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Elite eFibo Trader Strategy

Overview

The Elite eFibo Trader Strategy is a conversion of the MQL5 expert advisor "Elite eFibo Trader". It implements a Fibonacci-based averaging grid that opens an initial market position and layers additional stop orders at fixed distances. The strategy operates on tick data and automatically manages trailing stops as the grid expands.

How It Works

  1. When no positions or pending orders are active and trading is allowed, the strategy starts a new cycle in the selected direction (buy or sell).
  2. The first order is sent at market using the volume configured for LotsLevel1. Thirteen additional stop orders are placed at multiples of LevelDistance from the current price. Their volumes follow the Fibonacci sequence defined by LotsLevel2 … LotsLevel14.
  3. Each executed order sets an individual stop level StopLossPoints away from its entry price. The highest (for long positions) or lowest (for short positions) of these stops becomes the active trailing level for every open position.
  4. If price hits the trailing level, the entire position is closed and all remaining pending orders are cancelled.
  5. Unrealized profit is monitored in account currency. Once it reaches MoneyTakeProfit, the grid is closed. Depending on TradeAgainAfterProfit, the strategy either restarts automatically or waits for manual reactivation.

The strategy requires tick-level market data through SubscribeTrades() and expects that only one direction (OpenBuy xor OpenSell) is enabled at a time.

Parameters

  • OpenBuy – enables the long-only version of the grid.
  • OpenSell – enables the short-only version of the grid.
  • TradeAgainAfterProfit – automatically starts a new cycle after taking profit.
  • LevelDistance – spacing between pending orders, measured in security price steps.
  • StopLossPoints – stop-loss distance from each entry, measured in price steps.
  • MoneyTakeProfit – unrealized profit target expressed in account currency.
  • LotsLevel1 … LotsLevel14 – individual volumes for each grid level. Default values follow the Fibonacci sequence (1, 1, 2, 3, 5, …, 377).

Trading Logic Details

  • Price offsets are calculated with the instrument PriceStep; if it is zero the strategy will not place orders.
  • Only one trading cycle is active at a time. All pending orders are created at cycle start and remain until executed or explicitly cancelled.
  • Trailing stops are recalculated whenever a new grid level is filled or portions of the position are closed. This ensures that every order shares the best available protective level.
  • Profit control is based on floating PnL derived from Position, PositionPrice, PriceStep, and StepPrice.
  • When TradeAgainAfterProfit is disabled, the strategy stays inactive after reaching the money target until the parameter is toggled back manually.

Usage Notes

  • Configure the correct direction before starting (long or short). Enabling both directions simultaneously prevents the grid from launching.
  • Adjust level distances and volumes according to the instrument’s volatility and contract size. Large Fibonacci volumes create aggressive scaling and should be tested carefully on historical data.
  • Ensure the trading account and broker support stop orders at the calculated price levels; otherwise, orders may be rejected.
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>
/// Elite eFibo Trader grid strategy converted from MQL5.
/// Builds a Fibonacci-based sequence of market entries at price levels.
/// Buys or sells at progressively worse prices with increasing volume (Fibonacci sequence).
/// Exits when total PnL target is reached or stop loss is hit.
/// </summary>
public class EliteEFiboTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _levelsCount;
	private readonly StrategyParam<bool> _openBuy;
	private readonly StrategyParam<bool> _openSell;
	private readonly StrategyParam<decimal> _levelDistance;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;
	private int _currentLevel;
	private int _activeDirection;
	private bool _cycleActive;

	// Fibonacci volumes for grid levels
	private static readonly decimal[] FibVolumes = { 1, 1, 2, 3, 5, 8, 13, 21, 34, 55 };

	/// <summary>
	/// Enable buy-only mode.
	/// </summary>
	public bool OpenBuy
	{
		get => _openBuy.Value;
		set => _openBuy.Value = value;
	}

