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Anchored Momentum Breakout Strategy

Overview

The Anchored Momentum Breakout Strategy uses the ratio of an exponential moving average (EMA) to a simple moving average (SMA) to measure momentum. When the short-term EMA begins to rise faster than the long-term SMA, it indicates increasing bullish momentum. Conversely, a falling ratio signals strengthening bearish momentum.

How It Works

  1. Indicators
    • EMA with configurable period.
    • SMA with configurable period.
  2. Momentum Calculation
    • Momentum = 100 * (EMA / SMA - 1)
    • Positive momentum means EMA is above SMA; negative momentum means EMA is below SMA.
  3. Trading Logic
    • If momentum has been decreasing and then turns upward, the strategy enters a long position.
    • If momentum has been increasing and then turns downward, the strategy enters a short position.
    • Position size automatically includes the existing position to reverse when needed.
  4. Risk Management
    • Stop-loss and take-profit levels are set as percentages of entry price using the built-in protection mechanism.

Parameters

Name Description
SmaPeriod Period for the SMA indicator.
EmaPeriod Period for the EMA indicator.
StopLossPercent Percentage for stop-loss.
TakeProfitPercent Percentage for take-profit.
CandleType Timeframe of candles used for calculations.

Notes

  • The strategy works with finished candles only.
  • All trading actions are executed using market orders.
  • Indicator values are obtained through the high-level Bind API without accessing historical buffers directly.
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>
/// Strategy based on anchored momentum indicator.
/// Computes momentum as EMA/SMA ratio and trades reversals.
/// </summary>
public class AnchoredMomentumBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _takeProfitPercent;

	private decimal _prev;
	private decimal _prevPrev;
	private bool _initialized;

	public int SmaPeriod { get => _smaPeriod.Value; set => _smaPeriod.Value = value; }
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }

	public AnchoredMomentumBreakoutStrategy()
	{
		_smaPeriod = Param(nameof(SmaPeriod), 34)
			.SetDisplay("SMA Period", "Period for simple moving average", "Indicators");
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetDisplay("EMA Period", "Period for exponential moving average", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 4m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk Management");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prev = 0;
		_prevPrev = 0;
		_initialized = false;
	}

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

		var sma = new ExponentialMovingAverage { Length = SmaPeriod };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var sub = SubscribeCandles(CandleType);
		sub.Bind(sma, ema, ProcessCandle).Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPercent, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent),
			useMarketOrders: true);

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, sub);
			DrawIndicator(area, sma);
			DrawIndicator(area, ema);
			DrawOwnTrades(area);
		}
	}

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

		if (smaVal == 0)
			return;

		var mom = 100m * (emaVal / smaVal - 1m);

		if (!_initialized)
		{
			_prev = mom;
			_prevPrev = mom;
			_initialized = true;
			return;
		}

		if (_prev < _prevPrev && mom >= _prev && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (_prev > _prevPrev && mom <= _prev && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevPrev = _prev;
		_prev = mom;
	}
}