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Bronze Pan Strategy

This strategy is a StockSharp port of the MetaTrader 4 expert advisor "Bronzew_pan". It trades a single instrument on finished candles and combines the proprietary DayImpuls oscillator with Williams %R and the Commodity Channel Index (CCI) to detect momentum reversals.

How it works

  1. Subscribes to the configured candle type and runs DayImpuls, Williams %R and CCI with the same period.
  2. Keeps independent accounting of long and short exposures to emulate the original hedging behaviour.
  3. Closes all positions once the floating profit reaches ProfitTarget or drops below LossTarget.
  4. Opens a short when DayImpuls stays above DayImpulsShortLevel and declines, while Williams %R is above WilliamsLevelUp and CCI exceeds CciLevel.
  5. Opens a long when DayImpuls stays below DayImpulsLongLevel and rises, while Williams %R is below WilliamsLevelDown and CCI is less than -CciLevel.
  6. If the floating PnL moves beyond the PredBand bounds, the strategy sends a large averaging order multiplied by LotMultiplier to flip direction, mirroring the emergency recovery logic from MetaTrader.
  7. Individual stop-loss and take-profit values are monitored for long and short baskets using pip distances converted to prices.
  8. No new trades are opened when the account balance falls below MinimumBalance or when both long and short baskets are active.

Parameters

Name Description Default
TradeVolume Base volume for entries. 0.1
LongStopLossPips Stop-loss distance for long baskets in pips. 0
ShortStopLossPips Stop-loss distance for short baskets in pips. 0
LongTakeProfitPips Take-profit distance for long baskets in pips. 0
ShortTakeProfitPips Take-profit distance for short baskets in pips. 0
IndicatorPeriod Length used by DayImpuls, Williams %R and CCI. 14
CciLevel Absolute CCI threshold confirming overbought/oversold. 150
WilliamsLevelUp Williams %R level required for shorts. -15
WilliamsLevelDown Williams %R level required for longs. -85
DayImpulsShortLevel DayImpuls level that enables short entries. 50
DayImpulsLongLevel DayImpuls level that enables long entries. -50
ProfitTarget Floating profit that closes every position. 500
LossTarget Floating loss that closes every position. -2000
PredBand Profit band used to trigger averaging reversals. 100
LotMultiplier Multiplier applied to the base volume during reversals. 30
MinimumBalance Minimal account balance required to keep trading. 3000
CandleType Time-frame used for candle subscriptions. 15m

Notes

  • The DayImpuls oscillator replicates the original double EMA smoothing over candle bodies expressed in points.
  • Stop-loss and take-profit values are optional; setting 0 disables the respective protection side.
  • The strategy relies on finished candles and ignores incomplete bars.
using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bronze Pan strategy - CCI with momentum confirmation.
/// Buys when CCI crosses above positive level and momentum is positive.
/// Sells when CCI crosses below negative level and momentum is negative.
/// </summary>
public class BronzePanStrategy : Strategy
{
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciLevel;
	private readonly StrategyParam<int> _momentumPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevCci;
	private bool _hasPrev;

	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	public decimal CciLevel { get => _cciLevel.Value; set => _cciLevel.Value = value; }
	public int MomentumPeriod { get => _momentumPeriod.Value; set => _momentumPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BronzePanStrategy()
	{
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetDisplay("CCI Period", "CCI lookback", "Indicators");

		_cciLevel = Param(nameof(CciLevel), 100m)
			.SetDisplay("CCI Level", "CCI threshold level", "Levels");

		_momentumPeriod = Param(nameof(MomentumPeriod), 14)
			.SetDisplay("Momentum Period", "Momentum lookback", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevCci = 0m; _hasPrev = false; }

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_hasPrev = false;

		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var mom = new Momentum { Length = MomentumPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(cci, mom, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal cci, decimal mom)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_hasPrev)
		{
			_prevCci = cci;
			_hasPrev = true;
			return;
		}

		if (_prevCci <= CciLevel && cci > CciLevel && mom > 0 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		else if (_prevCci >= -CciLevel && cci < -CciLevel && mom < 0 && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevCci = cci;
	}
}