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Daily Breakpoint Strategy

This strategy trades breakouts from the daily open. At the beginning of each new day the opening price is stored. When the price moves away from this level by a user defined number of points, and the previous bar is within a configurable size range, the strategy enters in the breakout direction.

Entry logic

  • If the previous bar is bullish and price rises above the daily open by Break Point points, a long position is opened.
  • If the previous bar is bearish and price falls below the daily open by Break Point points, a short position is opened.
  • Previous bar size must be between Last Bar Min and Last Bar Max points.
  • Breakout level must lie within the previous bar body.

Risk management

  • Optional Take Profit and Stop Loss are measured in points from the entry price.
  • A trailing stop can be enabled with Trailing Start, Trailing Stop and Trailing Step parameters. When price moves in favour by Trailing Start the stop is set at Trailing Stop points from the entry and then trails by Trailing Step increments.

Parameters

Name Description
Candle Type Timeframe of processed candles.
Break Point Distance from daily open to trigger a trade (points).
Last Bar Min Minimum size of the previous bar (points).
Last Bar Max Maximum size of the previous bar (points).
Trailing Start Price move to start trailing stop (points).
Trailing Stop Initial trailing distance (points).
Trailing Step Step to move trailing stop (points).
Take Profit Take profit distance (points).
Stop Loss Stop loss distance (points).

Notes

The strategy operates on finished candles only and uses market orders for entries and exits. It stores internal variables for previous bar data and trailing stop level.

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>
/// Daily breakout strategy based on the previous bar size and daily open.
/// </summary>
public class DailyBreakpointStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _breakPointPct;
	private readonly StrategyParam<decimal> _lastBarMinPct;
	private readonly StrategyParam<decimal> _lastBarMaxPct;
	private readonly StrategyParam<decimal> _takeProfitPct;
	private readonly StrategyParam<decimal> _stopLossPct;

	private decimal _prevOpen;
	private decimal _prevClose;
	private DateTimeOffset _prevTime;
	private bool _hasPrev;
	private decimal _dayOpen;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal BreakPointPct { get => _breakPointPct.Value; set => _breakPointPct.Value = value; }
	public decimal LastBarMinPct { get => _lastBarMinPct.Value; set => _lastBarMinPct.Value = value; }
	public decimal LastBarMaxPct { get => _lastBarMaxPct.Value; set => _lastBarMaxPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }

	public DailyBreakpointStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
		_breakPointPct = Param(nameof(BreakPointPct), 0.3m)
			.SetDisplay("Break Point %", "Breakout offset as % of price", "General");
		_lastBarMinPct = Param(nameof(LastBarMinPct), 0.05m)
			.SetDisplay("Min Bar %", "Minimal bar size as % of price", "Filter");
		_lastBarMaxPct = Param(nameof(LastBarMaxPct), 1.0m)
			.SetDisplay("Max Bar %", "Maximum bar size as % of price", "Filter");
		_takeProfitPct = Param(nameof(TakeProfitPct), 2m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");
		_stopLossPct = Param(nameof(StopLossPct), 1m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevOpen = default;
		_prevClose = default;
		_prevTime = default;
		_hasPrev = default;
		_dayOpen = default;
	}

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

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			isStopTrailing: true,
			useMarketOrders: true);

		var sub = SubscribeCandles(CandleType);
		sub.Bind(Process).Start();
	}

	private void Process(ICandleMessage c)
	{
		if (c.State != CandleStates.Finished)
			return;

		if (!_hasPrev || c.OpenTime.Date != _prevTime.Date)
			_dayOpen = c.OpenPrice;

		if (Position == 0 && _hasPrev)
		{
			var price = c.ClosePrice;
			var lastSize = Math.Abs(_prevClose - _prevOpen);
			var minSize = LastBarMinPct / 100m * price;
			var maxSize = LastBarMaxPct / 100m * price;
			var offset = BreakPointPct / 100m * price;
			var breakBuy = _dayOpen + offset;
			var breakSell = _dayOpen - offset;

			if (_prevClose > _prevOpen && price - _dayOpen >= offset &&
				lastSize >= minSize && lastSize <= maxSize &&
				breakBuy >= _prevOpen && breakBuy <= _prevClose)
			{
				BuyMarket();
			}
			else if (_prevClose < _prevOpen && _dayOpen - price >= offset &&
				lastSize >= minSize && lastSize <= maxSize &&
				breakSell <= _prevOpen && breakSell >= _prevClose)
			{
				SellMarket();
			}
		}

		_prevOpen = c.OpenPrice;
		_prevClose = c.ClosePrice;
		_prevTime = c.OpenTime;
		_hasPrev = true;
	}
}