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Pipsover Chaikin Hedge

Overview

This strategy reproduces the "Pipsover 2" MetaTrader expert advisor inside StockSharp. It searches for oversold or overbought conditions with the Chaikin oscillator while price pierces a moving average and uses the previous candle body to confirm the reversal. The StockSharp port keeps the discretionary hedging logic from the original code: when an opposite signal appears while already in a position, the strategy immediately reverses the net exposure to follow the new bias.

Indicators and data

  • Chaikin oscillator: built from an Accumulation/Distribution line smoothed by two moving averages. Both averages are configurable and match the MetaTrader implementation (simple, exponential, smoothed, or weighted).
  • Price moving average: configurable length, shift and type. It acts as the mean-reversion anchor that previous-candle highs or lows must pierce.
  • Timeframe: the strategy subscribes to a single candle stream chosen through the CandleType parameter.

Trading logic

  1. Work only with finished candles. The previous candle body (close vs. open) provides the directional bias.
  2. Read the Chaikin oscillator value from the previous candle. Large negative values signal oversold, large positive values mark overbought zones.
  3. Require the previous candle to pierce the current moving average value (Low < MA for bullish setups and High > MA for bearish ones).
  4. Enter when no position is open:
    • Long: previous candle bullish, low below MA, Chaikin below -OpenLevel.
    • Short: previous candle bearish, high above MA, Chaikin above OpenLevel.
  5. When a position exists and an opposite setup appears, the algorithm reverses the net position (SellMarket / BuyMarket with extra volume) to mirror the hedging behaviour of the MT5 version.
  6. Stops and targets are emulated inside the strategy using candle highs/lows, because StockSharp works with net positions rather than individual hedged tickets.

Risk management

  • Stop-loss & take-profit: distances in pips converted through the instrument price step. Both can be disabled with zero.
  • Breakeven: once price moves by BreakevenPips in favour, the stop is moved to the entry price.
  • Trailing: after the move exceeds BreakevenPips + TrailingStopPips, the stop follows price at the trailing distance.
  • Position state reset: whenever an exit happens, all internal price levels are cleared to prepare for the next trade.

Parameters

Name Description
OpenLevel Chaikin magnitude required to open a new position (default 100).
CloseLevel Chaikin magnitude required to reverse an existing position (default 125).
StopLossPips Stop-loss distance in pips (default 65).
TakeProfitPips Take-profit distance in pips (default 100).
TrailingStopPips Trailing distance in pips (default 30).
BreakevenPips Gain in pips before moving the stop to break-even (default 15).
MaPeriod Moving average length for the price filter (default 20).
MaShift Bars to shift the moving average (default 0).
MaType Moving average type (Simple, Exponential, Smoothed, Weighted).
ChaikinFastPeriod Fast smoothing length in the Chaikin oscillator (default 3).
ChaikinSlowPeriod Slow smoothing length in the Chaikin oscillator (default 10).
ChaikinMaType Moving average type used for Chaikin smoothing.
CandleType Candle series used for calculations.

Notes

  • Configure the base Volume property in StockSharp to control trade size.
  • Pips are calculated using the instrument PriceStep. If the step corresponds to 3 or 5 decimal quotes (e.g., 0.00001), the strategy multiplies it by 10 to match MetaTrader pip spacing.
  • Because StockSharp uses net positions, hedge orders from the original MQL expert advisor are represented as immediate reversals of the existing position.
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>
/// Chaikin oscillator oversold/overbought strategy with optional reversal hedging and trailing management.
/// </summary>
public class PipsoverChaikinHedgeStrategy : Strategy
{
	private readonly StrategyParam<decimal> _openLevel;
	private readonly StrategyParam<decimal> _closeLevel;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _breakevenPips;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _maShift;
	private readonly StrategyParam<MovingAverageTypeOptions> _maType;
	private readonly StrategyParam<int> _chaikinFastPeriod;
	private readonly StrategyParam<int> _chaikinSlowPeriod;
	private readonly StrategyParam<MovingAverageTypeOptions> _chaikinMaType;
	private readonly StrategyParam<DataType> _candleType;

	private AccumulationDistributionLine _adLine = null!;
	private IIndicator _priceMa = null!;
	private IIndicator _chaikinFast = null!;
	private IIndicator _chaikinSlow = null!;

	private readonly Queue<decimal> _maValues = new();

	private decimal _pipSize;
	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takeProfitPrice;
	private decimal _prevOpen;
	private decimal _prevClose;
	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrevCandle;
	private decimal _prevChaikin;
	private bool _hasPrevChaikin;

