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Grim Slash

Grim Slash is a simple price action strategy that buys when the current candle's low tests the previous close and exits when the high reaches the previous high. Risk is managed with fixed percentage take profit and stop loss.

Details

  • Data: Price candles.
  • Entry Criteria:
    • Long: Current low touches or dips below the previous close.
  • Exit Criteria: Current high touches or exceeds the previous high.
  • Stops: 15% take profit, 5% stop loss.
  • Default Values:
    • TakeProfitPercent = 15
    • StopLossPercent = 5
  • Filters:
    • Category: Reversal
    • Direction: Long
    • Indicators: None
    • Complexity: Low
    • Risk level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Grim Slash strategy.
/// Buys when the candle's low touches or dips below the previous close and exits when the high reaches the previous high.
/// A percent take profit and stop loss manage the risk.
/// </summary>
public class GrimSlashStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevClose;
	private decimal? _prevHigh;

	/// <summary>
	/// Take profit percent from the entry price.
	/// </summary>
	public decimal TakeProfitPercent
	{
		get => _takeProfitPercent.Value;
		set => _takeProfitPercent.Value = value;
	}

	/// <summary>
	/// Stop loss percent from the entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public GrimSlashStrategy()
	{
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 15m)
			.SetNotNegative()
			.SetDisplay("Take Profit %", "Take profit percent from the entry price", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 5m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percent from the entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).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();
		_prevClose = null;
		_prevHigh = null;
	}

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

		_prevClose = null;
		_prevHigh = null;

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

		StartProtection(
			TakeProfitPercent > 0 ? new Unit(TakeProfitPercent, UnitTypes.Percent) : new Unit(),
			StopLossPercent > 0 ? new Unit(StopLossPercent, UnitTypes.Percent) : new Unit(),
			useMarketOrders: true);

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

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

		var prevClose = _prevClose;
		var prevHigh = _prevHigh;

		_prevClose = candle.ClosePrice;
		_prevHigh = candle.HighPrice;

		if (prevClose is not decimal lastClose || prevHigh is not decimal lastHigh)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (candle.HighPrice >= lastHigh)
				SellMarket(Position);
		}
		else if (Position == 0 && candle.LowPrice <= lastClose)
		{
			BuyMarket(Volume);
		}
	}
}