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Trail SL Manager-Strategie

Zusammenfassung

Trail SL Manager ist eine Utility-Strategie, die das Verhalten des ursprünglichen MetaTrader trailSL-Experten reproduziert. Es eröffnet keine Geschäfte selbst. Stattdessen überwacht es bestehende Positionen und passt deren Schutzstoppniveaus dynamisch an. Die Logik spiegelt das Quellskript wider: Zuerst wird der Stop gedrückt, um die Gewinnschwelle zu erreichen, sobald der Preis um einen konfigurierbaren Betrag steigt, dann hält ein inkrementeller Trailing-Algorithmus weiterhin Gewinne fest, während der Trend anhält.

Wie es funktioniert

  1. Abonniert den konfigurierten Kerzenstrom, um fertige Balken zu überwachen.
  2. Verfolgt den durchschnittlichen Einstiegspreis und die Richtung der aktuellen Position.
  3. Wenn sich der Preis um BreakEvenTriggerPoints zugunsten des Handels bewegt, wird der Stop auf den Einstiegspreis zuzüglich eines optionalen Offsets verschoben.
  4. Nach der Break-Even-Aktivierung oder sofort, sofern zulässig, erhöht die Strategie den Stop alle TrailStepPoints um TrailOffsetPoints, bis sich der Preis umkehrt und die Position zum Marktwert schließt.

Die abschließenden Regeln werden mit der gleichen punktbasierten Arithmetik wie die MetaTrader-Version berechnet, sodass das Verhalten für Händler, die auf StockSharp migrieren, vertraut bleibt.

Parameter

Name Beschreibung Standard
EnableBreakEven Ermöglicht die Verschiebung des Stops auf die Gewinnschwelle, sobald der Handel profitabel wird. true
BreakEvenTriggerPoints Gewinnentfernung in Punkten, die erforderlich ist, um die Break-Even-Bewegung zu aktivieren. 20
BreakEvenOffsetPoints Zusätzliche Punkte werden dem Einstiegspreis hinzugefügt, wenn die Gewinnschwelle erreicht wird. 10
EnableTrailing Schaltet die Trailing-Stop-Logik um. true
TrailAfterBreakEven Bei true beginnt das Trailing erst nach der Break-Even-Anpassung. true
TrailStartPoints Der Mindestgewinn in Punkten vor dem Nachlaufen ist zulässig. 40
TrailStepPoints Gewinnschritt zwischen nachlaufenden Neuberechnungen. 10
TrailOffsetPoints Bei jedem nachlaufenden Schritt werden dem Stopp Punkte hinzugefügt. 10
InitialStopPoints Abstand des anfänglichen Schutzstopps, wenn eine neue Position erscheint. 200
CandleType Kerzenabonnement zur Überwachung von Preisänderungen. 1 Minute

Nutzung

  1. Hängen Sie die Strategie an eine Umgebung an, in der Einträge durch eine andere Strategie oder manuell generiert werden.
  2. Konfigurieren Sie die punktbasierten Schwellenwerte so, dass sie der Symbolvolatilität und den Brokeranforderungen entsprechen.
  3. Starten Sie die Strategie, damit fertige Kerzen überwacht und Stopps automatisch angepasst werden können.
  4. Beobachten Sie die Diagrammzeichnungen, um zu sehen, wie sich die Stop-Levels mit jedem nachlaufenden Schritt entwickeln.

Hinweis: Die Strategie schließt Positionen mit Marktaufträgen, wenn der simulierte Trailing Stop durchbrochen wird. Fügen Sie börsenspezifischen Schutz hinzu (z. B. echte Stop-Orders), wenn Ihr Workflow dies erfordert.

