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Doctor Strategy

Implementation of strategy #15233 "Doctor" converted from MQL to StockSharp.

Overview

The strategy combines several classic indicators to detect trend direction and momentum:

  • Slope detection using a 40-period Weighted Moving Average to evaluate trend direction.
  • Linear location via a 400-period Weighted Moving Average compared against the highs and lows of the last three candles.
  • Momentum confirmation with Relative Strength Index periods 14 and 5.
  • Trend reversal filter from Parabolic SAR.

A long position is opened when all bullish conditions align, and a short position when all bearish conditions align. Existing positions are closed on opposite signals or when protective levels are hit. An optional trailing stop pushes the stop loss forward once half of the stop distance is achieved.

Parameters

  • StopLossTicks – stop-loss distance in ticks.
  • TakeProfitTicks – take-profit distance in ticks.
  • TrailingStop – enables trailing stop logic.
  • CandleType – timeframe used for candles (default 30 minutes).

Trading rules

  1. Buy when:
    • WMA(40) slope is rising.
    • WMA(400) is above the highs of the last three candles.
    • RSI(14) is above 50 and RSI(5) is below RSI(14).
    • No open long position.
  2. Sell when:
    • WMA(40) slope is falling.
    • WMA(400) is below the lows of the last three candles.
    • RSI(14) is below 50 and RSI(5) is above RSI(14).
    • No open short position.
  3. Exit when the opposite conditions occur or stop-loss/take-profit levels are reached. The trailing stop updates the stop level after price moves half of the stop distance in favor.

Indicators

  • Weighted Moving Average (40, 400)
  • Relative Strength Index (14, 5)
  • Parabolic SAR
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>
/// Doctor strategy ported from MQL. Combines WMA slope, MA position, RSI and PSAR.
/// </summary>
public class DoctorStrategy : Strategy
{
	private readonly StrategyParam<int> _stopLossTicks;
	private readonly StrategyParam<int> _takeProfitTicks;
	private readonly StrategyParam<bool> _trailingStop;
	private readonly StrategyParam<DataType> _candleType;

	private readonly decimal[] _wma40 = new decimal[2];
	private readonly decimal[] _wma400 = new decimal[4];
	private readonly decimal[] _high = new decimal[4];
	private readonly decimal[] _low = new decimal[4];

	private decimal _entryPrice;
	private decimal _stopPrice;
	private decimal _takePrice;

	/// <summary>
	/// Stop-loss distance in ticks.
	/// </summary>
	public int StopLossTicks
	{
		get => _stopLossTicks.Value;
		set => _stopLossTicks.Value = value;
	}

	/// <summary>
	/// Take-profit distance in ticks.
	/// </summary>
	public int TakeProfitTicks
	{
		get => _takeProfitTicks.Value;
		set => _takeProfitTicks.Value = value;
	}

	/// <summary>
	/// Enable trailing stop logic.
	/// </summary>
	public bool TrailingStop
	{
		get => _trailingStop.Value;
		set => _trailingStop.Value = value;
	}

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

	private WeightedMovingAverage _wmaSlope = null!;
	private WeightedMovingAverage _wmaTrend = null!;
	private RelativeStrengthIndex _rsi14 = null!;
	private RelativeStrengthIndex _rsi5 = null!;
	private ParabolicSar _psar = null!;

	/// <summary>
	/// Initialize <see cref="DoctorStrategy"/>.
	/// </summary>
	public DoctorStrategy()
	{
		_stopLossTicks = Param(nameof(StopLossTicks), 70)
		.SetGreaterThanZero()
		.SetDisplay("Stop Loss", "Stop-loss distance in ticks", "Risk");

		_takeProfitTicks = Param(nameof(TakeProfitTicks), 40)
		.SetGreaterThanZero()
		.SetDisplay("Take Profit", "Take-profit distance in ticks", "Risk");

