English EN
View on GitHub

Reversals With Pin Bars Strategy

Overview

This strategy is a C# port of the MetaTrader expert advisor "Reversals With Pin Bars". The original EA searches for long-tailed rejection candles (pin bars) and confirms them with a momentum filter, a higher timeframe linear weighted moving average (LWMA) trend check, and a MACD direction filter. The port keeps this multi-timeframe structure, relies exclusively on StockSharp indicators, and exposes the most important risk controls as parameters.

The implementation focuses on the high-level StockSharp API: candles from the primary timeframe drive entries, while additional subscriptions feed higher timeframe indicators. Risk management is expressed in pips and supports optional trailing-stop and break-even automation.

Entry Logic

  • Pin bar detection: The previous finished candle must have a wick that represents at least 50% of its full range.
    • Long setup: the upper shadow is dominant (matching the original "hanging man" check).
    • Short setup: the lower shadow is dominant.
  • Trend filter: Fast LWMA (length = FastMaPeriod) must be above/below the slow LWMA (SlowMaPeriod) on the higher timeframe.
  • Momentum filter: The absolute distance of the momentum value from 100 on any of the last three higher-timeframe bars must exceed MomentumThreshold.
  • MACD filter: MACD main line must be above/below the signal line on the MACD timeframe.
  • Position limits: Net exposure cannot exceed MaxTrades * Volume. New trades use the aligned Volume setting.

Risk Management

  • Stop-loss / Take-profit: Fixed distances in pips (StopLossPips, TakeProfitPips) from the entry close.
  • Break-even: When enabled, the stop moves to entry ± BreakEvenOffsetPips once price advances by BreakEvenTriggerPips.
  • Trailing stop: When enabled, trailing keeps a distance of TrailingStopPips from the latest close.
  • Automatic flattening: Reaching the calculated stop or target exits the entire position with a market order.

Parameters

Parameter Description
TradeVolume Volume used for each new entry, aligned to the instrument step.
MaxTrades Maximum number of same-direction entries (aggregated volume limit).
StopLossPips Stop-loss distance in pips.
TakeProfitPips Take-profit distance in pips.
EnableTrailing / TrailingStopPips Enable and configure the trailing-stop distance.
EnableBreakEven / BreakEvenTriggerPips / BreakEvenOffsetPips Break-even activation and buffer settings.
FastMaPeriod / SlowMaPeriod Lengths of the higher timeframe LWMAs.
MomentumPeriod / MomentumThreshold Momentum length and minimum absolute distance from 100.
MacdFastPeriod / MacdSlowPeriod / MacdSignalPeriod MACD configuration for the long-term filter.
CandleType Primary candle series for pin bar detection.
HigherCandleType Candle series used for LWMAs and momentum.
MacdCandleType Candle series used for MACD.

Differences vs. the MetaTrader Version

  • Money-based take-profit, trailing, and equity stop options were omitted; risk is expressed via pips.
  • Fractal-line confirmations that required chart objects were replaced by indicator-based conditions.
  • All notifications (alerts, emails, push messages) are removed; the StockSharp version focuses on trading logic.

Usage Notes

  1. Assign the strategy to a portfolio and security, then adjust the three candle types to match your desired multi-timeframe setup.
  2. Ensure the instrument price step reflects the pip definition (default fallback is 0.0001).
  3. Start the strategy; stops, targets, trailing, and break-even management are performed automatically on candle close.
  4. Monitor results; adjust momentum and LWMA lengths to fit the instrument volatility profile.
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 ReversalsWithPinBarsStrategy : 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 ReversalsWithPinBarsStrategy()
	{
		_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;
	}
}