Deutsch DE
Auf GitHub ansehen

e_RP_250 Reverse Point Strategy

This strategy is a StockSharp port of the MetaTrader 5 expert advisor e_RP_250. The original system trades reversals detected by a custom rPoint indicator. Because that indicator is not available inside StockSharp, the conversion recreates the same behaviour with rolling highest and lowest price trackers. Whenever a new swing high or swing low appears, the strategy reverses the position and attaches the same stop-loss, take-profit and optional trailing logic as the MQL version.

The original source did not publish verified performance results, so you should perform your own evaluation before deploying the strategy in production.

Trading logic

  • Subscribe to candles defined by the CandleType parameter (5-minute candles by default).
  • Track the highest high and lowest low across the last ReversePoint bars (250 by default).
  • When the current candle sets a new highest high, close any long position and open a short position.
  • When the current candle sets a new lowest low, close any short position and open a long position.
  • Protective stop-loss and take-profit levels are expressed in price points and are reproduced through StartProtection.
  • Optional trailing stops lock in profits once price moves by the configured number of points.

Only one position is active at any time. The strategy also blocks duplicate orders during the same candle by remembering the last execution time, replicating the TimeN safeguard from the MQL script.

Parameters

Parameter Description
TakeProfitPoints Distance in price points for the take-profit order (default 15). Set to zero to disable automatic profit taking.
StopLossPoints Distance in price points for the stop-loss order (default 999). Set to zero to trade without a fixed stop.
TrailingStopPoints Optional trailing stop distance in price points (default 0 disables the trailing logic).
ReversePoint Number of candles used to detect reversal points. Larger values react slower but filter out noise.
CandleType Candle aggregation to analyse. Default is a 5-minute time frame but you can switch to any DataType.

Position management

  • StartProtection applies the same stop-loss and take-profit distances as the MT5 expert.
  • The trailing stop tracks the most favourable price after entry and exits when price reverts by the configured amount.
  • Reversal signals from the opposite side immediately close the current position before opening a new one.

Usage notes

  • Make sure the data source supports the selected candle type, otherwise no signals will be generated.
  • The strategy relies on decimal prices. Verify that the security's PriceStep property correctly reflects the point value.
  • Test different ReversePoint values to adapt the breakout sensitivity to the volatility of the traded instrument.
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>
/// Reverse point breakout strategy converted from the e_RP_250 MQL script.
/// </summary>
public class ERp250Strategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _trailingStopPoints;
	private readonly StrategyParam<int> _reversePoint;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _highest;
	private Lowest _lowest;

	private decimal _latestHighSignal;
	private decimal _latestLowSignal;
	private decimal _lastExecutedHigh;
	private decimal _lastExecutedLow;
	private DateTimeOffset? _lastSignalTime;
	private decimal? _bestLongPrice;
	private decimal? _bestShortPrice;
	private decimal _trailingDistance;

	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	public decimal TrailingStopPoints
	{
		get => _trailingStopPoints.Value;
		set => _trailingStopPoints.Value = value;
	}

	public int ReversePoint
	{
		get => _reversePoint.Value;
		set => _reversePoint.Value = value;
	}

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

	public ERp250Strategy()
	{
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 15m)
			.SetDisplay("Take Profit Points", "Take profit distance in price points", "Risk")
			;

		_stopLossPoints = Param(nameof(StopLossPoints), 999m)
			.SetDisplay("Stop Loss Points", "Stop loss distance in price points", "Risk")
			;

		_trailingStopPoints = Param(nameof(TrailingStopPoints), 0m)
			.SetDisplay("Trailing Stop Points", "Trailing stop distance in price points", "Risk")
			;

		_reversePoint = Param(nameof(ReversePoint), 400)
			.SetDisplay("Reverse Point Length", "Candles used to confirm reversal points", "Signals")
			.SetGreaterThanZero()
			;

