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Elli Strategy

Overview

The Elli Strategy ports the MetaTrader 4 expert advisor "Elli" to the StockSharp high level API. The original robot combined the Ichimoku Kinko Hyo structure on the H1 timeframe with a lower timeframe ADX filter and strict risk parameters. The conversion keeps the same directional logic, replaces manual order management with StartProtection, and exposes every tuning knob as an optimisable StrategyParam<T> so that the behaviour can be adapted to different markets.

Trading Logic

  1. Ichimoku trend structure
    • The strategy subscribes to the timeframe defined by CandleType (H1 by default) and computes Tenkan-sen, Kijun-sen and Senkou spans using the original periods (19, 60, 120).
    • A bullish setup requires Tenkan > Kijun > Senkou Span A > Senkou Span B with the candle close above Kijun. Bearish setups mirror this condition.
    • The absolute distance between Tenkan and Kijun must exceed TenkanKijunGapPips pips to avoid flat or ranging clouds.
  2. Directional Movement confirmation
    • A second candle subscription runs the Average Directional Index on the timeframe specified by AdxCandleType (M1 by default).
    • Long signals are allowed only when the previous +DI value is below ConvertLow and the current +DI pushes above ConvertHigh. Shorts require the same relationship for the −DI component, replicating the acceleration filter present in the MT4 code.
  3. Entry execution
    • When all filters align, the strategy issues a market order with volume OrderVolume + |Position|. This automatically closes any opposite exposure before joining the trend.
    • Only one directional exposure is kept at a time, following the original OrdersTotal() < 1 guard.
  4. Risk management
    • StartProtection attaches symmetric stop loss and take profit orders converted from pip distances using the instrument’s pip size.
    • The position is otherwise managed passively, letting the protection orders handle exits just like the MT4 expert advisor.

Indicators and Data Subscriptions

  • Primary candles: CandleType (default 1-hour candles) for Ichimoku processing.
  • ADX candles: AdxCandleType (default 1-minute candles) for DI acceleration checks.
  • Indicators: Ichimoku (Tenkan, Kijun, Senkou Span B) and AverageDirectionalIndex (providing +DI/−DI).
  • Both subscriptions support chart rendering through DrawCandles, DrawIndicator, and DrawOwnTrades if a chart area is available.

Parameters

Name Default Description
OrderVolume 1 Base market order volume.
TakeProfitPips 60 Take-profit distance expressed in pips.
StopLossPips 30 Stop-loss distance expressed in pips.
TenkanPeriod 19 Tenkan-sen period for the Ichimoku indicator.
KijunPeriod 60 Kijun-sen period for the Ichimoku indicator.
SenkouSpanBPeriod 120 Senkou Span B period for the Ichimoku cloud.
TenkanKijunGapPips 20 Minimum Tenkan/Kijun distance (in pips) required before trading.
ConvertHigh 13 DI threshold the current value must exceed to confirm momentum.
ConvertLow 6 DI threshold the previous value must stay below before a new trade.
AdxPeriod 10 Period used for the ADX computation.
CandleType H1 Timeframe that drives the Ichimoku calculation.
AdxCandleType M1 Timeframe used for ADX and DI monitoring.

All parameters are implemented with StrategyParam<T> helpers, enabling optimisation and runtime adjustments inside StockSharp Designer.

Implementation Notes

  • The pip conversion follows the standard forex convention (0.0001 for 5-digit quotes and 0.01 for 3-digit instruments) to preserve the original pip-based thresholds.
  • ADX values are cached in _latestPlusDi, _previousPlusDi, _latestMinusDi, and _previousMinusDi, ensuring the DI acceleration check matches the MQL iADX calls with shifts 0 and 1.
  • IsFormedAndOnlineAndAllowTrading() blocks signals until the strategy, indicators, and data feeds are ready, preventing premature trades during warm-up.
  • Market entries rely on Volume + Math.Abs(Position) so that direction changes instantly flatten existing trades, emulating the single-position behaviour of the MT4 script.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Elli: EMA crossover with ATR momentum confirmation.
/// Fast EMA above slow EMA = bullish, below = bearish.
/// Entry when ATR expansion confirms trend strength.
/// </summary>
public class ElliStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _prevAtr;
	private decimal _entryPrice;

	public ElliStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_fastLength = Param(nameof(FastLength), 19)
			.SetDisplay("Fast EMA", "Fast EMA period.", "Indicators");

		_slowLength = Param(nameof(SlowLength), 60)
			.SetDisplay("Slow EMA", "Slow EMA period.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period for momentum.", "Indicators");
	}

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

	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <inheritdoc />
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevFast = 0;
		_prevSlow = 0;
		_prevAtr = 0;
		_entryPrice = 0;
	}

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

		_prevFast = 0;
		_prevSlow = 0;
		_prevAtr = 0;
		_entryPrice = 0;

		var fast = new ExponentialMovingAverage { Length = FastLength };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

	private void ProcessCandle(ICandleMessage candle, decimal fastVal, decimal slowVal, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevFast == 0 || _prevSlow == 0 || atrVal <= 0)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			_prevAtr = atrVal;
			return;
		}

		var close = candle.ClosePrice;

		// Exit: stop or take based on ATR
		if (Position > 0)
		{
			if (close <= _entryPrice - atrVal * 2m || close >= _entryPrice + atrVal * 3m)
			{
				SellMarket();
				_entryPrice = 0;
			}
			else if (fastVal < slowVal)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close >= _entryPrice + atrVal * 2m || close <= _entryPrice - atrVal * 3m)
			{
				BuyMarket();
				_entryPrice = 0;
			}
			else if (fastVal > slowVal)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		// Entry: EMA crossover with ATR expansion
		if (Position == 0)
		{
			var atrRising = atrVal > _prevAtr;

			if (_prevFast <= _prevSlow && fastVal > slowVal && atrRising)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (_prevFast >= _prevSlow && fastVal < slowVal && atrRising)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
		_prevAtr = atrVal;
	}
}