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Broadening Top Strategy

Overview

Broadening Top Strategy is a trend-following system inspired by the original MetaTrader "Broadening top" expert advisor. The strategy focuses on catching breakouts that appear after a broadening formation by combining trend direction and momentum confirmation. Two linear weighted moving averages, a momentum oscillator and a MACD filter work together to detect bullish and bearish breakouts.

Trading Logic

  1. Trend filter – the strategy compares a fast and a slow linear weighted moving average (LWMA). Long trades require the fast LWMA to be above the slow LWMA, while short trades expect the opposite.
  2. Momentum confirmation – the momentum oscillator is observed on the last three completed candles. A trade is allowed only if any of these values deviates from the neutral level (100) by at least the configured threshold (separate values for longs and shorts).
  3. MACD alignment – an additional filter checks the MACD line against its signal line. Long positions are triggered only when the MACD line is above the signal line, shorts when it is below.
  4. Position handling – before opening a trade in the opposite direction the strategy closes the current position, ensuring that only one position is active at a time.

Risk Management

The strategy uses StartProtection to manage protective orders:

  • Optional stop-loss and take-profit distances defined in price steps (pips).
  • An optional trailing stop with a configurable trailing step.

Parameters

Parameter Description Default
OrderVolume Order size in lots/contracts. 1
FastMaLength Length of the fast linear weighted moving average. 6
SlowMaLength Length of the slow linear weighted moving average. 85
MomentumPeriod Lookback period for the momentum oscillator. 14
MomentumBuyThreshold Minimum distance from the neutral momentum level (100) required to allow long entries. 0.3
MomentumSellThreshold Minimum distance from the neutral momentum level (100) required to allow short entries. 0.3
MacdFast Fast EMA length inside MACD. 12
MacdSlow Slow EMA length inside MACD. 26
MacdSignal Signal EMA length inside MACD. 9
TakeProfitPips Take-profit distance measured in price steps. 50
StopLossPips Stop-loss distance measured in price steps. 20
TrailingStopPips Trailing-stop distance measured in price steps. 40
TrailingStepPips Additional distance before the trailing stop is updated. 10
CandleType Candle type/time frame used for calculations. 15-minute time frame
EnableLongs Enable or disable long trades. true
EnableShorts Enable or disable short trades. true

Indicators

  • LinearWeightedMovingAverage – fast and slow trend filters.
  • Momentum – confirms market acceleration away from the neutral level.
  • MovingAverageConvergenceDivergenceSignal – provides directional confirmation via MACD and signal lines.

Usage Notes

  • Momentum thresholds are evaluated on the three most recent completed candles to emulate the original MQL behavior.
  • Protective orders (stop-loss, take-profit, trailing stop) are optional and can be disabled by setting the corresponding distance to zero.
  • The strategy must be attached to securities that provide price step and decimal information to calculate pip size correctly.
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 BroadeningTopStrategy : 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 BroadeningTopStrategy()
	{
		_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;
	}
}