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Elliott Trader Strategy

A strategy that opens layered positions when the Stochastic oscillator reaches extreme values on four-hour candles. It places an initial market order followed by a grid of limit orders. Positions are closed once a profit target is reached and the trend is confirmed by moving averages and Bollinger Bands.

Entry Rules

  • Use Stochastic oscillator (%K length 21, smoothing 3) on H4 candles.
  • When %K ≥ Overbought level:
    • Sell at market.
    • Place up to eight additional SellLimit orders above the current price at configured pip distances.
  • When %K ≤ Oversold level:
    • Buy at market.
    • Place up to eight additional BuyLimit orders below the current price at configured pip distances.

Exit Rules

  • Realized profit reaches ProfitTarget and price confirms trend:
    • Long positions exit when price is above the lower Bollinger Band and the 200‑period SMA is above the 55‑period SMA.
    • Short positions exit when price is below the upper Bollinger Band and the 200‑period SMA is below the 55‑period SMA.
  • Pending buy limits are cancelled when %K ≥ 90 and the 200‑period SMA ≤ 55‑period SMA.
  • Pending sell limits are cancelled when %K ≤ 10 and the 200‑period SMA ≥ 55‑period SMA.

Parameters

  • StochLength – %K period for Stochastic.
  • OverboughtLevel – level to start selling.
  • OversoldLevel – level to start buying.
  • ProfitTarget – realized profit required to close open positions.
  • Order2Offset … Order9Offset – pip distances for additional limit orders.
  • CandleType – timeframe of candles, default 4 hours.

Indicators

  • StochasticOscillator
  • BollingerBands
  • SMA (200 and 55)
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>
/// EMA crossover strategy inspired by Elliott wave concept.
/// </summary>
public class ElliottTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ElliottTraderStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		SubscribeCandles(CandleType)
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

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

		if (!_hasPrev)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastVal > slowVal;
		var crossDown = _prevFast >= _prevSlow && fastVal < slowVal;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}