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Simple Levels Strategy

Opens trades when the price crosses user defined trend lines. Each line can trigger long, short or both directions. Stop loss and take profit are set in price steps.

Details

  • Entry Criteria: Price crossing a configured trend line
  • Long/Short: Determined by line direction (Buy/Sell/Both)
  • Exit Criteria: Stop loss or take profit levels
  • Stops: Yes
  • Default Values:
    • StopLoss = 300 steps
    • TakeProfit = 900 steps
    • Volume = 1
    • CandleType = 1 minute
  • Filters:
    • Category: Levels
    • Direction: Both
    • Indicators: None
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium

Usage

  1. Create and configure trend lines via AddLine.
  2. Start the strategy to monitor incoming candles.
  3. When price crosses an active line in the specified direction, the strategy sends a market order.
  4. Position is closed when stop loss or take profit is reached.
using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that trades when price breaks through recent high/low levels.
/// Tracks N-period high and low as support/resistance, enters on breakout.
/// Uses EMA as trend filter.
/// </summary>
public class SimpleLevelsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<int> _emaPeriod;

	private decimal _highestHigh;
	private decimal _lowestLow;
	private int _barCount;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	public SimpleLevelsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Source candle timeframe", "General");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetDisplay("Lookback", "Period for high/low levels", "Parameters");

		_emaPeriod = Param(nameof(EmaPeriod), 50)
			.SetDisplay("EMA Period", "EMA period for trend filter", "Parameters");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highestHigh = decimal.MinValue;
		_lowestLow = decimal.MaxValue;
		_barCount = 0;
	}

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

		_highestHigh = decimal.MinValue;
		_lowestLow = decimal.MaxValue;
		_barCount = 0;

		var highest = new Highest { Length = LookbackPeriod };
		var lowest = new Lowest { Length = LookbackPeriod };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

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

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

	private void ProcessCandle(ICandleMessage candle, decimal highLevel, decimal lowLevel, decimal emaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_barCount++;
		if (_barCount < 2)
		{
			_highestHigh = highLevel;
			_lowestLow = lowLevel;
			return;
		}

		var close = candle.ClosePrice;
		var prevHigh = _highestHigh;
		var prevLow = _lowestLow;

		// Breakout above previous resistance in uptrend
		if (close > prevHigh && close > emaValue && Position <= 0)
		{
			BuyMarket();
		}
		// Breakout below previous support in downtrend
		else if (close < prevLow && close < emaValue && Position >= 0)
		{
			SellMarket();
		}

		_highestHigh = highLevel;
		_lowestLow = lowLevel;
	}
}