English EN
View on GitHub

CGOscillator X2 Strategy

Overview

The CGOscillator X2 Strategy is a multi-timeframe trend-following system that uses the Center of Gravity oscillator to trade pullbacks. The strategy evaluates the slope of the oscillator on a higher timeframe to determine the dominant trend and waits for a corrective hook on a lower timeframe before entering a trade in the direction of the trend. Optional stop-loss and take-profit distances expressed in absolute price units can be used to manage risk after an entry is opened.

Trading Logic

  1. Trend Detection (higher timeframe)
    • The Center of Gravity (CG) oscillator is calculated on the trend timeframe using the configured TrendLength.
    • If the current CG value is above its signal (previous value), the strategy considers the market bullish; if it is below the signal, the market is considered bearish.
  2. Signal Generation (lower timeframe)
    • A second CG oscillator instance with its own length works on the signal timeframe.
    • The strategy monitors the two most recent finished candles. A bullish hook (current CG >= signal while the previous CG < previous signal) indicates that a pullback finished inside a downtrend. A bearish hook (current CG <= signal while the previous CG > previous signal) highlights a pullback inside an uptrend.
  3. Entries and Exits
    • Long entries are permitted only when the higher timeframe shows an uptrend and the latest lower timeframe swing indicates a bearish hook (oversold pullback). Shorts follow the mirrored logic for downtrends.
    • Positions can be closed either when the higher timeframe trend flips or when the most recent hook goes against the open position, depending on the boolean parameters.
  4. Risk Controls
    • Optional absolute stop-loss and take-profit distances are applied after every market entry. When price crosses those levels inside the current candle, the position is closed immediately before new signals are processed.

Parameters

Name Description
TrendCandleType Candle type (timeframe) used for the higher timeframe CG oscillator.
SignalCandleType Candle type used for the lower timeframe signal oscillator.
TrendLength Length of the CG oscillator on the trend timeframe.
SignalLength Length of the CG oscillator on the signal timeframe.
BuyOpen Enables or disables long entries aligned with the higher timeframe trend.
SellOpen Enables or disables short entries aligned with the higher timeframe trend.
BuyClose Closes long positions when the higher timeframe trend turns bearish.
SellClose Closes short positions when the higher timeframe trend turns bullish.
BuyCloseSignal Closes long positions when the latest lower timeframe hook is bearish.
SellCloseSignal Closes short positions when the latest lower timeframe hook is bullish.
StopLoss Absolute price distance for the protective stop (0 disables the stop).
TakeProfit Absolute price distance for the profit target (0 disables the target).

Indicator Details

The custom CenterOfGravityOscillatorIndicator replicates the MT5 CG Oscillator:

  • The median price (high + low) / 2 is used as input.
  • A weighted sum of the last Length medians forms the CG value.
  • The signal line is simply the previous CG value, providing a one-bar lag for hook detection.

Usage Notes

  • Set the Volume property of the strategy to control the base order size. Reversals automatically add the absolute value of the current position so that the new position is opened in the desired direction.
  • Because the strategy works with finished candles only, it is resilient to intra-bar noise but reacts on the close of each candle.
  • The stop-loss and take-profit parameters use absolute price units; adjust them to the instrument's tick size and volatility profile.
  • The strategy can be attached to any instrument supported by StockSharp once the appropriate candle types are configured.
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>
/// Strategy that trades pullbacks using the Center of Gravity oscillator on two timeframes.
/// </summary>
public class CgOscillatorX2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _trendCandleType;
	private readonly StrategyParam<DataType> _signalCandleType;
	private readonly StrategyParam<int> _trendLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<bool> _buyOpen;
	private readonly StrategyParam<bool> _sellOpen;
	private readonly StrategyParam<bool> _buyClose;
	private readonly StrategyParam<bool> _sellClose;
	private readonly StrategyParam<bool> _buyCloseSignal;
	private readonly StrategyParam<bool> _sellCloseSignal;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<int> _signalCooldownBars;

