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Breakthrough Volatility Strategy

Breakthrough Volatility Strategy searches for short bursts in intrabar volatility. It waits for a candle whose range expands beyond the previous candle but only by a narrow band (two pip-equivalents after digit normalization). When such a candle closes bullish, the strategy buys; when it closes bearish, it sells. Protective stops, an optional trailing stop, and an automatic reverse-on-loss sequence manage risk and attempt to recover from adverse moves.

Trading Logic

  1. Range Expansion Filter
    • Calculate the current candle range (High - Low) and compare it with the previous candle.
    • Require the current range to be larger, yet not exceed the previous range by more than two normalized pips.
    • This creates a setup where volatility is increasing but still constrained, pointing to a potential breakout without excessive noise.
  2. Directional Bias
    • If the candle closes above its open, enter long.
    • If the candle closes below its open, enter short.
    • The strategy can optionally forbid more than one entry per bar to avoid repeated signals on the same candle.
  3. Position Management
    • Initial stop-loss and take-profit are assigned in points (pip equivalents) relative to the entry price.
    • An optional trailing stop tightens the protective level once price has moved a specified distance in favor of the trade. A trailing step prevents tiny adjustments.
    • When a position closes with a loss, the strategy can reverse direction immediately. Each reverse increases the take-profit distance to compensate for the additional risk. A cap on the number of consecutive reverses prevents infinite martingale behaviour.

Parameters

Name Description Default Optimizable
TradeVolume Base order volume for market entries. 0.1 Yes
StopLossPoints Stop-loss distance in points. 20 Yes
TakeProfitPoints Take-profit distance in points. 10 Yes
TrailingStopPoints Trailing stop distance in points. Set to 0 to disable. 25 No
TrailingStepPoints Minimum incremental step when moving the trailing stop. 5 No
OnlyOnePositionPerBar Forbid multiple entries during the same candle. true No
UseAutoDigits Multiply the point size by 10 for symbols with 3 or 5 decimals to convert to pip units. true No
ReverseAfterStop Enable the reverse-on-loss workflow. true No
MaxReverseOrders Maximum number of consecutive reverse trades. 2 No
TakeProfitIncrease Extra take-profit points added for each reverse order. 100 No
CandleType Candle type and timeframe for calculations. TimeSpan.FromMinutes(1) No

Risk Management

  • Stop-loss and take-profit offsets are recalculated using the instrument price step. Digit auto-detection converts five-digit quotes to pip-sized distances.
  • Trailing logic only activates after the market advances by the specified trailing distance and enforces a minimum step before modifying the stop.
  • Reverse trading resets after a profitable exit or after hitting the configured limit of consecutive reverses.

Practical Notes

  • Works best on currency pairs with tight spreads, where small volatility changes can indicate momentum bursts.
  • Consider aligning the candle timeframe with the target market session; the default 1-minute timeframe captures high-frequency breakouts.
  • Because reversals are executed immediately after a losing close, ensure sufficient margin is available for back-to-back trades.
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 BreakthroughVolatilityStrategy : 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 BreakthroughVolatilityStrategy()
	{
		_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;
	}
}