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OzFx Accelerator Stochastic Strategy

Overview

  • Conversion of the MetaTrader expert advisor OzFx (barabashkakvn's edition) to the StockSharp high-level strategy API.
  • Combines the Acceleration/Deceleration oscillator (AC) with a stochastic threshold to layer into trends.
  • Designed for discretionary-style forex trading where orders are sized in lots and protection is expressed in pips.

Trading Logic

  1. Compute the Acceleration/Deceleration oscillator as the difference between the Awesome Oscillator and its 5-period SMA.
  2. Subscribe to a stochastic oscillator with configurable %K, %D, and slowing periods.
  3. When a new candle closes, evaluate the two most recent AC values together with the stochastic level:
    • Long setup: %K crosses above the configured level, current AC is positive and rising while the previous value was negative.
    • Short setup: %K crosses below the level, current AC is negative and falling while the previous value was positive.
  4. On a valid signal open up to five equal-sized market orders. The first layer mirrors the original EA by launching without a stop/target, while the remaining layers inherit the configured stop loss and staggered take profits.
  5. Exit management emulates the original "modok" flag behaviour:
    • When trailing stops are disabled the strategy only tightens stops to breakeven after a profitable exit, and it will close all layers if the stochastic/AC combination flips against the position.
    • With trailing stops enabled the stop follows price once the move exceeds TrailingStop + TrailingStep, and the same momentum reversal closes the stack.

Position Scaling and Targets

  • Long positions place four additional layers with take profits at entry + TakeProfit * i for i = 1..4. Shorts mirror this below price.
  • Stop losses (when configured) are attached to every layer except the very first one, exactly like the MT5 script.
  • Partial take profits update the internal flag so that the next campaign immediately starts in "modok = true" state, unlocking breakeven protection for the initial layer.

Risk Management

  • StopLossPips and TakeProfitPips are defined in pips. The strategy converts them using the instrument tick size and digit precision (5 or 3 decimal pairs count as fractional pips).
  • TrailingStopPips = 0 disables trailing logic and enables breakeven tightening only after a take profit. Any positive value activates the trailing block described above.
  • All exits are executed with market orders when the candle range crosses the stored stop or target levels, matching the behaviour of the original expert that relied on broker-side protective orders.

Parameters

Name Description Default
OrderVolume Lot size per layer. 0.1
StopLossPips Distance for protective stop orders (pips). 100
TakeProfitPips Base distance between layered take profits (pips). 50
TrailingStopPips Trailing stop distance in pips (0 disables trailing). 50
TrailingStepPips Additional distance before advancing the trailing stop. 5
KPeriod Stochastic %K lookback. 5
DPeriod Stochastic %D smoothing. 3
SmoothingPeriod Final smoothing applied to %K. 3
StochasticLevel Threshold separating bullish/bearish regimes. 50
CandleType Source candle series for calculations. 4h time-frame

Implementation Notes

  • Signals, trailing updates, and protective exits are processed on completed candles to stay consistent with the EA that triggers on new bars.
  • The AC indicator is reproduced by binding the Awesome Oscillator and subtracting its 5-period SMA; no low-level indicator buffers are accessed.
  • Pip conversion automatically adapts to 4/5-digit forex symbols and falls back to a reasonable default when tick size metadata is missing.
  • The strategy keeps an internal ledger of layered entries so that partial take profits and stop adjustments match the per-position logic of the MetaTrader version.
  • Because StockSharp executes exits via market orders, trades are flattened when the candle's high/low pierces the stored stop or target levels rather than waiting for broker-side triggers.
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;
using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;



/// <summary>
/// OzFx strategy converted from MetaTrader 5 to the StockSharp high-level API.
/// Stacks multiple entries when the Acceleration/Deceleration oscillator and stochastic agree.
/// Implements layered targets and dynamic protection to mimic the expert advisor behaviour.
/// </summary>
public class OzFxAcceleratorStochasticStrategy : Strategy
{
	private readonly StrategyParam<int> _maxLayers;

