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Bruno Trend Strategy

Overview

Bruno Trend Strategy is a StockSharp port of the MetaTrader expert advisor "Bruno_v1". The strategy trades on 30-minute candles and focuses on synchronized bullish signals from several classic trend-following and momentum indicators. Only long positions are opened, mimicking the original expert that concentrated on bullish breakouts confirmed by indicator alignment.

Trading Logic

  1. Timeframe: 30-minute candles.
  2. Indicators:
    • Simple Moving Average (SMA) with length 4 used as a short-term momentum gauge.
    • Exponential Moving Averages (EMAs) with lengths 8 and 21 to define the primary trend direction.
    • Average Directional Index (ADX) with period 13 to ensure directional strength via +DI and -DI components.
    • Stochastic Oscillator with parameters %K=21, %D=3, slowing=3 to confirm momentum while avoiding overbought levels.
    • MACD (13, 34, 8) for histogram and signal line confirmation.
    • Parabolic SAR (step 0.055, maximum 0.21) to verify upward acceleration and manage exits.
  3. Entry Rules:
    • EMA(8) must be above EMA(21).
    • ADX filter: +DI greater than -DI and above 20.
    • Stochastic filter: %K above %D but still below 80 to stay out of overbought extremes.
    • MACD histogram above zero and above the signal line.
    • Parabolic SAR rising (current SAR higher than the previous reading).
    • Current position must be flat or short. Any short position is closed before entering the new long trade.
  4. Exit Rules:
    • Close the long position when the previous candle close falls below the previous Parabolic SAR value, replicating the MetaTrader exit trigger.

Risk Management

  • Default lot size: 0.1 lots.
  • Optional MetaTrader-style protection: 50 pip take-profit and 30 pip stop-loss, configured with StartProtection. Trailing stops are disabled by default to mirror the original script.

Notes

  • The strategy ignores the unused short setup from the MetaTrader code, matching the original behavior where short trades were effectively disabled.
  • Indicator values are processed via StockSharp's high-level API to avoid manual buffering and stay aligned with the project guidelines.
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>
/// Bruno trend strategy - EMA trend following with RSI confirmation.
/// Buys when fast EMA is above slow EMA and RSI is rising.
/// Sells when fast EMA crosses below slow EMA.
/// </summary>
public class BrunoTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _prevRsi;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BrunoTrendStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 8)
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 21)
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Period", "RSI period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevFast = 0m; _prevSlow = 0m; _prevRsi = 0m; _hasPrev = false; }

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

		_hasPrev = false;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, rsi, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_prevRsi = rsi;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fast > slow;
		var crossDown = _prevFast >= _prevSlow && fast < slow;

		// Buy on bullish crossover with rising RSI
		if (crossUp && rsi > _prevRsi && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Sell on bearish crossover
		else if (crossDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevFast = fast;
		_prevSlow = slow;
		_prevRsi = rsi;
	}
}