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>
/// Utility strategy that mirrors the trailSL MetaTrader script.
/// It manages open positions by moving the protective stop to break even and trailing it as price advances.
/// The strategy does not generate its own entry signals.
/// </summary>
public class TrailSlManagerStrategy : Strategy
{
	private readonly StrategyParam<bool> _enableBreakEven;
	private readonly StrategyParam<int> _breakEvenTriggerPoints;
	private readonly StrategyParam<int> _breakEvenOffsetPoints;
	private readonly StrategyParam<bool> _enableTrailing;
	private readonly StrategyParam<bool> _trailAfterBreakEven;
	private readonly StrategyParam<int> _trailStartPoints;
	private readonly StrategyParam<int> _trailStepPoints;
	private readonly StrategyParam<int> _trailOffsetPoints;
	private readonly StrategyParam<int> _initialStopPoints;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _priceStep;
	private decimal _longStop;
	private decimal _shortStop;
	private bool _longBreakEvenActive;
	private bool _shortBreakEvenActive;
	private decimal _lastEntryPrice;
	private SimpleMovingAverage _smaFast;
	private SimpleMovingAverage _smaSlow;
	private int _cooldown;
	private int _lastSignal;

	/// <summary>
	/// Enables automatic break-even adjustment.
	/// </summary>
	public bool EnableBreakEven
	{
		get => _enableBreakEven.Value;
		set => _enableBreakEven.Value = value;
	}

	/// <summary>
	/// Required profit in points before break-even is activated.
	/// </summary>
	public int BreakEvenTriggerPoints
	{
		get => _breakEvenTriggerPoints.Value;
		set => _breakEvenTriggerPoints.Value = value;
	}

	/// <summary>
	/// Additional points added to the break-even price once triggered.
	/// </summary>
	public int BreakEvenOffsetPoints
	{
		get => _breakEvenOffsetPoints.Value;
		set => _breakEvenOffsetPoints.Value = value;
	}

	/// <summary>
	/// Enables trailing stop management.
	/// </summary>
	public bool EnableTrailing
	{
		get => _enableTrailing.Value;
		set => _enableTrailing.Value = value;
	}

	/// <summary>
	/// Trailing starts only after a successful break-even move.
	/// </summary>
	public bool TrailAfterBreakEven
	{
		get => _trailAfterBreakEven.Value;
		set => _trailAfterBreakEven.Value = value;
	}

	/// <summary>
	/// Minimum profit in points before trailing begins.
	/// </summary>
	public int TrailStartPoints
	{
		get => _trailStartPoints.Value;
		set => _trailStartPoints.Value = value;
	}

	/// <summary>
	/// Distance in points between trailing recalculations.
	/// </summary>
	public int TrailStepPoints
	{
		get => _trailStepPoints.Value;
		set => _trailStepPoints.Value = value;
	}

	/// <summary>
	/// Stop loss increment applied on each trailing step (points).
	/// </summary>
	public int TrailOffsetPoints
	{
		get => _trailOffsetPoints.Value;
		set => _trailOffsetPoints.Value = value;
	}

	/// <summary>
	/// Initial protective stop distance measured in points.
	/// </summary>
	public int InitialStopPoints
	{
		get => _initialStopPoints.Value;
		set => _initialStopPoints.Value = value;
	}

	/// <summary>
	/// Candle type used for monitoring price progress.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public TrailSlManagerStrategy()
	{
		_enableBreakEven = Param(nameof(EnableBreakEven), true)
		.SetDisplay("Break Even", "Enable break-even stop adjustment", "Risk")
		;
		_breakEvenTriggerPoints = Param(nameof(BreakEvenTriggerPoints), 20)
		.SetDisplay("Break Even Trigger", "Points required before moving to break-even", "Risk")
		;
		_breakEvenOffsetPoints = Param(nameof(BreakEvenOffsetPoints), 10)
		.SetDisplay("Break Even Offset", "Extra points locked when break-even triggers", "Risk")
		;
		_enableTrailing = Param(nameof(EnableTrailing), true)
		.SetDisplay("Trailing", "Enable trailing stop management", "Risk")
		;
		_trailAfterBreakEven = Param(nameof(TrailAfterBreakEven), true)
		.SetDisplay("Trail After Break Even", "Start trailing only after break-even", "Risk")
		;
		_trailStartPoints = Param(nameof(TrailStartPoints), 40)
		.SetDisplay("Trail Start", "Points of profit before trailing is considered", "Risk")
		;
		_trailStepPoints = Param(nameof(TrailStepPoints), 10)
		.SetDisplay("Trail Step", "Price step that triggers a new trailing recalculation", "Risk")
		;
		_trailOffsetPoints = Param(nameof(TrailOffsetPoints), 10)
		.SetDisplay("Trail Offset", "Points added to the stop on every trailing step", "Risk")
		;
		_initialStopPoints = Param(nameof(InitialStopPoints), 200)
		.SetDisplay("Initial Stop", "Initial stop distance used before trailing", "Risk")
		;
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
		.SetDisplay("Candle Type", "Candle subscription for monitoring", "Data");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
		_priceStep = 0;
		_longStop = 0;
		_shortStop = 0;
		_longBreakEvenActive = false;
		_shortBreakEvenActive = false;
		_lastEntryPrice = 0;
		_smaFast = default;
		_smaSlow = default;
		_cooldown = 0;
		_lastSignal = 0;
	}