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

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

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

		_highest = null;
		_lowest = null;
		_latestHighSignal = 0m;
		_latestLowSignal = 0m;
		_lastExecutedHigh = 0m;
		_lastExecutedLow = 0m;
		_lastSignalTime = null;
		_bestLongPrice = null;
		_bestShortPrice = null;
		_trailingDistance = 0m;
	}

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

		_highest = new Highest { Length = ReversePoint };
		_lowest = new Lowest { Length = ReversePoint };

		var step = Security?.PriceStep ?? 1m;
		if (step <= 0m)
			step = 1m;

		var takeDistance = TakeProfitPoints > 0m ? step * TakeProfitPoints : 0m;
		var stopDistance = StopLossPoints > 0m ? step * StopLossPoints : 0m;
		_trailingDistance = TrailingStopPoints > 0m ? step * TrailingStopPoints : 0m;

		// Enable protective orders that match the original stop and take-profit distances.
		StartProtection(
			takeDistance > 0m ? new Unit(takeDistance, UnitTypes.Absolute) : default,
			stopDistance > 0m ? new Unit(stopDistance, UnitTypes.Absolute) : default
		);

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

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

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

		var highValue = _highest.Process(new DecimalIndicatorValue(_highest, candle.HighPrice, candle.OpenTime) { IsFinal = true }).ToNullableDecimal();
		var lowValue = _lowest.Process(new DecimalIndicatorValue(_lowest, candle.LowPrice, candle.OpenTime) { IsFinal = true }).ToNullableDecimal();

		if (highValue is null || lowValue is null)
			return;

		// Update the latest reversal levels detected by the rolling highest/lowest indicators.
		if (highValue.Value == candle.HighPrice)
			_latestHighSignal = candle.HighPrice;

		if (lowValue.Value == candle.LowPrice)
			_latestLowSignal = candle.LowPrice;

		// Manage an existing long position by trailing profits and reacting to opposite signals.
		if (Position > 0)
		{
			_bestLongPrice = (_bestLongPrice is null || candle.HighPrice > _bestLongPrice) ? candle.HighPrice : _bestLongPrice;

			if (_trailingDistance > 0m && _bestLongPrice is decimal bestLong && bestLong - candle.ClosePrice >= _trailingDistance)
			{
				SellMarket();
				_bestLongPrice = null;
				return;
			}

			if (_latestHighSignal != 0m && _latestHighSignal != _lastExecutedHigh)
			{
				SellMarket();
				_bestLongPrice = null;
				return;
			}
		}
		else if (Position < 0)
		{
			_bestShortPrice = (_bestShortPrice is null || candle.LowPrice < _bestShortPrice) ? candle.LowPrice : _bestShortPrice;

			if (_trailingDistance > 0m && _bestShortPrice is decimal bestShort && candle.ClosePrice - bestShort >= _trailingDistance)
			{
				BuyMarket();
				_bestShortPrice = null;
				return;
			}

			if (_latestLowSignal != 0m && _latestLowSignal != _lastExecutedLow)
			{
				BuyMarket();
				_bestShortPrice = null;
				return;
			}
		}
		else
		{
			_bestLongPrice = null;
			_bestShortPrice = null;
		}

		if (Position != 0)
			return;

		// Avoid placing more than one order within the same candle.
		if (_lastSignalTime == candle.OpenTime)
			return;

		// Execute a new short position when a fresh reversal high is detected.
		if (_latestHighSignal != 0m && _latestHighSignal != _lastExecutedHigh)
		{
			SellMarket();
			_lastExecutedHigh = _latestHighSignal;
			_lastSignalTime = candle.OpenTime;
			_bestShortPrice = candle.ClosePrice;
			_bestLongPrice = null;
			return;
		}

		// Execute a new long position when a fresh reversal low is detected.
		if (_latestLowSignal != 0m && _latestLowSignal != _lastExecutedLow)
		{
			BuyMarket();
			_lastExecutedLow = _latestLowSignal;
			_lastSignalTime = candle.OpenTime;
			_bestLongPrice = candle.ClosePrice;
			_bestShortPrice = null;
		}
	}
}