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Trend Line By Angle Strategy

Overview

The strategy is a StockSharp port of the MetaTrader expert advisor Trend Line By Angle. The original robot mixed manual button entries with extensive money-management tools. This port converts the discretionary workflow into an automated MACD trend-following system while preserving the protective logic:

  • Monthly MACD (12/26/9) calculated on the configured signal candle type defines the direction. Bullish crosses open long exposure, bearish crosses open short exposure.
  • Entries scale in up to the configured number of blocks, mirroring the repeated manual clicks in the source EA.
  • Bollinger Bands (20, 2) watch the execution timeframe. Touching the upper band liquidates long exposure; touching the lower band liquidates shorts, replicating the visual stop buttons from MetaTrader.
  • Classic risk controls — stop-loss, take-profit, trailing stop, break-even move — operate on pip distances converted through the instrument PriceStep.
  • Account-level protection closes all orders when either a money or percentage profit target is reached. An additional money-based trailing lock follows floating profit and exits on the configured drawdown.

Execution Flow

  1. Indicator preparation – MovingAverageConvergenceDivergenceSignal runs on the SignalCandleType, while BollingerBands run on the trading CandleType.
  2. Entry signals – on each finished execution candle the latest MACD cross is evaluated. A cross up triggers BuyMarket, a cross down triggers SellMarket. Existing opposite exposure is closed before reversing.
  3. Scaling logic – the strategy keeps buying/selling until the aggregate position reaches TradeVolume * MaxEntries.
  4. Risk management – break-even, trailing stop, stop-loss, and take-profit levels are recalculated on every candle. A Bollinger touch forces an exit even if other levels are not hit.
  5. Account protection – money and percent take-profit checks run before generating new signals. The money trailing module tracks the highest total PnL and closes everything once the drop exceeds MoneyTrailStop.

Money Management Details

  • Total PnL is the sum of realized profit (PnL) and the floating PnL computed from the candle close price, price step, and step value.
  • Break-even moves the protective stop to Entry + BreakEvenOffsetPips (long) or Entry - BreakEvenOffsetPips (short) once the move exceeds BreakEvenTriggerPips.
  • Trailing stop shifts closer to price whenever the gain exceeds TrailingStopPips. Long trailing levels only increase; short trailing levels only decrease.
  • Money trail activates after MoneyTrailTrigger profit is seen. From then on the highest profit is memorized; losing more than MoneyTrailStop from that peak closes all positions.

Parameters

Parameter Description
TradeVolume Volume of each entry block.
MaxEntries Maximum number of volume blocks to accumulate.
StopLossPips Stop-loss distance in pips.
TakeProfitPips Take-profit distance in pips.
TrailingStopPips Trailing distance in pips.
UseBreakEven Enables the break-even stop move.
BreakEvenTriggerPips Profit required before break-even activates.
BreakEvenOffsetPips Extra pips added when moving to break-even.
UseBollingerExit Enables exits on Bollinger band touches.
BollingerPeriod / BollingerDeviation Bollinger Bands settings.
UseProfitMoneyTarget / ProfitMoneyTarget Absolute profit target switch and value.
UseProfitPercentTarget / ProfitPercentTarget Percentage profit target switch and value.
EnableMoneyTrail Enables the money trailing stop.
MoneyTrailTrigger Profit required before the money trail becomes active.
MoneyTrailStop Allowed drawdown from the peak before exiting.
MacdFastPeriod, MacdSlowPeriod, MacdSignalPeriod MACD configuration.
CandleType Execution timeframe.
SignalCandleType Timeframe used for the MACD signal.

Usage Notes

  • The strategy relies on correct PriceStep and StepPrice values from the instrument. Configure the security before launching.
  • If the account does not report portfolio value (Portfolio.CurrentValue or Portfolio.BeginValue), the percent take-profit is automatically ignored.
  • All comments inside the C# file document the trading logic in English to simplify further maintenance.
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 TrendLineByAngleStrategy : 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 TrendLineByAngleStrategy()
	{
		_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;
	}
}