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

		_priceStep = Security?.PriceStep ?? 1m;
		if (_priceStep <= 0m)
			_priceStep = 1m;

		_smaFast = new SimpleMovingAverage { Length = 10 };
		_smaSlow = new SimpleMovingAverage { Length = 30 };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_smaFast, _smaSlow, ProcessCandleWithIndicators).Start();

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

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);

		if (Position == 0)
		{
			ResetState();
			return;
		}

		if (trade.Order.Side == Sides.Buy && Position > 0)
		{
			_longStop = InitialStopPoints > 0 ? _lastEntryPrice - InitialStopPoints * _priceStep : 0m;
			_longBreakEvenActive = false;
		}
		else if (trade.Order.Side == Sides.Sell && Position < 0)
		{
			_shortStop = InitialStopPoints > 0 ? _lastEntryPrice + InitialStopPoints * _priceStep : 0m;
			_shortBreakEvenActive = false;
		}
	}

	private void ProcessCandleWithIndicators(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
		}
		else
		{
			var signal = fast > slow ? 1 : fast < slow ? -1 : 0;

			if (signal == 1 && _lastSignal != 1 && Position == 0)
			{
				BuyMarket();
				_lastEntryPrice = candle.ClosePrice;
				_lastSignal = 1;
				_cooldown = 20;
			}
			else if (signal == -1 && _lastSignal != -1 && Position == 0)
			{
				SellMarket();
				_lastEntryPrice = candle.ClosePrice;
				_lastSignal = -1;
				_cooldown = 20;
			}
		}

		ManageLongPosition(candle);
		ManageShortPosition(candle);
	}

	private void ManageLongPosition(ICandleMessage candle)
	{
		if (Position <= 0)
		{
			_longStop = 0m;
			_longBreakEvenActive = false;
			return;
		}

		var entryPrice = _lastEntryPrice;
		if (entryPrice <= 0m)
			return;

		var currentPrice = candle.ClosePrice;
		var profitPoints = (currentPrice - entryPrice) / _priceStep;

		if (EnableBreakEven && !_longBreakEvenActive && profitPoints >= BreakEvenTriggerPoints && BreakEvenTriggerPoints > 0)
		{
			var newStop = BreakEvenOffsetPoints > 0
				? entryPrice + BreakEvenOffsetPoints * _priceStep
				: entryPrice;

			if (newStop < currentPrice)
			{
				_longStop = Math.Max(_longStop, newStop);
				_longBreakEvenActive = true;
			}
		}

		if (!EnableTrailing || TrailOffsetPoints <= 0 || TrailStepPoints <= 0)
			return;

		var requireBreakEven = TrailAfterBreakEven && EnableBreakEven;
		if (requireBreakEven && !_longBreakEvenActive)
			return;

		var baseStop = requireBreakEven
			? (_longStop > 0m ? _longStop : (BreakEvenOffsetPoints > 0 ? entryPrice + BreakEvenOffsetPoints * _priceStep : entryPrice))
			: (InitialStopPoints > 0 ? entryPrice - InitialStopPoints * _priceStep : (_longStop > 0m ? _longStop : 0m));

		if (baseStop <= 0m)
			return;

		if (!requireBreakEven && profitPoints < TrailStartPoints)
			return;

		if (requireBreakEven)
		{
			var baseDistance = (currentPrice - baseStop) / _priceStep;
			if (baseDistance < TrailStartPoints)
				return;
		}

		var startPrice = requireBreakEven
			? baseStop + (TrailStartPoints - TrailStepPoints) * _priceStep
			: entryPrice + (TrailStartPoints - TrailStepPoints) * _priceStep;

