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SpectrAnalysis WPR Strategy

This strategy is converted from the MQL5 expert Exp_i-SpectrAnalysis_WPR. It analyzes the direction of the Williams %R indicator and opens or closes positions according to indicator turns.

Logic

  1. Subscribe to candles of the selected timeframe.
  2. Calculate Williams %R with the configured period.
  3. Keep the last two indicator values to detect upward or downward direction.
  4. When the indicator turns upward and long entries are allowed:
    • Close short positions if enabled.
    • Open a new long position.
  5. When the indicator turns downward and short entries are allowed:
    • Close long positions if enabled.
    • Open a new short position.

Only finished candles are processed. The strategy does not use complex historical queries and relies on high-level API bindings.

Parameters

Name Description Default
Candle Type Timeframe of the candles used for calculations 4h
WPR Period Period of the Williams %R indicator 13
Allow Long Entry Permit opening long positions true
Allow Short Entry Permit opening short positions true
Allow Long Exit Permit closing long positions true
Allow Short Exit Permit closing short positions true

Notes

The original MQL version applied spectral analysis to the Williams %R output. This C# conversion uses the standard Williams %R indicator and replicates the signal logic by tracking recent indicator values.

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 Williams %R trend direction.
/// </summary>
public class SpectrAnalysisWprStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _wprPeriod;
	private readonly StrategyParam<bool> _buyPosOpen;
	private readonly StrategyParam<bool> _sellPosOpen;
	private readonly StrategyParam<bool> _buyPosClose;
	private readonly StrategyParam<bool> _sellPosClose;

	private decimal? _prev;
	private decimal? _prev2;

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

	/// <summary>
	/// Williams %R period.
	/// </summary>
	public int WprPeriod
	{
		get => _wprPeriod.Value;
		set => _wprPeriod.Value = value;
	}

	/// <summary>
	/// Allow opening long positions.
	/// </summary>
	public bool BuyPosOpen
	{
		get => _buyPosOpen.Value;
		set => _buyPosOpen.Value = value;
	}

	/// <summary>
	/// Allow opening short positions.
	/// </summary>
	public bool SellPosOpen
	{
		get => _sellPosOpen.Value;
		set => _sellPosOpen.Value = value;
	}

	/// <summary>
	/// Allow closing long positions.
	/// </summary>
	public bool BuyPosClose
	{
		get => _buyPosClose.Value;
		set => _buyPosClose.Value = value;
	}

	/// <summary>
	/// Allow closing short positions.
	/// </summary>
	public bool SellPosClose
	{
		get => _sellPosClose.Value;
		set => _sellPosClose.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public SpectrAnalysisWprStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for indicator", "General");
		_wprPeriod = Param(nameof(WprPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("WPR Period", "Williams %R period", "Indicator");
		_buyPosOpen = Param(nameof(BuyPosOpen), true)
			.SetDisplay("Allow Long Entry", "Enable long position opening", "Trading");
		_sellPosOpen = Param(nameof(SellPosOpen), true)
			.SetDisplay("Allow Short Entry", "Enable short position opening", "Trading");
		_buyPosClose = Param(nameof(BuyPosClose), true)
			.SetDisplay("Allow Long Exit", "Enable closing of long positions", "Trading");
		_sellPosClose = Param(nameof(SellPosClose), true)
			.SetDisplay("Allow Short Exit", "Enable closing of short positions", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prev = null;
		_prev2 = null;
	}

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

		_prev = null;
		_prev2 = null;

		var wpr = new WilliamsR { Length = WprPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(wpr, ProcessCandle).Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal wprValue)
	{
		if (candle.State != CandleStates.Finished || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (_prev is null || _prev2 is null)
		{
			_prev2 = _prev;
			_prev = wprValue;
			return;
		}

		// Upward direction detected (WPR was falling, now turning up)
		if (_prev < _prev2 && wprValue >= _prev)
		{
			if (BuyPosOpen && Position <= 0)
				BuyMarket(Position < 0 ? Volume + Math.Abs(Position) : Volume);
			else if (SellPosClose && Position < 0)
				BuyMarket(Math.Abs(Position));
		}
		// Downward direction detected (WPR was rising, now turning down)
		else if (_prev > _prev2 && wprValue <= _prev)
		{
			if (SellPosOpen && Position >= 0)
				SellMarket(Position > 0 ? Volume + Position : Volume);
			else if (BuyPosClose && Position > 0)
				SellMarket(Position);
		}

		_prev2 = _prev;
		_prev = wprValue;
	}
}