 10;
		public int PeriodY1 { get; set; } = 10;
		public int PeriodY2 { get; set; } = 10;
		public int PeriodZ1 { get; set; } = 10;
		public int PeriodZ2 { get; set; } = 10;

		private bool _initialized;
		private decimal _previousPrice;
		private decimal _previousX;
		private decimal _previousY;
		private decimal _previousZ;

		protected override IIndicatorValue OnProcess(IIndicatorValue input)
		{
			var price = input.ToDecimal();

			if (!_initialized)
			{
				_initialized = true;
				_previousPrice = price;
				_previousX = price;
				_previousY = price;
				_previousZ = price;
				IsFormed = false;
				return new DecimalIndicatorValue(this, price, input.Time);
			}

			var weightX1 = 1m / Math.Max(PeriodX1, 1);
			var weightX2 = 1m / Math.Max(PeriodX2, 1);
			var weightY1 = 1m / Math.Max(PeriodY1, 1);
			var weightY2 = 1m / Math.Max(PeriodY2, 1);
			var weightZ1 = 1m / Math.Max(PeriodZ1, 1);
			var weightZ2 = 1m / Math.Max(PeriodZ2, 1);

			var x = Calculate(weightX1, weightX2, _previousPrice, price, _previousX);
			var y = Calculate(weightY1, weightY2, _previousX, x, _previousY);
			var z = Calculate(weightZ1, weightZ2, _previousY, y, _previousZ);

			_previousPrice = price;
			_previousX = x;
			_previousY = y;
			_previousZ = z;
			IsFormed = true;

			return new DecimalIndicatorValue(this, z, input.Time);
		}

		public override void Reset()
		{
			base.Reset();
			_initialized = false;
			_previousPrice = 0m;
			_previousX = 0m;
			_previousY = 0m;
			_previousZ = 0m;
		}

		private static decimal Calculate(decimal weight1, decimal weight2, decimal previousInput, decimal currentInput, decimal previousValue)
		{
			var diff = currentInput - previousInput;
			var diffSquaredMinusOne = diff * diff - 1m;
			var denominator = 1m + weight2 * diffSquaredMinusOne;

			if (denominator == 0m)
				return currentInput;

			var numerator = weight1 * (currentInput - previousValue) + previousValue + weight2 * previousValue * diffSquaredMinusOne;
			return numerator / denominator;
		}
	}
}