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Candle Trailing Stop Strategy

The Candle Trailing Stop strategy is a StockSharp port of the MetaTrader expert advisor with the same name. The original robot combined multi-timeframe trend filters, momentum confirmation and an aggressive trailing stop engine that followed the lows and highs of recent candles. The C# version keeps the same workflow but relies on high-level StockSharp components and exposes all critical settings as strategy parameters.

Core logic

  1. Data subscriptions
    • The trading timeframe drives entries and trailing stop updates.
    • A higher timeframe provides confirmation using linear weighted moving averages (LWMA) and a momentum indicator.
    • A third subscription calculates a MACD line on a slow timeframe (monthly by default) to filter trades.
  2. Trend alignment
    • Trades are allowed only when the fast, middle and slow LWMA sequences are aligned on both the trading and higher timeframes (bullish sequence for longs, bearish for shorts).
  3. Momentum gate
    • The momentum indicator must be close to the neutral value of 100 for at least one of the last three higher-timeframe bars.
  4. MACD confirmation
    • Longs require the MACD line to be above the signal line; shorts require the opposite relationship.
  5. Entry trigger
    • A breakout through the fast LWMA on the current timeframe (candle closing above/below the average after touching it on the previous bar) initiates new trades while respecting a configurable position limit.
  6. Risk and exit management
    • Initial stop-loss and take-profit distances are defined in pips and automatically converted to price steps.
    • Stops can migrate to break-even, trail behind the extreme of recent candles, or fall back to a classic fixed-distance trail.
    • Optional equity-based features mirror the original EA: monetary take profit, percentage take profit, equity trailing and drawdown protection.

Parameters

Group Name Description Default
Trading Volume Order size in lots/contracts. 1
MaxTrades Maximum aggregated exposure expressed as Volume * MaxTrades. 10
Indicators FastCurrentLength Fast LWMA on the trading timeframe. 9
MiddleCurrentLength Middle LWMA on the trading timeframe. 20
SlowCurrentLength Slow LWMA on the trading timeframe. 52
FastHigherLength Fast LWMA on the higher timeframe. 9
MiddleHigherLength Middle LWMA on the higher timeframe. 20
SlowHigherLength Slow LWMA on the higher timeframe. 52
MomentumPeriod Higher-timeframe momentum period. 14
MomentumBuyThreshold Maximum deviation from 100 allowed for long trades. 0.3
MomentumSellThreshold Maximum deviation from 100 allowed for short trades. 0.3
MacdFastLength Fast EMA length for MACD confirmation. 12
MacdSlowLength Slow EMA length for MACD confirmation. 26
MacdSignalLength Signal EMA length for MACD confirmation. 9
Risk StopLossPips Stop-loss distance in pips. 20
TakeProfitPips Take-profit distance in pips. 50
UseMoveToBreakEven Enables the break-even logic. true
BreakEvenTriggerPips Profit in pips required before moving the stop. 30
BreakEvenOffsetPips Offset added when shifting the stop to break even. 30
UseCandleTrail Choose between candle-based trailing (true) or classic trailing (false). true
CandleTrailLength Number of closed candles used to compute trailing extremes. 3
PadAmountPips Extra buffer added below/above the trailing extreme. 10
TrailTriggerPips Profit required before the classic trail activates. 40
TrailAmountPips Distance maintained by the classic trail. 40
Equity rules UseMoneyTakeProfit Close all positions when floating profit exceeds the monetary target. false
MoneyTakeProfit Monetary profit target. 40
UsePercentTakeProfit Close all positions when floating profit exceeds the percentage target. false
PercentTakeProfit Percentage of initial equity used as profit target. 10
EnableMoneyTrailing Activates trailing of floating profit after a threshold. true
MoneyTrailTarget Profit level that turns on the monetary trailing logic. 40
MoneyTrailStop Maximum allowed pullback once the target was reached. 10
UseEquityStop Enables equity drawdown protection. true
EquityRiskPercent Maximum drawdown from the equity peak before forcing a flat position. 1
Data CurrentCandleType Trading timeframe. 5m
HigherCandleType Higher timeframe used for filters. 30m
MacdCandleType Timeframe for MACD confirmation (monthly by default). 30d

Notes and assumptions

  • Pips are converted to price steps using the instrument tick size. On symbols where one pip differs from one tick you may need to adjust the default pip distances.
  • Monetary features rely on unrealized profit approximated as (close - averagePrice) * position. Swap and commission adjustments are not simulated.
  • The strategy uses market orders for entries and exits. Initial take-profit orders are registered once a trade is opened, while stop-loss management is handled internally and exits through market orders when the calculated level is crossed.
  • All in-code comments are written in English as requested by the project guidelines.
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;

public class CandleTrailingStopStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public CandleTrailingStopStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

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

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}