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Genie Pivot Strategy

This strategy implements the Genie Pivot reversal scalping idea originally written in MQL4. It waits for a pivot pattern formed by seven consecutive candles and manages the open position with a fixed take profit and trailing stop.

Strategy Logic

  1. Pattern detection – a long signal appears when seven previous lows are strictly decreasing and the last completed candle makes a higher low with a close above the prior high. A short signal is generated by the mirrored condition on highs.
  2. Order execution – once a signal is confirmed the strategy opens a market order with the volume calculated from account equity and the configured risk parameters.
  3. Trade management – after entry a take-profit and trailing stop are set. The trailing stop activates only once the profit exceeds the trailing distance. If price reverses on the following candle (bearish for long, bullish for short) the position is closed immediately.
  4. Volume reduction – consecutive losing trades reduce the traded volume according to the Decrease Factor parameter.

Parameters

Name Description
TakeProfit Profit target in price steps from the entry price.
TrailingStop Trailing stop distance in price steps.
MaximumRisk Fraction of account value used to size the position.
DecreaseFactor Reduces volume after consecutive losses.
BaseVolume Fallback volume when portfolio value is unknown.
CandleType Timeframe of candles to analyze.

Notes

The strategy processes only finished candles. No Python version is provided yet.

using System;
using System.Linq;
using System.Collections.Generic;
using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;



/// <summary>
/// Pivot point reversal scalping strategy.
/// </summary>
public class GeniePivotStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<decimal> _maximumRisk;
	private readonly StrategyParam<decimal> _decreaseFactor;
	private readonly StrategyParam<decimal> _baseVolume;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private readonly decimal[] _lows = new decimal[8];
	private readonly decimal[] _highs = new decimal[8];
	private int _filled;

	private decimal _entryPrice;
	private decimal _stopPrice;
	private decimal _targetPrice;
	private int _lossCount;
	private int _cooldownRemaining;

	/// <summary>
	/// Take profit distance in price steps.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price steps.
	/// </summary>
	public decimal TrailingStop
	{
		get => _trailingStop.Value;
		set => _trailingStop.Value = value;
	}

	/// <summary>
	/// Maximum risk used to calculate volume.
	/// </summary>
	public decimal MaximumRisk
	{
		get => _maximumRisk.Value;
		set => _maximumRisk.Value = value;
	}

	/// <summary>
	/// Factor to decrease volume after consecutive losses.
	/// </summary>
	public decimal DecreaseFactor
	{
		get => _decreaseFactor.Value;
		set => _decreaseFactor.Value = value;
	}

	/// <summary>
	/// Base volume used when account value is unknown.
	/// </summary>
	public decimal BaseVolume
	{
		get => _baseVolume.Value;
		set => _baseVolume.Value = value;
	}

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

	/// <summary>
	/// Number of completed candles to wait after closing a position.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="GeniePivotStrategy"/>.
	/// </summary>
	public GeniePivotStrategy()
	{
		_takeProfit = Param(nameof(TakeProfit), 500m).SetDisplay("Take Profit", "Profit target in points", "Risk");

		_trailingStop =
			Param(nameof(TrailingStop), 200m).SetDisplay("Trailing Stop", "Trailing distance in points", "Risk");

		_maximumRisk = Param(nameof(MaximumRisk), 0.02m).SetDisplay("Maximum Risk", "Risk per trade", "Risk");

		_decreaseFactor =
			Param(nameof(DecreaseFactor), 3m).SetDisplay("Decrease Factor", "Volume reduction after losses", "Risk");

		_baseVolume = Param(nameof(BaseVolume), 0.1m).SetDisplay("Base Volume", "Fallback volume", "General");

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

		_cooldownBars = Param(nameof(CooldownBars), 4)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after closing a position", "Risk");
	}

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

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

		_filled = 0;
		_entryPrice = default;
		_stopPrice = default;
		_targetPrice = default;
		_lossCount = 0;
		_cooldownRemaining = 0;

		Array.Clear(_lows);
		Array.Clear(_highs);
	}

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

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

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

	private decimal GetVolume()
	{
		var lot = BaseVolume;

		if (MaximumRisk > 0m && Portfolio.CurrentValue is decimal value)
			lot = Math.Round(value * MaximumRisk / 1000m, 1);

		if (DecreaseFactor > 0m && _lossCount > 1)
			lot -= lot * _lossCount / DecreaseFactor;

		return lot < 0.1m ? 0.1m : lot;
	}

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var step = Security.PriceStep ?? 1m;
		var close = candle.ClosePrice;
		var open = candle.OpenPrice;
		var high = candle.HighPrice;
		var low = candle.LowPrice;

		// shift history
		for (var i = _lows.Length - 1; i > 0; i--)
		{
			_lows[i] = _lows[i - 1];
			_highs[i] = _highs[i - 1];
		}
		_lows[0] = low;
		_highs[0] = high;

		if (_filled < 4)
		{
			_filled++;
			return;
		}

		if (Position == 0)
		{
			if (_cooldownRemaining > 0)
				return;

			// Buy when 3 consecutive declining lows followed by a higher low (reversal)
			var buyCond = _lows[4] > _lows[3] && _lows[3] > _lows[2] && _lows[2] > _lows[1] &&
						  _lows[1] < _lows[0] && close > _highs[1] && close > open;

			// Sell when 3 consecutive rising highs followed by a lower high (reversal)
			var sellCond = _highs[4] < _highs[3] && _highs[3] < _highs[2] && _highs[2] < _highs[1] &&
						   _highs[1] > _highs[0] && close < _lows[1] && close < open;

			if (buyCond)
			{
				BuyMarket();
				_entryPrice = close;
				_stopPrice = _entryPrice - TrailingStop * step;
				_targetPrice = _entryPrice + TakeProfit * step;
			}
			else if (sellCond)
			{
				SellMarket();
				_entryPrice = close;
				_stopPrice = _entryPrice + TrailingStop * step;
				_targetPrice = _entryPrice - TakeProfit * step;
			}
		}
		else if (Position > 0)
		{
			if (close >= _targetPrice)
			{
				SellMarket();
				_lossCount = 0;
				_cooldownRemaining = CooldownBars;
			}
			else
			{
				if (close - _entryPrice > TrailingStop * step)
				{
					var newStop = close - TrailingStop * step;
					if (newStop > _stopPrice)
						_stopPrice = newStop;
				}

				if (low <= _stopPrice)
				{
					SellMarket();
					_lossCount++;
					_cooldownRemaining = CooldownBars;
				}
			}
		}
		else if (Position < 0)
		{
			if (close <= _targetPrice)
			{
				BuyMarket();
				_lossCount = 0;
				_cooldownRemaining = CooldownBars;
			}
			else
			{
				if (_entryPrice - close > TrailingStop * step)
				{
					var newStop = close + TrailingStop * step;
					if (newStop < _stopPrice)
						_stopPrice = newStop;
				}

				if (high >= _stopPrice)
				{
					BuyMarket();
					_lossCount++;
					_cooldownRemaining = CooldownBars;
				}
			}
		}
	}
}