	private CenterOfGravityOscillator _trendIndicator;
	private CenterOfGravityOscillator _signalIndicator;

	private int _trendDirection;
	private decimal? _trendPrevCg;
	private decimal? _signalPrevCg;
	private decimal? _signalPrevPrevCg;
	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takePrice;
	private int _cooldownRemaining;

	public DataType TrendCandleType { get => _trendCandleType.Value; set => _trendCandleType.Value = value; }
	public DataType SignalCandleType { get => _signalCandleType.Value; set => _signalCandleType.Value = value; }
	public int TrendLength { get => _trendLength.Value; set => _trendLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public bool BuyOpen { get => _buyOpen.Value; set => _buyOpen.Value = value; }
	public bool SellOpen { get => _sellOpen.Value; set => _sellOpen.Value = value; }
	public bool BuyClose { get => _buyClose.Value; set => _buyClose.Value = value; }
	public bool SellClose { get => _sellClose.Value; set => _sellClose.Value = value; }
	public bool BuyCloseSignal { get => _buyCloseSignal.Value; set => _buyCloseSignal.Value = value; }
	public bool SellCloseSignal { get => _sellCloseSignal.Value; set => _sellCloseSignal.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }

	public CgOscillatorX2Strategy()
	{
		_trendCandleType = Param(nameof(TrendCandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Trend Candle Type", "Higher timeframe for trend detection", "General");

		_signalCandleType = Param(nameof(SignalCandleType), TimeSpan.FromHours(2).TimeFrame())
			.SetDisplay("Signal Candle Type", "Lower timeframe for trade execution", "General");

		_trendLength = Param(nameof(TrendLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Trend Length", "CG length on the trend timeframe", "Indicator");

		_signalLength = Param(nameof(SignalLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "CG length on the signal timeframe", "Indicator");

		_buyOpen = Param(nameof(BuyOpen), true)
			.SetDisplay("Allow Long Entries", "Enable long entries during uptrend", "Trading");

		_sellOpen = Param(nameof(SellOpen), true)
			.SetDisplay("Allow Short Entries", "Enable short entries during downtrend", "Trading");

		_buyClose = Param(nameof(BuyClose), true)
			.SetDisplay("Close Long On Trend Flip", "Exit long positions when higher trend turns bearish", "Trading");

		_sellClose = Param(nameof(SellClose), true)
			.SetDisplay("Close Short On Trend Flip", "Exit short positions when higher trend turns bullish", "Trading");

		_buyCloseSignal = Param(nameof(BuyCloseSignal), false)
			.SetDisplay("Close Long On Pullback", "Exit long positions when the oscillator confirms a bearish hook", "Trading");

		_sellCloseSignal = Param(nameof(SellCloseSignal), false)
			.SetDisplay("Close Short On Pullback", "Exit short positions when the oscillator confirms a bullish hook", "Trading");

		_stopLoss = Param(nameof(StopLoss), 0m)
			.SetNotNegative()
			.SetDisplay("Stop Loss Distance", "Absolute stop-loss distance in price units", "Risk");

		_takeProfit = Param(nameof(TakeProfit), 0m)
			.SetNotNegative()
			.SetDisplay("Take Profit Distance", "Absolute take-profit distance in price units", "Risk");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 6)
			.SetNotNegative()
			.SetDisplay("Signal Cooldown Bars", "Closed signal candles to wait before a new entry", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TrendCandleType);

		if (!TrendCandleType.Equals(SignalCandleType))
			yield return (Security, SignalCandleType);
	}

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

		_trendIndicator = new CenterOfGravityOscillator
		{
			Length = TrendLength
		};

		_signalIndicator = new CenterOfGravityOscillator
		{
			Length = SignalLength
		};

		SubscribeCandles(TrendCandleType)
			.BindEx(_trendIndicator, ProcessTrend)
			.Start();

		SubscribeCandles(SignalCandleType)
			.BindEx(_signalIndicator, ProcessSignal)
			.Start();
	}

