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Flat Channel Strategy (2684)

This strategy is a C# conversion of the MetaTrader 5 expert advisor Flat Channel (barabashkakvn's edition). It detects periods of low volatility (a "flat" channel) using the Standard Deviation indicator and places breakout stop orders at the channel boundaries. When price breaks out of the flat range the corresponding stop order is triggered, while the opposite order is cancelled to avoid being trapped on both sides of the market.

Core logic

  1. Volatility filter – the strategy subscribes to candles and calculates the median-price Standard Deviation. A flat phase is confirmed when the value keeps falling for at least FlatBars consecutive candles.
  2. Channel construction – once the flat phase is confirmed, the highest high and lowest low of the flat range are tracked. The channel width must stay between ChannelMinPips and ChannelMaxPips (converted to price units via the instrument tick size).
  3. Entry orders – while price trades inside the channel, the strategy places:
    • A buy stop at the channel high with stop-loss 2 × channel width below the entry and take-profit 1 × channel width above.
    • A sell stop at the channel low with the symmetric stop-loss/take-profit distances.
  4. Order lifetime – pending stop orders expire after OrderLifetimeSeconds. When the timeout elapses they are cancelled and can be recreated if flat conditions still hold.
  5. Position management – after an entry order is filled, the opposite stop order is cancelled and fresh protective orders (stop-loss and take-profit) are registered. Optional breakeven logic moves the stop-loss to the entry price once the price travels a Fibonacci fraction (FiboTrail) of the distance toward the take-profit target.
  6. Trading window – the UseTradingHours filter restricts activity by weekday and by specific Monday/Friday hours, emulating the schedule controls from the original EA.

Indicators

  • StandardDeviation (median price, length = StdDevPeriod) – detects falling volatility.
  • DonchianChannels (length = FlatBars) – provides the initial high/low bounds for the flat channel.

Risk & money management

  • FixedVolume defines the lot size when UseMoneyManagement is disabled.
  • When UseMoneyManagement is enabled, the position size is estimated from RiskPercent of the current portfolio value divided by the stop-loss distance expressed in money using PriceStep and StepPrice.
  • After a losing trade the next position uses FixedVolume × 4, replicating the original EA's recovery behaviour.

Parameters

Parameter Description
UseTradingHours Enable or disable the weekday/hour schedule filter.
TradeTuesday, TradeWednesday, TradeThursday Allow trading on individual mid-week days (Monday and Friday are always allowed but controlled by the hourly limits).
MondayStartHour, FridayStopHour Start hour on Monday and cut-off hour on Friday (24h clock).
UseMoneyManagement, RiskPercent, FixedVolume Money-management options described above.
OrderLifetimeSeconds Expiration time for pending entry orders (0 = no expiration).
StdDevPeriod, FlatBars Indicator settings controlling the flat-phase detection.
ChannelMinPips, ChannelMaxPips Allowed channel width expressed in pips (converted using the instrument tick size).
UseBreakeven, FiboTrail Enable breakeven logic and set the Fibonacci multiplier used to trigger the stop adjustment.
CandleType Candle data type or timeframe used for calculations.

Notes

  • The strategy expects symbols that expose PriceStep and StepPrice so the pip-based thresholds can be converted to actual prices.
  • Pending orders are recreated only when volatility continues to fall. If volatility rises the flat state is reset and all entry orders are cancelled.
  • Protective stop and take-profit orders are cancelled automatically when the position closes.

Disclaimer

This example is provided for educational purposes only. Past performance of the original strategy does not guarantee future results. Thoroughly test and adjust the parameters before deploying to live markets.

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>
/// Flat channel breakout strategy converted from the MetaTrader 5 version.
/// Detects consolidation via falling standard deviation, then trades breakouts of the channel.
/// </summary>
public class FlatChannelStrategy : Strategy
{
	private readonly StrategyParam<int> _stdDevPeriod;
	private readonly StrategyParam<int> _flatBars;
	private readonly StrategyParam<decimal> _channelMinPips;
	private readonly StrategyParam<decimal> _channelMaxPips;
	private readonly StrategyParam<DataType> _candleType;

	private StandardDeviation _stdDev = null!;
	private DonchianChannels _donchian = null!;

	private decimal _previousStdDev;
	private int _flatBarCount;
	private decimal _channelHigh;
	private decimal _channelLow;

	private decimal? _pendingBuyPrice;
	private decimal? _pendingSellPrice;
	private decimal _entryPrice;
	private decimal _longStop;
	private decimal _longTake;
	private decimal _shortStop;
	private decimal _shortTake;

	/// <summary>
	/// Standard deviation indicator period.
	/// </summary>
	public int StdDevPeriod
	{
		get => _stdDevPeriod.Value;
		set => _stdDevPeriod.Value = value;
	}

	/// <summary>
	/// Minimum number of bars with falling volatility required to form a flat channel.
	/// </summary>
	public int FlatBars
	{
		get => _flatBars.Value;
		set => _flatBars.Value = value;
	}

	/// <summary>
	/// Minimum channel width expressed in pips.
	/// </summary>
	public decimal ChannelMinPips
	{
		get => _channelMinPips.Value;
		set => _channelMinPips.Value = value;
	}

	/// <summary>
	/// Maximum channel width expressed in pips.
	/// </summary>
	public decimal ChannelMaxPips
	{
		get => _channelMaxPips.Value;
		set => _channelMaxPips.Value = value;
	}

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

	public FlatChannelStrategy()
	{
		_stdDevPeriod = Param(nameof(StdDevPeriod), 37)
			.SetDisplay("StdDev Period", "Standard deviation indicator period", "Indicators")
			.SetGreaterThanZero();

