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Trailing Stop Manager Strategy

This strategy recreates the trailing stop controller from the MetaTrader expert MQL/17263/TrailingStop.mq5. It focuses on automating stop-loss management after an entry has already been opened.

Original Idea

  • Source: Vladimir Karputov's TrailingStop expert for hedging accounts.
  • Concept: On the first tick the EA opened both long and short positions, then tightened stop-loss levels independently for each side using pip-based distances.
  • Goal: Demonstrate how to trail stops with a configurable activation distance and update step.

StockSharp Adaptation

  • Netting compatibility: StockSharp strategies operate on the net position, so this port manages one direction at a time. To trail both sides simultaneously start two strategy instances.
  • Tick-based updates: The strategy subscribes to trade ticks (DataType.Ticks) to mirror the tick-driven adjustments from MetaTrader.
  • Pip conversion: It multiplies the configured pip values by Security.PriceStep (falls back to 1 if the exchange does not provide a step) to convert inputs into absolute price offsets.
  • Optional auto-entry: A parameter lets you send an immediate market order on start, which is handy for quick demonstrations or manual testing.

Trading Logic

  1. Start-up
    • Reads the instrument price step and subscribes to tick data.
    • Optionally submits a market order according to the Initial Direction parameter.
  2. Entry tracking
    • Every own trade resets the trailing state and stores the actual fill price as the new reference.
  3. Activation
    • For long positions the trailing engine activates only after price advances by Trailing Stop (pips) from the entry. For shorts it requires an equivalent drop.
  4. Stop adjustment
    • Once activated the stop level equals the current tick price minus/plus the activation distance.
    • The stop is moved only if the latest tick pushes it forward by at least Trailing Step (pips).
    • A zero step means the stop is updated on every favorable tick.
  5. Exit
    • When price returns to or beyond the trailing level the strategy closes the remaining position using a market order.

Parameters

Name Description
Trailing Stop (pips) Activation distance in pips. Must be greater than zero.
Trailing Step (pips) Minimal favorable move in pips before the stop is advanced again. Can be zero.
Initial Direction Optional market order placed during OnStarted (None, Long, Short).

Additional Notes

  • The original expert used bid/ask values. This C# version uses the latest trade price as a close approximation, which is sufficient for most liquid instruments.
  • No take-profit or new entry logic is included. You can combine this component with another signal strategy or launch it manually after opening a position.
  • If the broker provides fractional pip steps ensure that Security.PriceStep reflects them; otherwise adjust the pip values to match the actual tick size.
  • There are no automated tests for this module, so validate on a demo feed before deploying live capital.
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>
/// Trailing stop manager that mirrors the pip-based trailing logic from the original MQL expert.
/// </summary>
public class TrailingStopManagerStrategy : Strategy
{
	/// <summary>
	/// Direction of the optional market order placed when the strategy starts.
	/// </summary>
	public enum InitialDirections
	{
		None,
		Long,
		Short
	}

	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<InitialDirections> _startDirection;

	private decimal _entryPrice;
	private decimal _trailingStopPrice;
	private bool _trailingActive;
	private InitialDirections _currentDirection = InitialDirections.None;
	private decimal _priceStep = 1m;

	/// <summary>
	/// Trailing stop activation distance expressed in pips.
	/// </summary>
	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Minimum pip distance that must be covered before the trailing stop is adjusted again.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Optional market order direction executed on start to quickly demonstrate trailing behaviour.
	/// </summary>
	public InitialDirections StartDirection
	{
		get => _startDirection.Value;
		set => _startDirection.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="TrailingStopManagerStrategy"/> class.
	/// </summary>
	public TrailingStopManagerStrategy()
	{
		_trailingStopPips = Param(nameof(TrailingStopPips), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Stop (pips)", "Distance to activate trailing", "Risk Management")
			;

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
			.SetNotNegative()
			.SetDisplay("Trailing Step (pips)", "Minimal move before adjusting stop", "Risk Management")
			;

		_startDirection = Param(nameof(StartDirection), InitialDirections.None)
			.SetDisplay("Initial Direction", "Optional market order on start", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "Data");
	}

	private readonly StrategyParam<DataType> _candleType;

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

	private readonly List<decimal> _closes = new();
	private const int FastLen = 10;
	private const int SlowLen = 30;
	private decimal? _prevFast;
	private decimal? _prevSlow;

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

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

		// Retrieve price step to convert pip values into price offsets.
		_priceStep = Security?.PriceStep ?? 1m;
		if (_priceStep <= 0m)
			_priceStep = 1m;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();
	}

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

		_entryPrice = 0m;
		_trailingStopPrice = 0m;
		_trailingActive = false;
		_currentDirection = InitialDirections.None;
		_priceStep = 1m;
		_closes.Clear();
		_prevFast = null;
		_prevSlow = null;
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);

		if (trade.Trade == null)
			return;

		var tradePrice = trade.Trade.Price;

