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ATR Trailing Stops

ATR Trailing uses an average true range multiple to trail stops behind open positions. Entries occur when price crosses a moving average, and the trailing stop adjusts with volatility.

Testing indicates an average annual return of about 157%. It performs best in the crypto market.

As price advances, the stop ratchets up (or down) based on the latest ATR reading, never retreating. This locks in gains as the trend persists.

Exits happen when the trailing stop is triggered or when price crosses back through the moving average.

Details

  • Entry Criteria: Price above or below MA.
  • Long/Short: Both directions.
  • Exit Criteria: Trailing stop hit or price crosses MA.
  • Stops: Yes.
  • Default Values:
    • AtrPeriod = 14
    • AtrMultiplier = 3.0m
    • MAPeriod = 20
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: ATR, MA
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Enters on price/SMA crossings; a crossing against the open position closes it and opens the crossing side.
/// A fill-anchored, finished-close/current-ATR ratchet exits at market on fresh executable quotes.
/// </summary>
public class AtrTrailingStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousClose;
	private decimal _previousMean;
	private decimal? _trailingStopLevel;
	private decimal _entryDistance;
	private decimal _entryVolume;
	private decimal _entryValue;
	private Sides _entrySide;
	private Order _pendingOrder;

	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public int MAPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AtrTrailingStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators")
			.SetOptimize(7, 21, 7);
		_atrMultiplier = Param(nameof(AtrMultiplier), 3m).SetNotNegative()
			.SetDisplay("ATR Multiplier", "ATR multiplier for trailing stop; zero disables it", "Risk")
			.SetOptimize(2m, 4m, 0.5m);
		_maPeriod = Param(nameof(MAPeriod), 20).SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for Moving Average calculation for entry", "Indicators")
			.SetOptimize(10, 50, 5);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		OrderRegistering += order => _pendingOrder = order;
		Trades.TradeAdded += ObserveActualFill;
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	private bool HasPendingOrder => _pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed);

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousClose = null;
		_previousMean = default;
		_trailingStopLevel = null;
		_entryDistance = _entryVolume = _entryValue = default;
		_entrySide = default;
		_pendingOrder = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_previousClose = null;
		_trailingStopLevel = null;
		_entryVolume = _entryValue = 0m;
		_pendingOrder = null;
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ProcessQuote).Start();
		}
		var atr = new AverageTrueRange { Length = AtrPeriod };
		var sma = new SimpleMovingAverage { Length = MAPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(atr, sma, ProcessCandle, false).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, sma);
			DrawOwnTrades(area);
		}
	}

	private void Ratchet(decimal candidate)
	{
		_trailingStopLevel = _trailingStopLevel is decimal previous
			? (_entrySide == Sides.Buy ? Math.Max(previous, candidate) : Math.Min(previous, candidate))
			: candidate;
	}

	private void ObserveActualFill(MyTrade trade)
	{
		if (Position == 0m)
		{
			_trailingStopLevel = null;
			_entryVolume = _entryValue = 0m;
		}
		else if (trade.Order.Side == _entrySide && AtrMultiplier > 0m)
		{
			_entryVolume += trade.Trade.Volume;
			_entryValue += trade.Trade.Price * trade.Trade.Volume;
			var actualEntry = _entryValue / _entryVolume;
			Ratchet(_entrySide == Sides.Buy ? actualEntry - _entryDistance : actualEntry + _entryDistance);
		}
	}

	private void ProcessQuote(Level1ChangeMessage quote)
	{
		if (AtrMultiplier == 0m || Position == 0m || _trailingStopLevel is not decimal stop
			|| HasPendingOrder || !IsFormedAndOnlineAndAllowTrading())
			return;
		// Only a fresh executable-side price can activate; never reuse another side's stale quote.
		var field = Position > 0m ? Level1Fields.BestBidPrice : Level1Fields.BestAskPrice;
		if (!quote.Changes.TryGetValue(field, out var raw) || raw is not decimal price || price <= 0m)
			return;
		if (Position > 0m ? price <= stop : price >= stop)
			ClosePosition("ATR trailing stop");
	}

	private void ClosePosition(string comment)
	{
		RegisterOrder(new Order
		{
			Security = Security, Portfolio = Portfolio, Type = OrderTypes.Market,
			Side = Position > 0m ? Sides.Sell : Sides.Buy,
			Volume = Math.Abs(Position), Comment = comment,
		});
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue atrValue, IIndicatorValue smaValue)
	{
		if (candle.State != CandleStates.Finished || !atrValue.Indicator.IsFormed || !smaValue.Indicator.IsFormed
			|| !IsFormedAndOnlineAndAllowTrading())
			return;
		var atr = atrValue.GetValue<decimal>();
		var mean = smaValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		var downwardCross = _previousClose is decimal prevDown && prevDown >= _previousMean && close < mean;
		var upwardCross = _previousClose is decimal prevUp && prevUp <= _previousMean && close > mean;
		_previousClose = close;
		_previousMean = mean;
		// While a reversal is unfilled the old side is still held; its close must not seed the new side's stop.
		if (Position != 0m && (Position > 0m) == (_entrySide == Sides.Buy) && AtrMultiplier > 0m)
			Ratchet(Position > 0m ? close - atr * AtrMultiplier : close + atr * AtrMultiplier);
		if (HasPendingOrder)
			return;
		if (upwardCross || downwardCross)
		{
			var side = upwardCross ? Sides.Buy : Sides.Sell;
			// A crossing against the open position closes it and opens the crossing side in one order.
			if (Position == 0m || (Position > 0m) != (side == Sides.Buy))
			{
				_entrySide = side;
				_entryDistance = atr * AtrMultiplier;
				_entryVolume = _entryValue = 0m;
				_trailingStopLevel = null;
				RegisterOrder(new Order
				{
					Security = Security, Portfolio = Portfolio, Type = OrderTypes.Market,
					Side = side, Volume = Volume + Math.Abs(Position), Comment = "ATR trailing entry",
				});
			}
		}
		// A newly tightened level is eligible only for subsequent quote updates, not this bar's old wick.
	}
}