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BrainTrend2 + AbsolutelyNoLagLWMA MMRec Strategy

Overview

This strategy re-creates the MetaTrader expert Exp_BrainTrend2_AbsolutelyNoLagLwma_MMRec by combining two independent signal blocks: the BrainTrend2 trend-following engine and the AbsolutelyNoLagLWMA adaptive filter. Each block can open and close trades according to its own permissions, mimicking the money-management switches of the original MMRec template. Orders are executed with the StockSharp high-level API using market executions and the configurable default volume.

Trading Logic

BrainTrend2 Block

  • Builds a dynamic trailing level based on an ATR-like weighted true range.
  • The direction (river) toggles when the candle pierces the trailing buffer by more than 0.7 * ATR.
  • Up candles inside an up river trigger long entries (if enabled) and close short positions.
  • Down candles inside a down river trigger short entries (if enabled) and close long positions.
  • Signals can be delayed by the Brain Signal Shift parameter to work with older bars.

AbsolutelyNoLagLWMA Block

  • Applies a two-stage linear weighted moving average to the selected price source.
  • Colours become up (2) when the double LWMA rises, down (0) when it falls and neutral (1) otherwise.
  • A transition to colour 2 opens longs and optionally exits shorts; a switch to colour 0 opens shorts and optionally exits longs.
  • Signals may also be shifted back by a user-defined number of bars.

Position Management

  • The strategy operates a single net position. When both blocks request trades on the same bar, close signals execute before any new entries.
  • If a block wants to open a trade but the opposite position is open and the corresponding close permission is disabled, the entry is skipped (mirrors the inability to hold hedged positions with a single net portfolio).

Parameters

Group Name Description
BrainTrend2 Brain Candle Candle type used for the BrainTrend2 indicator.
BrainTrend2 Brain ATR ATR period for the internal BrainTrend2 calculations.
BrainTrend2 Brain Signal Shift Number of bars to delay BrainTrend2 signals.
BrainTrend2 Brain Buy / Sell Allow BrainTrend2 to open long/short trades.
BrainTrend2 Brain Close Buys / Close Sells Allow BrainTrend2 signals to close existing positions.
AbsolutelyNoLag Abs Candle Candle type used for the LWMA indicator.
AbsolutelyNoLag Abs Length LWMA period.
AbsolutelyNoLag Abs Price Applied price used for the LWMA. Matches the MQL Applied_price_ enum.
AbsolutelyNoLag Abs Signal Shift Number of bars to delay LWMA signals.
AbsolutelyNoLag Abs Buy / Sell Allow LWMA block to open long/short trades.
AbsolutelyNoLag Abs Close Buys / Close Sells Allow LWMA block to close positions.
AbsolutelyNoLag Abs Shift Adds a constant price offset to the LWMA output.
General Order Volume Default market order volume.

Notes

  • The ATR and LWMA computations follow the original MQL implementations, including the triangular ATR weighting and the extensive applied price list.
  • Spread information is unavailable in StockSharp candles, so the true range uses candle prices only. This mirrors the indicator behaviour when spread equals zero.
  • Multiple simultaneous positions with different magic numbers are consolidated into a single net position, which is standard in StockSharp strategies.
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>
/// BrainTrend2 AbsolutelyNoLag LWMA MMRec strategy (simplified).
/// Uses RSI + EMA for trend detection with position recovery logic.
/// </summary>
public class BrainTrend2AbsolutelyNoLagLwmaMmrecStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;

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

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public BrainTrend2AbsolutelyNoLagLwmaMmrecStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, ema, (ICandleMessage candle, decimal rsiVal, decimal emaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var close = candle.ClosePrice;

				// Bullish: RSI above 55 and close above EMA
				if (rsiVal > 55 && close > emaVal && Position <= 0)
					BuyMarket();
				// Bearish: RSI below 45 and close below EMA
				else if (rsiVal < 45 && close < emaVal && Position >= 0)
					SellMarket();
			})
			.Start();

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