		// Reset trailing state whenever a new position is opened.
		if (Position > 0 && trade.Order.Side == Sides.Buy)
		{
			_entryPrice = tradePrice;
			_trailingActive = false;
			_trailingStopPrice = 0m;
			_currentDirection = InitialDirections.Long;
		}
		else if (Position < 0 && trade.Order.Side == Sides.Sell)
		{
			_entryPrice = tradePrice;
			_trailingActive = false;
			_trailingStopPrice = 0m;
			_currentDirection = InitialDirections.Short;
		}
		else if (Position == 0)
		{
			ResetTrailing();
		}
	}

	/// <inheritdoc />
	protected override void OnPositionReceived(Position position)
	{
		base.OnPositionReceived(position);

		if (Position == 0)
			ResetTrailing();
	}

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

		_closes.Add(candle.ClosePrice);
		if (_closes.Count > SlowLen + 10) _closes.RemoveAt(0);

		if (_closes.Count < SlowLen)
			return;

		var fast = _closes.Skip(_closes.Count - FastLen).Take(FastLen).Average();
		var slow = _closes.Skip(_closes.Count - SlowLen).Take(SlowLen).Average();

		var prevFast = _prevFast;
		var prevSlow = _prevSlow;
		_prevFast = fast;
		_prevSlow = slow;

		// Entry logic: use SMA crossover when flat
		if (Position == 0)
		{
			if (prevFast is decimal lastFast && prevSlow is decimal lastSlow && lastFast <= lastSlow && fast > slow)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_trailingActive = false;
				_trailingStopPrice = 0m;
				_currentDirection = InitialDirections.Long;
			}
			else if (prevFast is decimal lastFast2 && prevSlow is decimal lastSlow2 && lastFast2 >= lastSlow2 && fast < slow)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_trailingActive = false;
				_trailingStopPrice = 0m;
				_currentDirection = InitialDirections.Short;
			}
			return;
		}

		var price = candle.ClosePrice;

		if (Position > 0 && _currentDirection == InitialDirections.Long)
		{
			UpdateLongTrailing(price);
		}
		else if (Position < 0 && _currentDirection == InitialDirections.Short)
		{
			UpdateShortTrailing(price);
		}
	}

	private void UpdateLongTrailing(decimal price)
	{
		var stopDistance = TrailingStopPips * _priceStep;
		if (stopDistance <= 0m)
			return;

		var stepDistance = TrailingStepPips * _priceStep;

		// Activate the trailing stop once price has moved far enough above the entry.
		if (!_trailingActive)
		{
			if (price - _entryPrice >= stopDistance)
			{
				_trailingActive = true;
				_trailingStopPrice = _entryPrice;
			}
		}
		else
		{
			var desiredStop = price - stopDistance;

			// Only move the stop forward when the configured step distance is met.
			if (stepDistance <= 0m)
			{
				if (desiredStop > _trailingStopPrice)
					_trailingStopPrice = desiredStop;
			}
			else if (desiredStop - _trailingStopPrice >= stepDistance)
			{
				_trailingStopPrice = desiredStop;
			}
		}

		// Exit once price drops to the trailing stop level.
		if (_trailingActive && price <= _trailingStopPrice)
			ExitLong();
	}

	private void UpdateShortTrailing(decimal price)
	{
		var stopDistance = TrailingStopPips * _priceStep;
		if (stopDistance <= 0m)
			return;

		var stepDistance = TrailingStepPips * _priceStep;

		// Activate the trailing stop once price has moved far enough below the entry.
		if (!_trailingActive)
		{
			if (_entryPrice - price >= stopDistance)
			{
				_trailingActive = true;
				_trailingStopPrice = _entryPrice;
			}
		}
		else
		{
			var desiredStop = price + stopDistance;

			// Only move the stop forward when the configured step distance is met.
			if (stepDistance <= 0m)
			{
				if (desiredStop < _trailingStopPrice || _trailingStopPrice == 0m)
					_trailingStopPrice = desiredStop;
			}
			else if (_trailingStopPrice - desiredStop >= stepDistance)
			{
				_trailingStopPrice = desiredStop;
			}
		}

		// Exit once price rises to the trailing stop level.
		if (_trailingActive && price >= _trailingStopPrice)
			ExitShort();
	}

	private void ExitLong()
	{
		if (Position <= 0)
			return;

		SellMarket();
	}

	private void ExitShort()
	{
		if (Position >= 0)
			return;

		BuyMarket();
	}

	private void ResetTrailing()
	{
		_entryPrice = 0m;
		_trailingStopPrice = 0m;
		_trailingActive = false;
		_currentDirection = InitialDirections.None;
	}
}