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PowerZone Strategy

This strategy identifies "PowerZone" order blocks created by a bearish candle followed by consecutive bullish candles (and vice versa). A breakout above the bull zone triggers a long trade, while a breakdown below the bear zone opens a short. Targets and stops are based on the zone's range.

Details

  • Entry Criteria:
    • Long: Bearish candle Periods+1 bars ago followed by Periods bullish candles and price breaking above the zone high.
    • Short: Bullish candle Periods+1 bars ago followed by Periods bearish candles and price breaking below the zone low.
  • Long/Short: Both sides.
  • Exit Criteria: Take profit and stop loss multiples of the zone range.
  • Indicators: None.
  • Default Values:
    • Periods = 5
    • Threshold = 0
    • UseWicks = false
    • Take Profit Factor = 1.5
    • Stop Loss Factor = 1
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: None
    • Stops: Yes
    • Complexity: Medium
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Moderate

Calculation and execution

C# and Python use finished candles. At decision bar t, the anchor is t - Periods - 1; the next Periods bars through t - 1 must all close strictly above their opens for a bull zone, or strictly below for a bear zone. The anchor has the opposite strict color. Dojis do not qualify. The current decision candle is excluded from confirmation, so zones are never known before their confirmation completes.

Require 100 * abs(Close[t - 1] - anchor Close) / abs(anchor Close) >= Threshold; a zero anchor close is invalid. The zone is the anchor's body [min(Open, Close), max(Open, Close)], or its [Low, High] when UseWicks=true. Confirmation candle extremes do not enlarge the zone. Its width must be positive. Keep the latest bull and bear zones independently until replaced, with at most one accepted entry per zone.

Long requires current Close > bull zone high; short requires Close < bear zone low. Equality holds. A newly confirmed zone can enter on its first decision candle even if price is already beyond its boundary. Enter Volume from flat or fully reverse with Volume + abs(Position); do not add to the same side. If both directions qualify from flat, long takes priority. Pending orders block further orders. No EMA, cooldown or other indicator is used.

At accepted entry, freeze zone width * StopLossFactor and zone width * TakeProfitFactor. Place these distances around the actual fill basis, volume-weighted for same-side partial additions; reductions retain the basis and reversals reset it. Later zones do not move the held position's distances. Local protection checks executable bid for long, ask for short and finished candle closes, then submits a market order for the full remaining position. It takes priority over a new entry on the same candle. Candle high/low touches are not assumed intrabar executions; gaps can change the fill price.

The defaults above are shared: API parameters TakeProfitFactor=1.5, StopLossFactor=1, and five-minute CandleType. UseWicks is the published parameter name; the C# property is IsUseWicks. Periods and factors must be positive; Threshold is a nonnegative percent. These definitions make the brief's previously unspecified threshold, boundary, consumption and fill-anchor rules explicit.

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Trades confirmed candle order-block zones with optional wick boundaries,
/// percent movement filtering and frozen zone-range exits from actual fills.
/// </summary>
public class PowerZoneStrategy : Strategy
{
	private readonly StrategyParam<int> _periods;
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<bool> _isUseWicks;
	private readonly StrategyParam<decimal> _takeProfitFactor;
	private readonly StrategyParam<decimal> _stopLossFactor;
	private readonly StrategyParam<DataType> _candleType;
	private readonly List<(decimal open, decimal high, decimal low, decimal close)> _bars = [];
	private decimal? _bullHigh;
	private decimal? _bullLow;
	private decimal? _bearHigh;
	private decimal? _bearLow;
	private bool _isBullUsed;
	private bool _isBearUsed;
	private Order _pendingOrder;
	private decimal _filledPosition;
	private decimal _entryPrice;
	private decimal _stopDistance;
	private decimal _takeDistance;

	/// <summary>Initializes five-bar confirmations, body zones, zero movement threshold and range-based 1/1.5 exits.</summary>
	public PowerZoneStrategy()
	{
		_periods = Param(nameof(Periods), 5).SetGreaterThanZero()
			.SetDisplay("Periods", "Completed same-color confirmation candles after the opposite anchor", "Zones");
		_threshold = Param(nameof(Threshold), 0m).SetRange(0m, decimal.MaxValue)
			.SetDisplay("Threshold", "Minimum absolute percent move from anchor close to final confirmation close", "Zones");
		_isUseWicks = Param("UseWicks", false)
			.SetDisplay("Use Wicks", "Use anchor high/low instead of body boundaries", "Zones");
		_takeProfitFactor = Param(nameof(TakeProfitFactor), 1.5m).SetGreaterThanZero()
			.SetDisplay("Take Profit Factor", "Frozen entry-zone range multiple above/below actual fill basis", "Protection");
		_stopLossFactor = Param(nameof(StopLossFactor), 1m).SetGreaterThanZero()
			.SetDisplay("Stop Loss Factor", "Frozen entry-zone range multiple below/above actual fill basis", "Protection");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Finished zone confirmations and subsequent breakout decisions", "General");
		OrderRegistering += order => _pendingOrder = order;
		OwnTradeReceived += ObserveFill;
	}