	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<int> _smoothingPeriod;
	private readonly StrategyParam<decimal> _stochasticLevel;
	private readonly StrategyParam<DataType> _candleType;

	private AwesomeOscillator _ao = null!;
	private SimpleMovingAverage _aoSma = null!;
	private StochasticOscillator _stochastic = null!;

	private decimal? _lastAc;
	private bool _lastExitWasTakeProfit;
	private decimal _pipSize;
	private bool _pipInitialized;

	private readonly List<EntryInfo> _longEntries = new();
	private readonly List<EntryInfo> _shortEntries = new();

	/// <summary>
	/// Defines exit origin to replicate modok flag logic.
	/// </summary>
	private enum ExitReasons
	{
		Manual,
		TakeProfit,
		StopLoss,
	}

	/// <summary>
	/// Stores layered entry metadata (volume, price, protective levels).
	/// </summary>
	private sealed class EntryInfo
	{
		public decimal Volume;
		public decimal EntryPrice;
		public decimal? StopPrice;
		public decimal? TakeProfitPrice;
		public int Layer;
	}

	/// <summary>
	/// Maximum number of layered positions.
	/// </summary>
	public int MaxLayers
	{
		get => _maxLayers.Value;
		set => _maxLayers.Value = value;
	}

	/// <summary>
	/// Order volume for each layer.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// Stop loss distance measured in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Base take profit distance per layer measured in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in pips. Zero disables trailing mode.
	/// </summary>
	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Additional distance in pips before the trailing stop is advanced.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Main stochastic lookback period.
	/// </summary>
	public int KPeriod
	{
		get => _kPeriod.Value;
		set => _kPeriod.Value = value;
	}

	/// <summary>
	/// %D smoothing length.
	/// </summary>
	public int DPeriod
	{
		get => _dPeriod.Value;
		set => _dPeriod.Value = value;
	}

	/// <summary>
	/// Final smoothing applied to %K.
	/// </summary>
	public int SmoothingPeriod
	{
		get => _smoothingPeriod.Value;
		set => _smoothingPeriod.Value = value;
	}

	/// <summary>
	/// Stochastic threshold separating bullish and bearish regimes.
	/// </summary>
	public decimal StochasticLevel
	{
		get => _stochasticLevel.Value;
		set => _stochasticLevel.Value = value;
	}

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

	/// <summary>
	/// Initializes <see cref="OzFxAcceleratorStochasticStrategy"/>.
	/// </summary>
	public OzFxAcceleratorStochasticStrategy()
	{
		_maxLayers = Param(nameof(MaxLayers), 1)
			.SetGreaterThanZero()
			.SetDisplay("Max Layers", "Maximum number of layered positions", "Risk");

		_orderVolume = Param(nameof(OrderVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Volume", "Order volume for each layer", "Trading");

		_stopLossPips = Param(nameof(StopLossPips), 10m)
			.SetDisplay("Stop Loss (pips)", "Protective stop distance in pips", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 5m)
			.SetDisplay("Take Profit (pips)", "Base take profit increment in pips", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 5m)
			.SetDisplay("Trailing Stop (pips)", "Trailing stop distance in pips", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
			.SetDisplay("Trailing Step (pips)", "Extra move required before advancing the trailing stop", "Risk");

		_kPeriod = Param(nameof(KPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("%K Period", "Stochastic lookback window", "Stochastic");

		_dPeriod = Param(nameof(DPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("%D Period", "Smoothing length for %D", "Stochastic");

		_smoothingPeriod = Param(nameof(SmoothingPeriod), 3)
			.SetGreaterThanZero()
			.SetDisplay("Slowing", "Final smoothing for %K", "Stochastic");

		_stochasticLevel = Param(nameof(StochasticLevel), 50m)
			.SetDisplay("Stochastic Level", "Threshold used to trigger signals", "Stochastic");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Primary candle series", "General");
	}

