Deutsch DE
Auf GitHub ansehen

Simple Strategy

Overview

The Simple Strategy is the StockSharp high-level conversion of the MetaTrader 4 expert advisor S!mple.mq4 located in MQL/9019. The original system monitored a fixed basket of Forex symbols and traded whenever a 50-period linear weighted moving average crossed a 200-period simple moving average. Each entry could be repeated a configurable number of times and optional money-based stop-loss and take-profit levels were attached to every trade. The conversion keeps the same logic, exposes all user inputs as strategy parameters, and logs the same diagnostic information that the EA printed in the MetaTrader terminal comment.

Trading Logic

  1. Data preparation. The strategy subscribes to a configurable candle type (five-minute candles by default) and binds both moving averages through the high-level SubscribeCandles().Bind(...) API.
  2. Moving average crossover. Two historical values of every moving average are buffered. A buy signal occurs when the fast LWMA was below the slow SMA two bars ago and closed above it on the previous finished bar. A sell signal is detected when the inverse condition happens.
  3. Trend margin tracking. The slow SMA value that occurred TrendMargin bars ago is cached to reproduce the EA's textual trend report. The live slow SMA is compared against that reference to classify the background trend as UP, DOWN, or WAIT, together with the distance expressed in price steps.
  4. Execution model.
    • When a buy signal is triggered, any short exposure is closed before buying up to NumOrders * TradeVolume. The requested volume mirrors the EA behaviour where several identical orders were stacked until the maximum count was reached.
    • A sell signal closes long exposure first and then sells up to the same aggregated target volume.
  5. Protective levels. Optional money-based stops and targets (StopLossMoney, TakeProfitMoney) are translated into price distances using the instrument PriceStep/StepPrice and the per-order TradeVolume. Once the levels are stored, every finished candle checks the high/low range; if a level is breached the position is flattened at market.
  6. Operational guard. Actual order placement is executed only when EnableTrading is set to true, replicating the original makeTrades flag that let the EA run in an "analysis only" mode.

Risk Management and Money Stops

  • Stop-loss and take-profit amounts are interpreted as cash risk/target per entry block (per MetaTrader order). The conversion uses the security metadata (PriceStep, StepPrice) to convert that amount into a rounded number of price steps. If either field is missing, a warning is logged and the monetary stops remain disabled.
  • Protective levels are evaluated on the high/low of each completed candle, matching the tick-level checks done by the EA while staying within StockSharp's high-level framework.
  • StartProtection() is invoked on start so that account-level protections configured in StockSharp remain active while the strategy runs.

Parameters

Name Default Description
TradeVolume 0.1 Volume of a single MetaTrader-like order. The base Strategy.Volume is kept in sync with this value.
NumOrders 1 Maximum number of volume blocks that can be accumulated in the same direction. The final target volume equals TradeVolume * NumOrders.
StopLossMoney 0 Optional stop-loss amount in account currency per volume block. Set to zero to disable the stop.
TakeProfitMoney 0 Optional take-profit amount in account currency per volume block. Set to zero to disable the target.
TrendMargin 10 Number of finished candles used to produce the background trend text (slow SMA compared with its value TrendMargin bars ago).
FastLength 50 Length of the fast linear weighted moving average.
SlowLength 200 Length of the slow simple moving average.
EnableTrading false When false the strategy only logs signals, exactly like the EA when makeTrades=false.
CandleType 5m time-frame Candle type used for indicator calculations.

Notes on the Conversion

  • The MetaTrader EA iterated through six hard-coded Forex symbols. StockSharp strategies operate on the Strategy.Security supplied by the user. To reproduce the basket trading behaviour, either launch several instances of the strategy (one per instrument) or wrap them inside a parent strategy that dispatches the same signals to multiple securities.
  • Money-based protective levels rely on the instrument metadata. For Forex pairs make sure both PriceStep and StepPrice are filled (for example, 0.0001 and the pip value per one lot). Otherwise the stop/target distance is silently treated as zero after logging a warning.
  • The log message emitted on every finished candle mirrors the EA comment: it lists the signal (BUY, SELL, or WAIT), both moving averages, the distance between them in price steps, and the trend assessment obtained from the delayed slow SMA.
  • The number of stacked orders is modelled as an aggregate target volume. This keeps the total exposure identical to the original implementation while using StockSharp's high-level market order helpers instead of multiple individual OrderSend calls.
  • No Python port is created yet, matching the task requirements.

Usage Tips

  • Assign a Forex security with correctly configured PriceStep, StepPrice, and VolumeStep values. Set TradeVolume to your desired lot size and enable trading once you are satisfied with the logged diagnostics.
  • To mimic the EA default behaviour (analysis only), leave EnableTrading at false. When you are ready to trade, flip it to true and the next crossover signal will submit market orders.
  • Because protective levels are monitored on candle closes, consider using shorter candles if you need tighter intrabar reaction compared with the tick-by-tick behaviour of MetaTrader.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Simple: Weighted MA crosses Simple MA crossover strategy.
/// Trades direction changes when fast WMA crosses slow SMA.
/// </summary>
public class SimpleStrategy : 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 _entryPrice;

	public SimpleStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_fastLength = Param(nameof(FastLength), 50)
			.SetDisplay("Fast WMA", "Fast weighted moving average period.", "Indicators");

		_slowLength = Param(nameof(SlowLength), 200)
			.SetDisplay("Slow SMA", "Slow simple moving average period.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period for stops.", "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;
		_entryPrice = 0;
	}

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

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

		var fast = new WeightedMovingAverage { Length = FastLength };
		var slow = new SimpleMovingAverage { 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;
			return;
		}

		var close = candle.ClosePrice;

		// Exit management
		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: WMA/SMA crossover
		if (Position == 0)
		{
			if (_prevFast <= _prevSlow && fastVal > slowVal)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (_prevFast >= _prevSlow && fastVal < slowVal)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}