English EN
View on GitHub

The strategy replicates the "Awesome Osc Trader" MetaTrader expert by combining Bollinger Band width, a stochastic filter and a normalized Awesome Oscillator momentum check. Long trades are opened when the oscillator is climbing from a negative extreme while the stochastic leaves the oversold area and market volatility stays inside a configurable band width. Shorts require the mirror conditions. A configurable trading window limits new orders to specific hours, and open positions can be force-closed on opposite signals only if the floating profit matches the chosen filter.

Details

  • Entry Criteria:
    • The Bollinger Band spread, converted to pips, must stay between BollingerSpreadLowerLimit and BollingerSpreadUpperLimit.
    • The stochastic main line is above StochLower for longs or below StochUpper for shorts.
    • The normalized Awesome Oscillator has shown at least four consecutive bars on the opposite side of zero and is turning back toward zero with strength above AoStrengthLimit.
    • Current time is inside the trading window defined by EntryHour and OpenHours.
  • Long/Short: Trades both directions.
  • Exit Criteria:
    • Optional early exit when an opposite signal appears or when the oscillator crosses zero, controlled by CloseTrade and ProfitTypeClTrd.
    • Protective stop-loss, take-profit and trailing stop distances supplied in pips.
  • Stops: Fixed stop, take-profit and optional trailing stop managed through StartProtection.
  • Default Values:
    • BollingerPeriod = 20, BollingerSigma = 2
    • BollingerSpreadLowerLimit = 55, BollingerSpreadUpperLimit = 380
    • PeriodFast = 3, PeriodSlow = 32
    • AoStrengthLimit = 0.13
    • StochK = 8, StochD = 3, StochSlow = 3
    • StochLower = 18, StochUpper = 76
    • EntryHour = 0, OpenHours = 16
    • Lots = 0.01, TakeProfit = 200, StopLoss = 80, TrailingStop = 40
    • CloseTrade = true, ProfitTypeClTrd = 1 (close only profitable positions)
  • Filters:
    • Category: Momentum with volatility filter
    • Direction: Long and short
    • Indicators: Bollinger Bands, Stochastic Oscillator, Awesome Oscillator
    • Stops: Yes (fixed and trailing)
    • Complexity: Medium
    • Timeframe: Designed for H1 but works with any candle series
    • Seasonality: Trading-hour window
    • Neural networks: No
    • Divergence: No
    • Risk level: Moderate
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 AwesomeOscTraderStrategy : 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 AwesomeOscTraderStrategy()
	{
		_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;
	}
}