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Inside Bar Breakout Strategy

An inside bar forms when a candle's range is fully contained within the previous bar's high and low. It signals short-term indecision that can lead to a breakout once price clears the pattern. This strategy waits for that break and then trades in the direction of the expansion.

Testing indicates an average annual return of about 118%. It performs best in the stocks market.

Each new candle is compared with the one before it. If an inside bar appears, the system marks its high and low and watches for a close outside those levels. A bullish breakout opens a long position with a stop below the pattern low, while a bearish breakout triggers a short with a stop above the pattern high.

Should price fail to break out immediately, the strategy manages existing positions by exiting if the next candle moves against the trade beyond the prior bar's extremes.

Details

  • Entry Criteria: Breakout of an inside bar's high or low.
  • Long/Short: Both.
  • Exit Criteria: Price crossing previous candle extreme or stop-loss.
  • Stops: Yes, placed beyond the pattern.
  • Default Values:
    • CandleType = 5 minute
    • StopLossPercent = 1 The stop lies this many percent beyond the opposite side of the inside bar; both it and the previous-candle exit are checked on candle closes.
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: Candlestick
    • 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>
/// Inside Bar Breakout strategy.
/// An inside bar's range lies within the previous candle's high and low. While flat, a close above the latest inside bar's
/// high buys and a close below its low sells. The stop lies StopLossPercent percent beyond the opposite side of the pattern,
/// and a close beyond the previous candle's extreme against the position also exits.
/// </summary>
public class InsideBarBreakoutStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private (decimal High, decimal Low)? _prevCandle;
	private (decimal High, decimal Low)? _insideBar;
	private decimal _stopPrice;

	/// <summary>
	/// Distance of the stop beyond the pattern, in percent.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Candle type and timeframe.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public InsideBarBreakoutStrategy()
	{
		_stopLossPercent = Param(nameof(StopLossPercent), 1m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Distance of the stop beyond the pattern, in percent", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevCandle = null;
		_insideBar = null;
		_stopPrice = default;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevCandle = null;
		_insideBar = null;
		_stopPrice = default;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var previous = _prevCandle;
		var pattern = _insideBar;

		_prevCandle = (candle.HighPrice, candle.LowPrice);

		var isInside = previous is { } prev && candle.HighPrice <= prev.High && candle.LowPrice >= prev.Low;
		var close = candle.ClosePrice;

		// A close outside the pattern uses it up; a new inside bar replaces it.
		if (pattern is { } bar && (close > bar.High || close < bar.Low))
			_insideBar = null;

		if (isInside)
			_insideBar = (candle.HighPrice, candle.LowPrice);

		if (previous is not { } prior || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (close <= _stopPrice || close < prior.Low)
				SellMarket(Position);
		}
		else if (Position < 0)
		{
			if (close >= _stopPrice || close > prior.High)
				BuyMarket(-Position);
		}
		else if (pattern is { } inside)
		{
			if (close > inside.High)
			{
				BuyMarket(Volume);
				_stopPrice = inside.Low * (1 - StopLossPercent / 100m);
			}
			else if (close < inside.Low)
			{
				SellMarket(Volume);
				_stopPrice = inside.High * (1 + StopLossPercent / 100m);
			}
		}
	}
}