	/// <summary>
	/// Enable sell-only mode.
	/// </summary>
	public bool OpenSell
	{
		get => _openSell.Value;
		set => _openSell.Value = value;
	}

	/// <summary>
	/// Number of Fibonacci grid levels.
	/// </summary>
	public int LevelsCount
	{
		get => _levelsCount.Value;
		set => _levelsCount.Value = value;
	}

	/// <summary>
	/// Distance between successive pending levels in price steps.
	/// </summary>
	public decimal LevelDistance
	{
		get => _levelDistance.Value;
		set => _levelDistance.Value = value;
	}

	/// <summary>
	/// Stop-loss size in price steps.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Take profit size in price steps.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public EliteEFiboTraderStrategy()
	{
		_levelsCount = Param(nameof(LevelsCount), 6)
			.SetGreaterThanZero()
			.SetDisplay("Levels Count", "Number of Fibonacci levels", "Grid");

		_openBuy = Param(nameof(OpenBuy), true)
			.SetDisplay("Open Buy", "Enable buying", "General");

		_openSell = Param(nameof(OpenSell), true)
			.SetDisplay("Open Sell", "Enable selling", "General");

		_levelDistance = Param(nameof(LevelDistance), 50m)
			.SetGreaterThanZero()
			.SetDisplay("Level Distance", "Distance between orders in price steps", "Grid");

		_stopLossPoints = Param(nameof(StopLossPoints), 200m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop-loss size in price steps", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 100m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take profit size in price steps", "Risk");

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

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

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

		_cycleActive = false;
		_currentLevel = 0;
		_activeDirection = 0;
		_entryPrice = 0;

		var sma = new SMA { Length = 20 };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var step = Security.PriceStep ?? 1m;

		if (!_cycleActive && Position == 0)
		{
			// Start a new cycle based on trend direction
			if (OpenBuy && close > smaValue)
			{
				_activeDirection = 1;
				_entryPrice = close;
				_currentLevel = 0;
				_cycleActive = true;
				BuyMarket();
			}
			else if (OpenSell && close < smaValue)
			{
				_activeDirection = -1;
				_entryPrice = close;
				_currentLevel = 0;
				_cycleActive = true;
				SellMarket();
			}
		}
		else if (_cycleActive)
		{
			var stopDistance = StopLossPoints * step;
			var tpDistance = TakeProfitPoints * step;
			var levelDist = LevelDistance * step;

			// Check stop loss
			if (_activeDirection == 1 && close <= _entryPrice - stopDistance)
			{
				SellMarket(Math.Abs(Position));
				ResetCycle();
				return;
			}
			else if (_activeDirection == -1 && close >= _entryPrice + stopDistance)
			{
				BuyMarket(Math.Abs(Position));
				ResetCycle();
				return;
			}

			// Check take profit
			if (_activeDirection == 1 && close >= _entryPrice + tpDistance)
			{
				SellMarket(Math.Abs(Position));
				ResetCycle();
				return;
			}
			else if (_activeDirection == -1 && close <= _entryPrice - tpDistance)
			{
				BuyMarket(Math.Abs(Position));
				ResetCycle();
				return;
			}

			// Check for grid level additions (averaging into losing positions)
			var nextLevel = _currentLevel + 1;
			if (nextLevel < LevelsCount && nextLevel < FibVolumes.Length)
			{
				if (_activeDirection == 1 && close <= _entryPrice - levelDist * nextLevel)
				{
					BuyMarket(FibVolumes[nextLevel]);
					_currentLevel = nextLevel;
				}
				else if (_activeDirection == -1 && close >= _entryPrice + levelDist * nextLevel)
				{
					SellMarket(FibVolumes[nextLevel]);
					_currentLevel = nextLevel;
				}
			}
		}
	}

	private void ResetCycle()
	{
		_cycleActive = false;
		_currentLevel = 0;
		_activeDirection = 0;
		_entryPrice = 0;
	}
}