		var stepDistance = TrailStepPoints * _priceStep;
		if (stepDistance <= 0m)
			return;

		var openSteps = (currentPrice - startPrice) / stepDistance;
		if (openSteps <= 0m)
			return;

		var stepOpenPrice = (int)Math.Floor(openSteps);
		var currentStopSteps = _longStop > baseStop
			? (int)Math.Floor((_longStop - baseStop) / (TrailOffsetPoints * _priceStep))
			: 0;

		if (stepOpenPrice <= currentStopSteps)
			return;

		var proposedStop = baseStop + stepOpenPrice * TrailOffsetPoints * _priceStep;
		var maxStop = candle.LowPrice - _priceStep;
		if (proposedStop >= maxStop)
			proposedStop = maxStop;

		if (proposedStop > _longStop && proposedStop < currentPrice)
			_longStop = proposedStop;

		if (_longStop > 0m && candle.LowPrice <= _longStop)
			SellMarket(Position);
	}

	private void ManageShortPosition(ICandleMessage candle)
	{
		if (Position >= 0)
		{
			_shortStop = 0m;
			_shortBreakEvenActive = false;
			return;
		}

		var entryPrice = _lastEntryPrice;
		if (entryPrice <= 0m)
			return;

		var currentPrice = candle.ClosePrice;
		var profitPoints = (entryPrice - currentPrice) / _priceStep;

		if (EnableBreakEven && !_shortBreakEvenActive && profitPoints >= BreakEvenTriggerPoints && BreakEvenTriggerPoints > 0)
		{
			var newStop = BreakEvenOffsetPoints > 0
				? entryPrice - BreakEvenOffsetPoints * _priceStep
				: entryPrice;

			if (newStop > currentPrice)
			{
				_shortStop = _shortStop == 0m ? newStop : Math.Min(_shortStop, newStop);
				_shortBreakEvenActive = true;
			}
		}

		if (!EnableTrailing || TrailOffsetPoints <= 0 || TrailStepPoints <= 0)
			return;

		var requireBreakEven = TrailAfterBreakEven && EnableBreakEven;
		if (requireBreakEven && !_shortBreakEvenActive)
			return;

		var baseStop = requireBreakEven
			? (_shortStop > 0m ? _shortStop : (BreakEvenOffsetPoints > 0 ? entryPrice - BreakEvenOffsetPoints * _priceStep : entryPrice))
			: (InitialStopPoints > 0 ? entryPrice + InitialStopPoints * _priceStep : (_shortStop > 0m ? _shortStop : 0m));

		if (baseStop <= 0m)
			return;

		if (!requireBreakEven && profitPoints < TrailStartPoints)
			return;

		if (requireBreakEven)
		{
			var baseDistance = (baseStop - currentPrice) / _priceStep;
			if (baseDistance < TrailStartPoints)
				return;
		}

		var startPrice = requireBreakEven
			? baseStop - (TrailStartPoints - TrailStepPoints) * _priceStep
			: entryPrice - (TrailStartPoints - TrailStepPoints) * _priceStep;

		var stepDistance = TrailStepPoints * _priceStep;
		if (stepDistance <= 0m)
			return;

		var openSteps = (startPrice - currentPrice) / stepDistance;
		if (openSteps <= 0m)
			return;

		var stepOpenPrice = (int)Math.Floor(openSteps);
		var currentStopSteps = _shortStop > 0m
			? (int)Math.Floor((baseStop - _shortStop) / (TrailOffsetPoints * _priceStep))
			: 0;

		if (stepOpenPrice <= currentStopSteps)
			return;

		var proposedStop = baseStop - stepOpenPrice * TrailOffsetPoints * _priceStep;
		var minStop = candle.HighPrice + _priceStep;
		if (proposedStop <= minStop)
			proposedStop = minStop;

		if ((_shortStop == 0m || proposedStop < _shortStop) && proposedStop > currentPrice)
			_shortStop = proposedStop;

		if (_shortStop > 0m && candle.HighPrice >= _shortStop)
			BuyMarket(Math.Abs(Position));
	}

	private void ResetState()
	{
		_longStop = 0m;
		_shortStop = 0m;
		_longBreakEvenActive = false;
		_shortBreakEvenActive = false;
	}
}