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Breadandbutter2 Strategy

Overview

The Breadandbutter2 strategy is a direct conversion of the MT4 expert advisor from MQL/7710/Breadandbutter2.mq4. The system monitors one-hour candles and tracks three linear weighted moving averages (LWMA) built on the candle open prices. A synchronized crossover of the three averages indicates a trend reversal. The strategy immediately flips the position to align with the new direction and optionally pyramids additional orders while the trend persists.

Core Logic

  1. Subscribe to one-hour candles (configurable via Candle Type).
  2. Calculate LWMA(5), LWMA(10), and LWMA(15) on candle opens.
  3. Detect a bullish reversal when the previous candle had LWMA5 < LWMA10 < LWMA15 and the current candle shows LWMA5 > LWMA10 > LWMA15. Detect a bearish reversal with the opposite inequality sequence.
  4. On a bullish crossover, target a long position of Volume lots. On a bearish crossover, target an equally sized short position. The strategy adjusts the existing position by buying or selling only the difference between the current and target exposures.
  5. After each entry the Interval counter resets. Once Interval finished candles pass without a new crossover, the strategy adds another order in the current direction (pyramiding) and refreshes protective orders.
  6. Profit target and loss limit are attached to every resulting position using Take Profit and Stop Loss distances expressed in price steps. Setting either value to zero disables the corresponding protection.

Parameters

Name Default Description
Volume 0.1 Order size in lots for each base entry and pyramid layer.
Take Profit 20 Distance in price steps for the take-profit order. Set to 0 to disable.
Stop Loss 20 Distance in price steps for the protective stop. Set to 0 to disable.
Interval 4 Number of finished candles to wait before adding another pyramid position. Zero disables pyramiding.
Cross Filter 1.1 Reserved parameter kept from the original code for future ADX filtering (currently not used).
Candle Type 1-hour time frame Candle data source for the LWMA calculations.

Position Management

  • The helper method AdjustPosition ensures the final position exactly matches the desired exposure after every crossover.
  • Pyramiding trades rely on the current sign of Position to add lots in the existing direction only.
  • SetTakeProfit and SetStopLoss are invoked after each trade to keep risk controls in sync with the latest position size.

Notes

  • The MT4 script calculated an ADX value but never used it; the Cross Filter parameter is retained for compatibility and future extension.
  • The original MQL implementation had the interval counter commented out. The StockSharp version activates the intended pyramiding behaviour by counting finished candles.
  • StartProtection() is called during OnStarted to activate built-in position protection services.
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>
/// Bread and Butter strategy - triple WMA crossover.
/// Buys when WMA(5) crosses above WMA(10) and WMA(10) is above WMA(15).
/// Sells when WMA(5) crosses below WMA(10) and WMA(10) is below WMA(15).
/// </summary>
public class Breadandbutter2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevWma5;
	private decimal _prevWma10;
	private bool _hasPrev;

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

	public Breadandbutter2Strategy()
	{
		_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(); _prevWma5 = 0m; _prevWma10 = 0m; _hasPrev = false; }

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

		_hasPrev = false;

		var wma5 = new WeightedMovingAverage { Length = 5 };
		var wma10 = new WeightedMovingAverage { Length = 10 };
		var wma15 = new WeightedMovingAverage { Length = 15 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(wma5, wma10, wma15, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal wma5, decimal wma10, decimal wma15)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_hasPrev)
		{
			_prevWma5 = wma5;
			_prevWma10 = wma10;
			_hasPrev = true;
			return;
		}

		if (_prevWma5 <= _prevWma10 && wma5 > wma10 && wma10 > wma15 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		else if (_prevWma5 >= _prevWma10 && wma5 < wma10 && wma10 < wma15 && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevWma5 = wma5;
		_prevWma10 = wma10;
	}
}