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

		_trendDirection = 0;
		_trendPrevCg = null;
		_signalPrevCg = null;
		_signalPrevPrevCg = null;
		_entryPrice = null;
		_stopPrice = null;
		_takePrice = null;
		_cooldownRemaining = 0;
	}

	private void ProcessTrend(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_trendIndicator.IsFormed)
			return;

		var cgValue = value.GetValue<decimal>();
		var prevCg = _trendPrevCg;
		_trendPrevCg = cgValue;

		if (cgValue > 0)
			_trendDirection = 1;
		else if (cgValue < 0)
			_trendDirection = -1;
		else
			_trendDirection = 0;
	}

	private void ProcessSignal(ICandleMessage candle, IIndicatorValue value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_signalIndicator.IsFormed)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var cgValue = value.GetValue<decimal>();

		var prevCg = _signalPrevCg;
		var prevPrevCg = _signalPrevPrevCg;

		_signalPrevPrevCg = _signalPrevCg;
		_signalPrevCg = cgValue;

		if (prevCg is null)
			return;

		if (TryCloseByRisk(candle))
			return;

		var closeBuy = BuyCloseSignal && prevCg < 0;
		var closeSell = SellCloseSignal && prevCg > 0;
		var openBuy = false;
		var openSell = false;
		var bullishHook = prevPrevCg.HasValue && prevPrevCg.Value >= prevCg && cgValue > prevCg;
		var bearishHook = prevPrevCg.HasValue && prevPrevCg.Value <= prevCg && cgValue < prevCg;

		if (_trendDirection < 0)
		{
			if (BuyClose)
				closeBuy = true;

			if (_cooldownRemaining == 0 && SellOpen && bearishHook)
				openSell = true;
		}
		else if (_trendDirection > 0)
		{
			if (SellClose)
				closeSell = true;

			if (_cooldownRemaining == 0 && BuyOpen && bullishHook)
				openBuy = true;
		}

		if (closeBuy && Position > 0)
		{
			SellMarket(Position);
			ResetRiskTargets();
		}

		if (closeSell && Position < 0)
		{
			BuyMarket(-Position);
			ResetRiskTargets();
		}

		if (openBuy && Position <= 0)
		{
			var volume = Volume + (Position < 0 ? Math.Abs(Position) : 0m);
			BuyMarket(volume);
			SetRiskTargets(candle.ClosePrice, true);
			_cooldownRemaining = SignalCooldownBars;
		}
		else if (openSell && Position >= 0)
		{
			var volume = Volume + (Position > 0 ? Math.Abs(Position) : 0m);
			SellMarket(volume);
			SetRiskTargets(candle.ClosePrice, false);
			_cooldownRemaining = SignalCooldownBars;
		}
	}

	private bool TryCloseByRisk(ICandleMessage candle)
	{
		if (Position > 0)
		{
			if (_stopPrice is decimal stop && candle.LowPrice <= stop)
			{
				SellMarket(Position);
				ResetRiskTargets();
				return true;
			}

			if (_takePrice is decimal take && candle.HighPrice >= take)
			{
				SellMarket(Position);
				ResetRiskTargets();
				return true;
			}
		}
		else if (Position < 0)
		{
			if (_stopPrice is decimal stop && candle.HighPrice >= stop)
			{
				BuyMarket(-Position);
				ResetRiskTargets();
				return true;
			}

			if (_takePrice is decimal take && candle.LowPrice <= take)
			{
				BuyMarket(-Position);
				ResetRiskTargets();
				return true;
			}
		}

		return false;
	}

	private void SetRiskTargets(decimal entryPrice, bool isLong)
	{
		_entryPrice = entryPrice;

		if (StopLoss > 0m)
			_stopPrice = isLong ? entryPrice - StopLoss : entryPrice + StopLoss;
		else
			_stopPrice = null;

		if (TakeProfit > 0m)
			_takePrice = isLong ? entryPrice + TakeProfit : entryPrice - TakeProfit;
		else
			_takePrice = null;
	}

	private void ResetRiskTargets()
	{
		_entryPrice = null;
		_stopPrice = null;
		_takePrice = null;
	}
}