	/// <summary>Number of strict same-color confirmation bars after the opposite anchor candle.</summary>
	public int Periods { get => _periods.Value; set => _periods.Value = value; }
	/// <summary>Inclusive minimum absolute anchor-to-confirmation close movement in percent.</summary>
	public decimal Threshold { get => _threshold.Value; set => _threshold.Value = value; }
	/// <summary>Use anchor wicks; the published strategy parameter remains named UseWicks.</summary>
	public bool IsUseWicks { get => _isUseWicks.Value; set => _isUseWicks.Value = value; }
	/// <summary>Positive take distance as a multiple of the accepted zone range.</summary>
	public decimal TakeProfitFactor { get => _takeProfitFactor.Value; set => _takeProfitFactor.Value = value; }
	/// <summary>Positive stop distance as a multiple of the accepted zone range.</summary>
	public decimal StopLossFactor { get => _stopLossFactor.Value; set => _stopLossFactor.Value = value; }
	/// <summary>Base candle type; five minutes by default.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

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

	private void ResetState()
	{
		_bars.Clear();
		_bullHigh = _bullLow = _bearHigh = _bearLow = null;
		_isBullUsed = _isBearUsed = false;
		_pendingOrder = null;
		_filledPosition = _entryPrice = _stopDistance = _takeDistance = 0m;
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		if (Periods <= 0 || Threshold < 0m || TakeProfitFactor <= 0m || StopLossFactor <= 0m)
			throw new ArgumentException("Periods and risk factors must be positive; movement threshold cannot be negative.");
		ResetState();
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveQuote).Start();
		}
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}

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

	private void Submit(Sides side, decimal volume, string comment)
		=> RegisterOrder(new Order { Security = Security, Portfolio = Portfolio, Type = OrderTypes.Market, Side = side, Volume = volume, Comment = comment });

	private void ObserveFill(Subscription subscription, MyTrade trade)
	{
		var previous = _filledPosition;
		var signed = trade.Order.Side == Sides.Buy ? trade.Trade.Volume : -trade.Trade.Volume;
		_filledPosition += signed;
		if (_filledPosition == 0m)
			_entryPrice = 0m;
		else if (previous == 0m || Math.Sign(_filledPosition) != Math.Sign(previous))
			_entryPrice = trade.Trade.Price;
		else if (Math.Sign(signed) == Math.Sign(previous))
			_entryPrice = (_entryPrice * Math.Abs(previous) + trade.Trade.Price * Math.Abs(signed)) / Math.Abs(_filledPosition);
	}

	private bool TryRiskExit(decimal price)
	{
		if (Position == 0m || _entryPrice <= 0m || IsPending || !IsFormedAndOnlineAndAllowTrading())
			return false;
		var profit = (price - _entryPrice) * Math.Sign(Position);
		var comment = profit <= -_stopDistance ? "PowerZone stop loss" : profit >= _takeDistance ? "PowerZone take profit" : null;
		if (comment is null)
			return false;
		Submit(Position > 0m ? Sides.Sell : Sides.Buy, Math.Abs(Position), comment);
		return true;
	}

	private void ObserveQuote(Level1ChangeMessage quote)
	{
		var field = Position > 0m ? Level1Fields.BestBidPrice : Level1Fields.BestAskPrice;
		if (quote.TryGetDecimal(field) is decimal price && price > 0m)
			TryRiskExit(price);
	}

	private void ConfirmZones()
	{
		if (_bars.Count < checked(Periods + 2))
			return;
		var anchor = _bars[0];
		var bull = anchor.close < anchor.open;
		var bear = anchor.close > anchor.open;
		for (var i = 1; i < _bars.Count - 1; i++)
		{
			bull &= _bars[i].close > _bars[i].open;
			bear &= _bars[i].close < _bars[i].open;
		}
		if ((!bull && !bear) || anchor.close == 0m
			|| 100m * Math.Abs(_bars[^2].close - anchor.close) / Math.Abs(anchor.close) < Threshold)
			return;
		var high = IsUseWicks ? anchor.high : Math.Max(anchor.open, anchor.close);
		var low = IsUseWicks ? anchor.low : Math.Min(anchor.open, anchor.close);
		if (high <= low)
			return;
		if (bull)
		{
			_bullHigh = high;
			_bullLow = low;
			_isBullUsed = false;
		}
		else
		{
			_bearHigh = high;
			_bearLow = low;
			_isBearUsed = false;
		}
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;
		_bars.Add((candle.OpenPrice, candle.HighPrice, candle.LowPrice, candle.ClosePrice));
		if (_bars.Count > checked(Periods + 2))
			_bars.RemoveAt(0);
		ConfirmZones();
		if (TryRiskExit(candle.ClosePrice) || IsPending || !IsFormedAndOnlineAndAllowTrading())
			return;
		Sides? side = null;
		var width = 0m;
		if (!_isBullUsed && _bullHigh is decimal bullHigh && _bullLow is decimal bullLow
			&& candle.ClosePrice > bullHigh && Position <= 0m)
		{
			side = Sides.Buy;
			width = bullHigh - bullLow;
			_isBullUsed = true;
		}
		else if (!_isBearUsed && _bearHigh is decimal bearHigh && _bearLow is decimal bearLow
			&& candle.ClosePrice < bearLow && Position >= 0m)
		{
			side = Sides.Sell;
			width = bearHigh - bearLow;
			_isBearUsed = true;
		}
		if (side is Sides direction)
		{
			_stopDistance = width * StopLossFactor;
			_takeDistance = width * TakeProfitFactor;
			Submit(direction, Volume + Math.Abs(Position), "PowerZone breakout entry");
		}
	}
}