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

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

		_longEntries.Clear();
		_shortEntries.Clear();
		_lastAc = null;
		_lastExitWasTakeProfit = false;
		_pipInitialized = false;
		_pipSize = 0m;
	}

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

		_ao = new AwesomeOscillator
		{
			ShortMa = { Length = 5 },
			LongMa = { Length = 34 },
		};

		_aoSma = new SMA
		{
			Length = 5,
		};

		_stochastic = new StochasticOscillator
		{
			K = { Length = KPeriod },
			D = { Length = DPeriod },
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_ao, _stochastic, ProcessCandle)
			.Start();

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

	/// <summary>
	/// Processes finished candles, updates indicators, and manages entries/exits.
	/// </summary>
	private void ProcessCandle(ICandleMessage candle, IIndicatorValue aoValue, IIndicatorValue stochValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!aoValue.IsFinal || !stochValue.IsFinal)
			return;

		var stoch = (StochasticOscillatorValue)stochValue;
		if (stoch.K is not decimal stochK)
			return;

		var ao = aoValue.GetValue<decimal>();
		var aoSmaValue = _aoSma.Process(new DecimalIndicatorValue(_aoSma, ao, candle.ServerTime) { IsFinal = true });
		if (!_aoSma.IsFormed)
			return;

		var ac = ao - aoSmaValue.GetValue<decimal>();
		var prevAcNullable = _lastAc;
		if (prevAcNullable is not decimal prevAc)
		{
			_lastAc = ac;
			return;
		}

		// indicators checked via BindEx
		if (!_ao.IsFormed || !_stochastic.IsFormed)
		{
			_lastAc = ac;
			return;
		}

		var pip = GetPipSize();
		var stopDistance = StopLossPips > 0m ? StopLossPips * pip : 0m;
		var takeDistance = TakeProfitPips > 0m ? TakeProfitPips * pip : 0m;
		var trailingStopDistance = TrailingStopPips > 0m ? TrailingStopPips * pip : 0m;
		var trailingStepDistance = TrailingStepPips > 0m ? TrailingStepPips * pip : 0m;
		var useTrailing = TrailingStopPips > 0m;

		TryEnterLong(candle, stochK, ac, prevAc, stopDistance, takeDistance);
		TryEnterShort(candle, stochK, ac, prevAc, stopDistance, takeDistance);

		ManageLongPositions(candle, stochK, ac, prevAc, trailingStopDistance, trailingStepDistance, useTrailing);
		ManageShortPositions(candle, stochK, ac, prevAc, trailingStopDistance, trailingStepDistance, useTrailing);

		_lastAc = ac;
	}

	/// <summary>
	/// Opens up to five long layers when momentum turns bullish.
	/// </summary>
	private void TryEnterLong(ICandleMessage candle, decimal stochK, decimal currentAc, decimal previousAc, decimal stopDistance, decimal takeDistance)
	{
		if (_longEntries.Count != 0 || _shortEntries.Count != 0)
			return;

		if (!(stochK > StochasticLevel && currentAc > previousAc))
			return;

		var volume = OrderVolume;
		if (volume <= 0m)
			return;

		var entryPrice = candle.ClosePrice;

		// First layer mirrors the expert advisor: no stop or target until trailing engages.
		BuyMarket();
		_longEntries.Add(new EntryInfo
		{
			Volume = volume,
			EntryPrice = entryPrice,
			StopPrice = null,
			TakeProfitPrice = null,
			Layer = 0,
		});

		for (var i = 1; i < MaxLayers; i++)
		{
			BuyMarket();

			var stopPrice = stopDistance > 0m ? entryPrice - stopDistance : (decimal?)null;
			var takePrice = takeDistance > 0m ? entryPrice + takeDistance * i : (decimal?)null;

			_longEntries.Add(new EntryInfo
			{
				Volume = volume,
				EntryPrice = entryPrice,
				StopPrice = stopPrice,
				TakeProfitPrice = takePrice,
				Layer = i,
			});
		}
	}

