Deutsch DE
Auf GitHub ansehen

Eugene Strategy

Summary

The Eugene Strategy ports the original MetaTrader 4 expert advisor "Eugene" to the StockSharp high level API. The algorithm monitors hourly candles by default and looks for breakouts of inside candles that are confirmed by a retracement to a third of the prior candle. Once a breakout is confirmed the strategy enters in the breakout direction and can reverse existing positions when an opposite setup appears.

Trading Logic

  1. Inside candle detection – the previous candle must be completely inside the range of the candle before it. Its closing direction determines whether it is classified as a black (bearish) or white (bullish) insider.
  2. Bird filters – an inside candle confirmed by another candle of the same color behind it is marked as a "bird". Black birds block long trades, white birds block short trades. This mirrors the protective filter from the MQL version.
  3. Zigzag confirmation levels – two confirmation prices are computed at one third of the prior candle body or wick:
    • The long confirmation level is one third below the previous close (body for bullish candles, wick for bearish candles).
    • The short confirmation level is one third above the previous close (body for bearish candles, wick for bullish candles).
  4. Session filter – if the current candle opens at 08:00 or later, confirmations are considered satisfied even without a retracement.
  5. Breakout condition – a buy signal requires the current candle to make a higher high than the previous candle while keeping a higher low and overlapping the range of the candle two bars back. A sell signal uses the symmetric conditions with lower lows and lower highs.
  6. Position management – before opening a new trade the strategy closes any opposite exposure. Only one long and one short entry can be issued per candle, replicating the Counter_buy and Counter_sell constraints from the original expert advisor.

Parameters

Name Description Default
Trade Volume Order size for market orders. 0.1
Candle Type Time frame of the processed candle series. 1 hour

Charting

When a chart area is available the strategy plots the processed candles together with the executed trades, helping to visualise the breakout behaviour.

Notes

  • The StockSharp version keeps the hourly session filter from the MQL expert. Adjust the candle type when trading other markets or time zones.
  • Stop-loss and take-profit management is not included in the source MQL file. The port therefore leaves risk management to the hosting environment.
using System;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

public class EugeneStrategy : Strategy
{
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _cooldownCandles;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private decimal _prevSma;
	private bool _hasPrev;
	private int _cooldownRemaining;

	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int CooldownCandles { get => _cooldownCandles.Value; set => _cooldownCandles.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public EugeneStrategy()
	{
		_smaPeriod = Param(nameof(SmaPeriod), 50).SetDisplay("SMA Period", "SMA lookback", "Indicators");
		_rsiPeriod = Param(nameof(RsiPeriod), 14).SetDisplay("RSI Period", "RSI lookback", "Indicators");
		_cooldownCandles = Param(nameof(CooldownCandles), 200).SetDisplay("Cooldown", "Candles between signals", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame()).SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = default;
		_prevSma = default;
		_hasPrev = default;
		_cooldownRemaining = default;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevClose = 0;
		_prevSma = 0;
		_hasPrev = false;
		_cooldownRemaining = 0;

		var sma = new SimpleMovingAverage { Length = SmaPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(sma, rsi, ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal sma, decimal rsi)
	{
		if (candle.State != CandleStates.Finished) return;
		var close = candle.ClosePrice;
		if (!_hasPrev) { _prevClose = close; _prevSma = sma; _hasPrev = true; return; }

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = close;
			_prevSma = sma;
			return;
		}

		if (_prevClose <= _prevSma && close > sma && rsi < 70 && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
			_cooldownRemaining = CooldownCandles;
		}
		else if (_prevClose >= _prevSma && close < sma && rsi > 30 && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
			_cooldownRemaining = CooldownCandles;
		}
		_prevClose = close;
		_prevSma = sma;
	}
}