	/// <summary>
	/// Chaikin threshold for entries.
	/// </summary>
	public decimal OpenLevel
	{
		get => _openLevel.Value;
		set => _openLevel.Value = value;
	}

	/// <summary>
	/// Chaikin threshold for hedging reversals.
	/// </summary>
	public decimal CloseLevel
	{
		get => _closeLevel.Value;
		set => _closeLevel.Value = value;
	}

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

	/// <summary>
	/// Take-profit distance in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

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

	/// <summary>
	/// Breakeven activation distance in pips.
	/// </summary>
	public decimal BreakevenPips
	{
		get => _breakevenPips.Value;
		set => _breakevenPips.Value = value;
	}

	/// <summary>
	/// Moving average length.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Moving average shift in bars.
	/// </summary>
	public int MaShift
	{
		get => _maShift.Value;
		set => _maShift.Value = value;
	}

	/// <summary>
	/// Moving average type for price filter.
	/// </summary>
	public MovingAverageTypeOptions MaType
	{
		get => _maType.Value;
		set => _maType.Value = value;
	}

	/// <summary>
	/// Fast Chaikin moving average length.
	/// </summary>
	public int ChaikinFastPeriod
	{
		get => _chaikinFastPeriod.Value;
		set => _chaikinFastPeriod.Value = value;
	}

	/// <summary>
	/// Slow Chaikin moving average length.
	/// </summary>
	public int ChaikinSlowPeriod
	{
		get => _chaikinSlowPeriod.Value;
		set => _chaikinSlowPeriod.Value = value;
	}

	/// <summary>
	/// Moving average type used in Chaikin oscillator.
	/// </summary>
	public MovingAverageTypeOptions ChaikinMaType
	{
		get => _chaikinMaType.Value;
		set => _chaikinMaType.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="PipsoverChaikinHedgeStrategy"/> class.
	/// </summary>
	public PipsoverChaikinHedgeStrategy()
	{
		_openLevel = Param(nameof(OpenLevel), 0.01m)
		.SetGreaterThanZero()
		.SetDisplay("Open Level", "Chaikin level for entries", "Chaikin");

		_closeLevel = Param(nameof(CloseLevel), 0.02m)
		.SetGreaterThanZero()
		.SetDisplay("Close Level", "Chaikin level for hedging", "Chaikin");

		_stopLossPips = Param(nameof(StopLossPips), 65m)
		.SetDisplay("Stop Loss (pips)", "Stop-loss distance in pips", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 100m)
		.SetDisplay("Take Profit (pips)", "Take-profit distance in pips", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 30m)
		.SetDisplay("Trailing Stop (pips)", "Trailing stop distance in pips", "Risk");

		_breakevenPips = Param(nameof(BreakevenPips), 15m)
		.SetDisplay("Breakeven (pips)", "Breakeven activation distance", "Risk");

		_maPeriod = Param(nameof(MaPeriod), 20)
		.SetGreaterThanZero()
		.SetDisplay("MA Period", "Price moving average length", "Trend");

		_maShift = Param(nameof(MaShift), 0)
		.SetDisplay("MA Shift", "Price moving average shift", "Trend");

		_maType = Param(nameof(MaType), MovingAverageTypeOptions.Simple)
		.SetDisplay("MA Type", "Price moving average type", "Trend");

		_chaikinFastPeriod = Param(nameof(ChaikinFastPeriod), 3)
		.SetGreaterThanZero()
		.SetDisplay("Chaikin Fast", "Fast Chaikin length", "Chaikin");

		_chaikinSlowPeriod = Param(nameof(ChaikinSlowPeriod), 10)
		.SetGreaterThanZero()
		.SetDisplay("Chaikin Slow", "Slow Chaikin length", "Chaikin");

		_chaikinMaType = Param(nameof(ChaikinMaType), MovingAverageTypeOptions.Exponential)
		.SetDisplay("Chaikin MA Type", "Chaikin moving average type", "Chaikin");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
		.SetDisplay("Candle Type", "Timeframe for analysis", "Data");
	}