	/// <summary>
	/// Opens up to five short layers when momentum turns bearish.
	/// </summary>
	private void TryEnterShort(ICandleMessage candle, decimal stochK, decimal currentAc, decimal previousAc, decimal stopDistance, decimal takeDistance)
	{
		if (_shortEntries.Count != 0 || _longEntries.Count != 0)
			return;

		if (!(stochK < StochasticLevel && currentAc < previousAc))
			return;

		var volume = OrderVolume;
		if (volume <= 0m)
			return;

		var entryPrice = candle.ClosePrice;

		SellMarket();
		_shortEntries.Add(new EntryInfo
		{
			Volume = volume,
			EntryPrice = entryPrice,
			StopPrice = null,
			TakeProfitPrice = null,
			Layer = 0,
		});

		for (var i = 1; i < MaxLayers; i++)
		{
			SellMarket();

			var stopPrice = stopDistance > 0m ? entryPrice + stopDistance : (decimal?)null;
			var takePrice = takeDistance > 0m ? entryPrice - takeDistance * i : (decimal?)null;

			_shortEntries.Add(new EntryInfo
			{
				Volume = volume,
				EntryPrice = entryPrice,
				StopPrice = stopPrice,
				TakeProfitPrice = takePrice,
				Layer = i,
			});
		}
	}

	/// <summary>
	/// Manages open long layers including trailing logic and staged targets.
	/// </summary>
	private void ManageLongPositions(ICandleMessage candle, decimal stochK, decimal currentAc, decimal previousAc, decimal trailingStopDistance, decimal trailingStepDistance, bool useTrailing)
	{
		if (_longEntries.Count == 0)
			return;

		if (Position <= 0m)
		{
			_longEntries.Clear();
			return;
		}

		var closePrice = candle.ClosePrice;
		var highPrice = candle.HighPrice;
		var lowPrice = candle.LowPrice;

		var exitSignal = stochK < 50m && currentAc < previousAc;

		if (useTrailing)
		{
			if (exitSignal)
			{
				CloseAllLong(ExitReasons.Manual);
				return;
			}

			if (trailingStopDistance > 0m)
			{
				for (var i = 0; i < _longEntries.Count; i++)
				{
					var entry = _longEntries[i];
					var profit = closePrice - entry.EntryPrice;
					if (profit > trailingStopDistance + trailingStepDistance)
					{
						var newStop = closePrice - trailingStopDistance;
						if (entry.StopPrice is not decimal existing || newStop > existing)
							entry.StopPrice = newStop;
					}
				}
			}
		}
		else if (_lastExitWasTakeProfit)
		{
			if (exitSignal)
			{
				CloseAllLong(ExitReasons.Manual);
				return;
			}

			for (var i = 0; i < _longEntries.Count; i++)
			{
				var entry = _longEntries[i];
				if (entry.StopPrice is null && closePrice > entry.EntryPrice)
					entry.StopPrice = entry.EntryPrice;
			}
		}

		for (var i = 0; i < _longEntries.Count; i++)
		{
			var entry = _longEntries[i];
			if (entry.StopPrice is decimal stopPrice && lowPrice <= stopPrice)
			{
				CloseAllLong(ExitReasons.StopLoss);
				return;
			}
		}

		var anyTakeProfit = false;
		for (var i = _longEntries.Count - 1; i >= 0; i--)
		{
			var entry = _longEntries[i];
			if (entry.TakeProfitPrice is decimal takePrice && highPrice >= takePrice)
			{
				SellMarket();
				_longEntries.RemoveAt(i);
				anyTakeProfit = true;
			}
		}

		if (anyTakeProfit)
			_lastExitWasTakeProfit = true;
	}

	/// <summary>
	/// Manages open short layers including trailing logic and staged targets.
	/// </summary>
	private void ManageShortPositions(ICandleMessage candle, decimal stochK, decimal currentAc, decimal previousAc, decimal trailingStopDistance, decimal trailingStepDistance, bool useTrailing)
	{
		if (_shortEntries.Count == 0)
			return;

