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Linear Regression Channel (Fibo) Strategy

Overview

This strategy is the StockSharp conversion of the MetaTrader expert advisor "linear regression channel". It trades in the direction of the higher-timeframe linear trend confirmed by a set of weighted moving averages, momentum readings, and a monthly MACD filter. Money-management rules replicate the original behaviour with floating profit targets, trailing of accumulated gains, break-even protection, and an equity stop.

Trading Logic

  1. Primary timeframe – configurable candle type (default 15-minute). All signal calculations run on this timeframe.
  2. Trend filter – a fast and a slow linear weighted moving average (LWMA) calculated on the typical price. Long signals require the fast LWMA to be above the slow LWMA; short signals require the opposite.
  3. Momentum confirmation – the momentum indicator is evaluated on a higher timeframe that mirrors the original MetaTrader mapping (M1→M15, M5→M30, M15→H1, M30→H4, H1→D1, H4→W1, D1→MN1). The last three momentum values are converted to the absolute distance from the 100 level. A long setup needs any of the three distances to exceed the bullish threshold, while a short setup needs any of the three to exceed the bearish threshold.
  4. Monthly MACD bias – monthly candles drive a MACD(12,26,9) filter. Long trades are only allowed when the MACD main line is above its signal line; short trades require the opposite relationship.
  5. Entry condition – when all filters align and trading is allowed, the strategy opens a market order in the corresponding direction. The current position is closed and reversed when an opposite signal is produced.

Risk and Trade Management

  • Fixed stop-loss / take-profit – distances are defined in instrument points and applied to every entry. If the candle high/low pierces these levels, the position is closed.
  • Trailing stop – optional; activates once the position gains a configurable amount of points and trails the best price by the specified offset.
  • Break-even – optional; after the price advances by the trigger distance, the stop level is moved to the entry price plus/minus an offset to secure profits.
  • Floating profit take-profit – optional monetary target. When the net unrealised profit (expressed in account currency) exceeds the threshold, all positions are closed.
  • Percent-based take-profit – optional target based on the initial equity at the moment the strategy starts.
  • Money trailing – once floating profit reaches the trigger, the strategy records the peak profit. If profit retraces by the specified stop amount, the position is closed.
  • Equity stop – optional drawdown protection. While the position is losing, if the floating loss exceeds a percentage of the observed equity peak, the strategy liquidates the position.

Parameters

Name Description
Candle Type Primary timeframe for signal generation.
Fast LWMA / Slow LWMA Periods for the fast and slow linear weighted moving averages.
Momentum Length Momentum lookback length on the higher timeframe.
Momentum Buy Threshold / Momentum Sell Threshold Minimum absolute distance from 100 required for bullish/bearish momentum confirmation.
Take Profit (points) / Stop Loss (points) Protective distances expressed in instrument points.
Use Trailing, Trailing Activation, Trailing Offset Trailing stop configuration.
Use Break-even, Break-even Trigger, Break-even Offset Break-even logic parameters.
Max Trades Maximum number of sequential entries allowed during the run.
Order Volume Base volume for market orders.
Use Money TP, Money Take Profit Floating monetary take-profit.
Use Percent TP, Percent Take Profit Take-profit calculated as a percentage of initial equity.
Enable Money Trailing, Money Trailing Trigger, Money Trailing Stop Trailing of floating profit.
Use Equity Stop, Equity Risk % Equity-based stop-loss guard.

Notes

  • The strategy keeps only one net position (long or short) and reverses when an opposite signal arrives.
  • Momentum and MACD subscriptions automatically add the necessary higher timeframes to the data feed through GetWorkingSecurities().
  • All comments inside the code are in English per repository guidelines.
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;

public class LinearRegressionChannelFibStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public LinearRegressionChannelFibStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}