		_flatBars = Param(nameof(FlatBars), 2)
			.SetDisplay("Flat Bars", "Minimum bars in flat state", "Indicators")
			.SetGreaterThanZero();

		_channelMinPips = Param(nameof(ChannelMinPips), 10m)
			.SetDisplay("Channel Min Pips", "Minimum channel width in pips", "Indicators")
			.SetGreaterThanZero();

		_channelMaxPips = Param(nameof(ChannelMaxPips), 100000m)
			.SetDisplay("Channel Max Pips", "Maximum channel width in pips", "Indicators")
			.SetGreaterThanZero();

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle type", "General");
	}

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

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

		_previousStdDev = 0m;
		_flatBarCount = 0;
		_channelHigh = 0m;
		_channelLow = 0m;
		_pendingBuyPrice = null;
		_pendingSellPrice = null;
		_entryPrice = 0m;
		_longStop = 0m;
		_longTake = 0m;
		_shortStop = 0m;
		_shortTake = 0m;
	}

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

		_stdDev = new StandardDeviation { Length = StdDevPeriod };
		_donchian = new DonchianChannels { Length = FlatBars };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(_donchian, ProcessCandle)
			.Start();

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

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

		var medianPrice = (candle.HighPrice + candle.LowPrice) / 2m;
		var stdDevValue = _stdDev.Process(new DecimalIndicatorValue(_stdDev, medianPrice, candle.CloseTime) { IsFinal = true }).ToDecimal();

		if (!_stdDev.IsFormed || channelValue is not DonchianChannelsValue donchianValue)
		{
			_previousStdDev = stdDevValue;
			return;
		}

		if (donchianValue.UpperBand is not decimal upper || donchianValue.LowerBand is not decimal lower)
		{
			_previousStdDev = stdDevValue;
			return;
		}

		// Update flat state based on StdDev direction.
		UpdateStdDevState(stdDevValue, upper, lower, candle);

		// Check simulated pending entries.
		CheckPendingEntries(candle);

		// Manage existing positions with SL/TP.
		ManagePosition(candle);

		// If flat and no position, set up pending breakout entries.
		if (Position == 0 && _flatBarCount >= FlatBars && _channelHigh > _channelLow)
		{
			var channelWidth = _channelHigh - _channelLow;
			var priceStep = Security?.PriceStep ?? 0.01m;
			if (priceStep <= 0m) priceStep = 0.01m;
			var minWidth = ChannelMinPips * priceStep;
			var maxWidth = ChannelMaxPips * priceStep;

			if (channelWidth >= minWidth && channelWidth <= maxWidth)
			{
				// Set pending breakout entries at channel boundaries.
				_pendingBuyPrice = _channelHigh;
				_pendingSellPrice = _channelLow;
				_longStop = _channelHigh - channelWidth * 2m;
				_longTake = _channelHigh + channelWidth;
				_shortStop = _channelLow + channelWidth * 2m;
				_shortTake = _channelLow - channelWidth;
			}
		}

		_previousStdDev = stdDevValue;
	}

	private void UpdateStdDevState(decimal stdDevValue, decimal upper, decimal lower, ICandleMessage candle)
	{
		if (_previousStdDev == 0m)
		{
			_previousStdDev = stdDevValue;
			return;
		}

		if (stdDevValue < _previousStdDev)
		{
			_flatBarCount++;

			if (_flatBarCount == FlatBars)
			{
				_channelHigh = upper;
				_channelLow = lower;
			}
			else if (_flatBarCount > FlatBars)
			{
				if (candle.HighPrice > _channelHigh)
					_channelHigh = candle.HighPrice;
				if (candle.LowPrice < _channelLow)
					_channelLow = candle.LowPrice;
			}
		}
		else if (stdDevValue > _previousStdDev)
		{
			_flatBarCount = 0;
			_channelHigh = 0m;
			_channelLow = 0m;
			_pendingBuyPrice = null;
			_pendingSellPrice = null;
		}
		else if (_flatBarCount >= FlatBars && _channelHigh <= _channelLow)
		{
			_channelHigh = upper;
			_channelLow = lower;
		}
	}

	private void CheckPendingEntries(ICandleMessage candle)
	{
		if (Position != 0)
			return;

		if (_pendingBuyPrice is decimal buyPrice && candle.HighPrice >= buyPrice)
		{
			BuyMarket();
			_entryPrice = buyPrice;
			_pendingBuyPrice = null;
			_pendingSellPrice = null;
			return;
		}

		if (_pendingSellPrice is decimal sellPrice && candle.LowPrice <= sellPrice)
		{
			SellMarket();
			_entryPrice = sellPrice;
			_pendingBuyPrice = null;
			_pendingSellPrice = null;
		}
	}

	private void ManagePosition(ICandleMessage candle)
	{
		if (Position > 0)
		{
			if (_longStop > 0m && candle.LowPrice <= _longStop)
			{
				SellMarket();
				ResetPositionState();
				return;
			}
			if (_longTake > 0m && candle.HighPrice >= _longTake)
			{
				SellMarket();
				ResetPositionState();
			}
		}
		else if (Position < 0)
		{
			if (_shortStop > 0m && candle.HighPrice >= _shortStop)
			{
				BuyMarket();
				ResetPositionState();
				return;
			}
			if (_shortTake > 0m && candle.LowPrice <= _shortTake)
			{
				BuyMarket();
				ResetPositionState();
			}
		}
	}

	private void ResetPositionState()
	{
		_entryPrice = 0m;
		_longStop = 0m;
		_longTake = 0m;
		_shortStop = 0m;
		_shortTake = 0m;
		_pendingBuyPrice = null;
		_pendingSellPrice = null;
	}
}