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One MA Channel Breakout Strategy

Overview

The One MA Channel Breakout Strategy replicates the MetaTrader 5 expert advisor One MA EA using StockSharp's high-level strategy API. The system draws a shifted moving average and surrounds it with a configurable pip-based channel. When price opens outside of the channel after probing it on the same bar, the strategy opens a position in the breakout direction while optional stop-loss and take-profit protections manage risk automatically.

Key characteristics:

  • Supports multiple moving-average calculation methods (SMA, EMA, SMMA, LWMA).
  • Allows choosing the candle price (close, open, high, low, median, typical, weighted) that feeds the moving average.
  • Applies independent shifts to the moving-average value and to the candle used for signal evaluation, matching the original EA's Current Bar controls.
  • Converts pip distances to absolute price increments using the instrument PriceStep and decimal precision (3/5 decimal instruments map to classic FX pips automatically).

Trading Logic

  1. Indicator preparation

    • A moving average with period MaPeriod, method MaMethodParam, shift MaShift, and applied price AppliedPriceType is calculated from the subscribed candle series (CandleType).
    • Channel offsets are converted from pips to price increments: ChannelHighPips above and ChannelLowPips below the shifted moving average.
    • Historical buffers allow referencing earlier bars (MaBarShift for the MA series, PriceBarShift for OHLC data) exactly as in the MQL version.

  2. Signal generation

    • Bullish breakout: the inspected candle's low stays between the MA baseline and the upper channel, while its open prints above the upper channel. If no long exposure exists (Position <= 0), the strategy buys.
    • Bearish breakout: the inspected candle's high remains between the MA baseline and the lower channel, while its open appears below the lower channel. If no short exposure exists (Position >= 0), the strategy sells.
    • Order volume equals the configured TradeVolume plus any quantity required to flatten an opposite position, mirroring the hedge-to-net behavior of the source expert.

  3. Risk management

    • StopLossPips and TakeProfitPips are translated into absolute price distances and passed to StartProtection, enabling automated exit orders for every position.
    • With zero values the respective protective order is disabled.

No additional exit logic is applied; positions close only via the protection module or by reversing into the opposite signal.

Parameters

Parameter Description
MaPeriod Moving average length. Must be > 0.
MaShift Horizontal shift of the moving average in bars. Positive values displace the MA to the right.
MaMethodParam Moving average calculation type (Sma, Ema, Smma, Lwma).
AppliedPriceType Candle price fed into the MA (Close, Open, High, Low, Median, Typical, Weighted).
MaBarShift Which historical MA value to use (0 = current processed bar).
PriceBarShift Which historical candle to inspect for OHLC values.
ChannelHighPips Distance (in pips) from the MA to the upper channel boundary.
ChannelLowPips Distance (in pips) from the MA to the lower channel boundary.
StopLossPips Protective stop distance in pips. Zero disables the stop.
TakeProfitPips Profit target distance in pips. Zero disables the target.
TradeVolume Order size in strategy volume units (mapped to Strategy.Volume).
CandleType Candle data series used for calculations and signals.

Implementation Notes

  • Pip to price conversion uses PriceStep and Decimals. For symbols with 3 or 5 decimals the pip value equals PriceStep * 10, otherwise it equals PriceStep.
  • Historical buffers are implemented with fixed-size sliding windows so the strategy can access bars by index without relying on indicator GetValue calls, complying with the project guidelines.
  • The strategy relies solely on finished candles; unfinished candles are ignored to avoid premature signals.
  • Optional chart rendering draws price candles and executed trades when a chart area is available in the host application.

Usage Tips

  • Ensure the subscribed security exposes valid PriceStep/Decimals data; otherwise adjust pip-based parameters manually.
  • Optimize MaPeriod, channel distances, and bar shifts to adapt the breakout behavior to specific markets or timeframes.
  • Combine with portfolio-level risk controls when deploying live, as the strategy is always-in/out with a single position per instrument.
using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// One MA channel breakout strategy.
/// Places an SMA channel around price with configurable offset, trades breakouts.
/// </summary>
public class OneMaChannelBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _channelOffset;

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

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	public decimal ChannelOffset
	{
		get => _channelOffset.Value;
		set => _channelOffset.Value = value;
	}

	public OneMaChannelBreakoutStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_maPeriod = Param(nameof(MaPeriod), 44)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Moving average length", "Indicators");

		_channelOffset = Param(nameof(ChannelOffset), 0.005m)
			.SetGreaterThanZero()
			.SetDisplay("Channel Offset", "Percentage offset for channel", "Indicators");
	}

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

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

		var sma = new SimpleMovingAverage { Length = MaPeriod };

		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 maValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var upper = maValue * (1 + ChannelOffset);
		var lower = maValue * (1 - ChannelOffset);
		var close = candle.ClosePrice;

		// Bullish breakout above upper channel
		if (close > upper && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Bearish breakdown below lower channel
		else if (close < lower && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}
	}
}