		if (Position >= 0m)
		{
			_shortEntries.Clear();
			return;
		}

		var closePrice = candle.ClosePrice;
		var highPrice = candle.HighPrice;
		var lowPrice = candle.LowPrice;

		var exitSignal = stochK > 50m && currentAc > previousAc;

		if (useTrailing)
		{
			if (exitSignal)
			{
				CloseAllShort(ExitReasons.Manual);
				return;
			}

			if (trailingStopDistance > 0m)
			{
				for (var i = 0; i < _shortEntries.Count; i++)
				{
					var entry = _shortEntries[i];
					var profit = entry.EntryPrice - closePrice;
					if (profit > trailingStopDistance + trailingStepDistance)
					{
						var newStop = closePrice + trailingStopDistance;
						if (entry.StopPrice is not decimal existing || newStop < existing)
							entry.StopPrice = newStop;
					}
				}
			}
		}
		else if (_lastExitWasTakeProfit)
		{
			if (exitSignal)
			{
				CloseAllShort(ExitReasons.Manual);
				return;
			}

			for (var i = 0; i < _shortEntries.Count; i++)
			{
				var entry = _shortEntries[i];
				if (entry.StopPrice is null && closePrice < entry.EntryPrice)
					entry.StopPrice = entry.EntryPrice;
			}
		}

		for (var i = 0; i < _shortEntries.Count; i++)
		{
			var entry = _shortEntries[i];
			if (entry.StopPrice is decimal stopPrice && highPrice >= stopPrice)
			{
				CloseAllShort(ExitReasons.StopLoss);
				return;
			}
		}

		var anyTakeProfit = false;
		for (var i = _shortEntries.Count - 1; i >= 0; i--)
		{
			var entry = _shortEntries[i];
			if (entry.TakeProfitPrice is decimal takePrice && lowPrice <= takePrice)
			{
				BuyMarket();
				_shortEntries.RemoveAt(i);
				anyTakeProfit = true;
			}
		}

		if (anyTakeProfit)
			_lastExitWasTakeProfit = true;
	}

	/// <summary>
	/// Closes all long layers and updates the modok-like flag.
	/// </summary>
	private void CloseAllLong(ExitReasons reason)
	{
		var volume = 0m;
		for (var i = 0; i < _longEntries.Count; i++)
			volume += _longEntries[i].Volume;

		if (volume > 0m && Position > 0m)
			SellMarket();

		_longEntries.Clear();

		if (reason == ExitReasons.TakeProfit)
			_lastExitWasTakeProfit = true;
		else if (reason == ExitReasons.StopLoss)
			_lastExitWasTakeProfit = false;
	}

	/// <summary>
	/// Closes all short layers and updates the modok-like flag.
	/// </summary>
	private void CloseAllShort(ExitReasons reason)
	{
		var volume = 0m;
		for (var i = 0; i < _shortEntries.Count; i++)
			volume += _shortEntries[i].Volume;

		if (volume > 0m && Position < 0m)
			BuyMarket();

		_shortEntries.Clear();

		if (reason == ExitReasons.TakeProfit)
			_lastExitWasTakeProfit = true;
		else if (reason == ExitReasons.StopLoss)
			_lastExitWasTakeProfit = false;
	}

	/// <summary>
	/// Calculates pip value based on the security tick size and decimal digits.
	/// </summary>
	private decimal GetPipSize()
	{
		if (_pipInitialized)
			return _pipSize;

		var security = Security;
		var step = security?.PriceStep ?? 0m;
		if (step <= 0m)
			step = 0.0001m;

		var decimals = security?.Decimals ?? 0;
		var adjust = decimals == 3 || decimals == 5 ? 10m : 1m;

		_pipSize = step * adjust;
		if (_pipSize <= 0m)
			_pipSize = step;

		if (_pipSize <= 0m)
			_pipSize = 0.0001m;

		_pipInitialized = true;
		return _pipSize;
	}
}