		_trailingStop = Param(nameof(TrailingStop), true)
		.SetDisplay("Trailing Stop", "Use trailing stop", "Risk");

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

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

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

		Array.Clear(_wma40);
		Array.Clear(_wma400);
		Array.Clear(_high);
		Array.Clear(_low);
		_entryPrice = 0m;
		_stopPrice = 0m;
		_takePrice = 0m;
	}

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

		_wmaSlope = new WeightedMovingAverage { Length = 10 };
		_wmaTrend = new WeightedMovingAverage { Length = 50 };
		_rsi14 = new RelativeStrengthIndex { Length = 14 };
		_rsi5 = new RelativeStrengthIndex { Length = 5 };
		_psar = new ParabolicSar();

		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(_wmaSlope, _wmaTrend, _rsi14, _rsi5, _psar, ProcessCandle)
		.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal wma40, decimal wma400, decimal rsi14, decimal rsi5, decimal psar)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Shift history arrays (always, even during warmup)
		_wma40[1] = _wma40[0];
		_wma40[0] = wma40;

		for (var i = 3; i > 0; i--)
		{
			_wma400[i] = _wma400[i - 1];
			_high[i] = _high[i - 1];
			_low[i] = _low[i - 1];
		}

		_wma400[0] = wma400;
		_high[0] = candle.HighPrice;
		_low[0] = candle.LowPrice;

		if (_wma40[1] == 0m || _wma400[3] == 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Determine slope direction
		var slope = _wma40[0] > _wma40[1] ? 2 : 1;

		// Check long-term MA relative to recent bars
		var maBelow = _wma400[1] < _low[1] && _wma400[2] < _low[2] && _wma400[3] < _low[3];
		var maAbove = _wma400[1] > _high[1] && _wma400[2] > _high[2] && _wma400[3] > _high[3];
		var maLinear = maAbove ? 2 : maBelow ? 1 : 0;

		// RSI relations
		var rsiState = rsi14 < 50m && rsi5 > rsi14 ? 1 : rsi14 > 50m && rsi5 < rsi14 ? 2 : 0;

		// Parabolic SAR position
		var psarState = psar <= candle.LowPrice ? 1 : psar >= candle.HighPrice ? 2 : 0;

		var step = Security?.PriceStep ?? 1m;
		var stopDistance = StopLossTicks * step;
		var takeDistance = TakeProfitTicks * step;

		// Close positions on opposite signals
		if (Position > 0 && slope == 1 && (maLinear == 1 || rsiState == 1 || psarState == 2))
		{
			SellMarket();
		}
		else if (Position < 0 && slope == 2 && (maLinear == 2 || rsiState == 2 || psarState == 1))
		{
			BuyMarket();
		}

		// Trailing and protective exits
		if (Position > 0)
		{
			if (TrailingStop && candle.ClosePrice - _entryPrice > stopDistance / 2m)
			_stopPrice = Math.Max(_stopPrice, candle.ClosePrice - stopDistance);

			if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takePrice)
			SellMarket();
		}
		else if (Position < 0)
		{
			if (TrailingStop && _entryPrice - candle.ClosePrice > stopDistance / 2m)
			_stopPrice = Math.Min(_stopPrice, candle.ClosePrice + stopDistance);

			if (candle.HighPrice >= _stopPrice || candle.LowPrice <= _takePrice)
			BuyMarket();
		}

		// Entry conditions
		if (slope == 2 && (maLinear == 2 || rsiState == 2) && Position <= 0)
		{
			_entryPrice = candle.ClosePrice;
			_stopPrice = _entryPrice - stopDistance;
			_takePrice = _entryPrice + takeDistance;
			BuyMarket();
		}
		else if (slope == 1 && (maLinear == 1 || rsiState == 1) && Position >= 0)
		{
			_entryPrice = candle.ClosePrice;
			_stopPrice = _entryPrice + stopDistance;
			_takePrice = _entryPrice - takeDistance;
			SellMarket();
		}
	}
}