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UNMITIGATED LEVELS ACCUMULATION Strategy

Accumulates long positions by placing limit orders at previous day, week, month and year lows that have not been revisited recently. Orders are only placed during the London session and all positions are closed on new all‑time highs.

Details

  • Entry Criteria:
    • Limit buys at unmitigated historical lows during session hours.
  • Long/Short: Long only.
  • Exit Criteria:
    • Close all on new all-time high.
  • Stops: None.
  • Default Values:
    • Max Lookback = 50
    • Session Start = 09:00
    • Session End = 17:00
    • Base PDL = 0.1
    • Base PWL = 0.2
    • Base PML = 0.4
    • Base PYL = 0.8
  • Filters:
    • Category: Mean Reversion
    • Direction: Long
    • Indicators: None
    • Stops: No
    • Complexity: Advanced
    • Timeframe: Intraday
    • Seasonality: Yes (London session)
    • 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>
/// Accumulation strategy: buys at support levels (recent lows) and sells at new highs.
/// Uses Lowest indicator to detect support and Highest for resistance breakout exits.
/// </summary>
public class UnmitigatedLevelsAccumulationStrategy : Strategy
{
	private readonly StrategyParam<int> _lowLength;
	private readonly StrategyParam<int> _highLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevLow;
	private decimal _prevHigh;

	public int LowLength { get => _lowLength.Value; set => _lowLength.Value = value; }
	public int HighLength { get => _highLength.Value; set => _highLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public UnmitigatedLevelsAccumulationStrategy()
	{
		_lowLength = Param(nameof(LowLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Low Length", "Lowest period for support", "General");

		_highLength = Param(nameof(HighLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("High Length", "Highest period for resistance", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevLow = 0;
		_prevHigh = 0;
	}

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

		var lowest = new Lowest { Length = LowLength };
		var highest = new Highest { Length = HighLength };

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

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

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

		if (_prevLow == 0 || _prevHigh == 0)
		{
			_prevLow = lowValue;
			_prevHigh = highValue;
			return;
		}

		// Buy when price bounces off support (touches lowest and recovers)
		if (candle.LowPrice <= lowValue && candle.ClosePrice > lowValue && Position <= 0)
			BuyMarket();

		// Sell when price breaks to new high and pulls back
		if (candle.HighPrice >= highValue && candle.ClosePrice < highValue && Position >= 0)
			SellMarket();

		// Exit long if price breaks below support
		if (Position > 0 && candle.ClosePrice < _prevLow * 0.99m)
			SellMarket();

		// Exit short if price breaks above resistance
		if (Position < 0 && candle.ClosePrice > _prevHigh * 1.01m)
			BuyMarket();

		_prevLow = lowValue;
		_prevHigh = highValue;
	}
}