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

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

		_maValues.Clear();
		_pipSize = 0m;
		_entryPrice = null;
		_stopPrice = null;
		_takeProfitPrice = null;
		_prevOpen = 0m;
		_prevClose = 0m;
		_prevHigh = 0m;
		_prevLow = 0m;
		_prevChaikin = 0m;
		_hasPrevCandle = false;
		_hasPrevChaikin = false;
	}

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

		_pipSize = CalculatePipSize();

		_adLine = new AccumulationDistributionLine();
		_priceMa = CreateMovingAverage(MaType, MaPeriod);
		_chaikinFast = CreateMovingAverage(ChaikinMaType, ChaikinFastPeriod);
		_chaikinSlow = CreateMovingAverage(ChaikinMaType, ChaikinSlowPeriod);

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

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

		var prevOpen = _prevOpen;
		var prevClose = _prevClose;
		var prevHigh = _prevHigh;
		var prevLow = _prevLow;
		var prevChaikin = _prevChaikin;
		var hasPrevCandle = _hasPrevCandle;
		var hasPrevChaikin = _hasPrevChaikin;

		var fastValue = _chaikinFast.Process(new DecimalIndicatorValue(_chaikinFast, adValue, candle.OpenTime) { IsFinal = true });
		var slowValue = _chaikinSlow.Process(new DecimalIndicatorValue(_chaikinSlow, adValue, candle.OpenTime) { IsFinal = true });

		if (!fastValue.IsFinal || !slowValue.IsFinal)
		{
			_prevChaikin = fastValue.ToDecimal() - slowValue.ToDecimal();
			_hasPrevChaikin = true;
			StorePreviousCandle(candle);
			return;
		}

		var chaikin = fastValue.ToDecimal() - slowValue.ToDecimal();
		var shiftedMa = UpdateShiftedMa(maValue);

		if (shiftedMa is null)
		{
			_prevChaikin = chaikin;
			_hasPrevChaikin = true;
			StorePreviousCandle(candle);
			return;
		}

		var hasPrevData = hasPrevCandle && hasPrevChaikin;
		var positionClosed = HandleStopsAndTargets(candle);
		var reversed = false;

		if (Position == 0m)
		{
			if (hasPrevData)
			{
				var bullishPrev = prevClose > prevOpen;
				var bearishPrev = prevClose < prevOpen;

				if (bullishPrev && prevLow < shiftedMa && prevChaikin < -OpenLevel)
				{
					BuyMarket(Volume);
					SetupLongTargets(candle.ClosePrice);
				}
				else if (bearishPrev && prevHigh > shiftedMa && prevChaikin > OpenLevel)
				{
					SellMarket(Volume);
					SetupShortTargets(candle.ClosePrice);
				}
			}
		}
		else if (!positionClosed)
		{
			if (hasPrevData)
			{
				var bearishPrev = prevClose < prevOpen;
				var bullishPrev = prevClose > prevOpen;

				if (Position > 0m && bearishPrev && prevHigh > shiftedMa && prevChaikin > CloseLevel)
				{
					var size = Math.Abs(Position) + Volume;
					SellMarket(size);
					SetupShortTargets(candle.ClosePrice);
					reversed = true;
				}
				else if (Position < 0m && bullishPrev && prevLow < shiftedMa && prevChaikin < -CloseLevel)
				{
					var size = Math.Abs(Position) + Volume;
					BuyMarket(size);
					SetupLongTargets(candle.ClosePrice);
					reversed = true;
				}
			}

			if (!reversed)
			UpdateTrailing(candle);
		}

		_prevChaikin = chaikin;
		_hasPrevChaikin = true;
		StorePreviousCandle(candle);
	}
	private decimal? UpdateShiftedMa(decimal maValue)
	{
		var shift = Math.Max(0, MaShift);
		_maValues.Enqueue(maValue);

		while (_maValues.Count > shift + 1)
		_maValues.Dequeue();

		var values = _maValues.ToArray();
		if (values.Length < shift + 1)
		return null;

		return values[0];
	}

	private void StorePreviousCandle(ICandleMessage candle)
	{
		_prevOpen = candle.OpenPrice;
		_prevClose = candle.ClosePrice;
		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
		_hasPrevCandle = true;
	}

	private bool HandleStopsAndTargets(ICandleMessage candle)
	{
		if (Position > 0m)
		{
			if (_stopPrice is decimal stop && candle.LowPrice <= stop)
			{
				SellMarket(Math.Abs(Position));
				ResetPositionState();
				return true;
			}

			if (_takeProfitPrice is decimal take && candle.HighPrice >= take)
			{
				SellMarket(Math.Abs(Position));
				ResetPositionState();
				return true;
			}
		}
		else if (Position < 0m)
		{
			if (_stopPrice is decimal stop && candle.HighPrice >= stop)
			{
				BuyMarket(Math.Abs(Position));
				ResetPositionState();
				return true;
			}

			if (_takeProfitPrice is decimal take && candle.LowPrice <= take)
			{
				BuyMarket(Math.Abs(Position));
				ResetPositionState();
				return true;
			}
		}

		return false;
	}

	private void SetupLongTargets(decimal price)
	{
		_entryPrice = price;

		if (StopLossPips > 0m)
		_stopPrice = price - StopLossPips * _pipSize;
		else
		_stopPrice = null;

		if (TakeProfitPips > 0m)
		_takeProfitPrice = price + TakeProfitPips * _pipSize;
		else
		_takeProfitPrice = null;
	}

	private void SetupShortTargets(decimal price)
	{
		_entryPrice = price;

		if (StopLossPips > 0m)
		_stopPrice = price + StopLossPips * _pipSize;
		else
		_stopPrice = null;

		if (TakeProfitPips > 0m)
		_takeProfitPrice = price - TakeProfitPips * _pipSize;
		else
		_takeProfitPrice = null;
	}

	private void UpdateTrailing(ICandleMessage candle)
	{
		if (_entryPrice is not decimal entry)
		return;

		var breakevenDist = BreakevenPips > 0m ? BreakevenPips * _pipSize : 0m;
		var trailingDist = TrailingStopPips > 0m ? TrailingStopPips * _pipSize : 0m;

		if (Position > 0m)
		{
			var move = candle.ClosePrice - entry;

			if (breakevenDist > 0m && move > breakevenDist)
			{
				if (_stopPrice is null || _stopPrice < entry)
				_stopPrice = entry;
			}

			if (trailingDist > 0m)
			{
				var activation = breakevenDist + trailingDist;
				if (move > activation)
				{
					var newStop = candle.ClosePrice - trailingDist;
					if (_stopPrice is null || newStop > _stopPrice)
					_stopPrice = newStop;
				}
			}
		}
		else if (Position < 0m)
		{
			var move = entry - candle.ClosePrice;

			if (breakevenDist > 0m && move > breakevenDist)
			{
				if (_stopPrice is null || _stopPrice > entry)
				_stopPrice = entry;
			}

			if (trailingDist > 0m)
			{
				var activation = breakevenDist + trailingDist;
				if (move > activation)
				{
					var newStop = candle.ClosePrice + trailingDist;
					if (_stopPrice is null || newStop < _stopPrice)
					_stopPrice = newStop;
				}
			}
		}
	}

	private void ResetPositionState()
	{
		_entryPrice = null;
		_stopPrice = null;
		_takeProfitPrice = null;
	}

	private decimal CalculatePipSize()
	{
		var step = Security?.PriceStep ?? 0.0001m;
		if (step <= 0m)
		step = 0.0001m;

		var tmp = step;
		var decimals = 0;

		while (tmp < 1m && decimals < 10)
		{
			tmp *= 10m;
			decimals++;
		}

		return decimals == 3 || decimals == 5 ? step * 10m : step;
	}

	private static IIndicator CreateMovingAverage(MovingAverageTypeOptions type, int length)
	{
		return type switch
		{
			MovingAverageTypeOptions.Simple => new SimpleMovingAverage { Length = length },
			MovingAverageTypeOptions.Exponential => new ExponentialMovingAverage { Length = length },
			MovingAverageTypeOptions.Smoothed => new SmoothedMovingAverage { Length = length },
			MovingAverageTypeOptions.Weighted => new WeightedMovingAverage { Length = length },
			_ => new SimpleMovingAverage { Length = length }
		};
	}

	/// <summary>
	/// Moving average options matching the MetaTrader configuration.
	/// </summary>
	public enum MovingAverageTypeOptions
	{
		Simple,
		Exponential,
		Smoothed,
		Weighted
	}
}