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TCPivot Session Stop Strategy

Overview

The TCPivot Session Stop strategy is a direct port of the MetaTrader 4 expert advisor gpfTCPivotStop. It trades around the classic daily pivot level calculated from the previous trading day. The strategy:

  • Calculates the pivot point, three resistance, and three support levels from the prior day's high, low, and close.
  • Waits for the current close to cross the pivot level from below (long setup) or from above (short setup).
  • Opens a market position in the direction of the breakout and assigns a stop-loss and take-profit at the selected pivot level tier.
  • Optionally forces the position to close at the beginning of a specified session hour to emulate the original intraday exit.

The implementation is based on the StockSharp high level API. Positions are sized with the Volume property of the base Strategy class.

Parameters

Name Description Default
TargetLevel Pivot tier used for stop-loss and take-profit (1, 2, or 3). 1
CloseAtSessionStart If enabled, closes open positions when the configured hour begins. false
SessionCloseHour Session hour (0-23) evaluated when CloseAtSessionStart is enabled. 0
CandleType Time frame that feeds the trading signals. H1

Trading Logic

  1. Subscribe to hourly (or configured) candles for signals and daily candles for pivot calculation.
  2. At the completion of each daily candle, compute the classical pivot levels:
    • Pivot = (High + Low + Close) / 3
    • R1 = 2 * Pivot - Low, S1 = 2 * Pivot - High
    • R2 = Pivot + (R1 - S1), S2 = Pivot - (R1 - S1)
    • R3 = High + 2 * (Pivot - Low), S3 = Low - 2 * (High - Pivot)
  3. When a signal candle finishes:
    • If CloseAtSessionStart is enabled and the candle opens at SessionCloseHour, immediately flatten the position.
    • If flat and the previous close was below the pivot while the current close is above it, enter long with target/stop selected by TargetLevel.
    • If flat and the previous close was above the pivot while the current close is below it, enter short with the mirrored target/stop.
    • If already in a position, exit when the close touches the configured stop-loss or take-profit level.

Notes

  • The strategy uses StartProtection() to integrate with the platform's built-in risk controls. Stop-loss and take-profit exits are handled explicitly inside the strategy logic.
  • The MetaTrader version included optional email notifications and dynamic position sizing based on account risk. These features are not part of the StockSharp port; use the platform's notification and money management modules if needed.
  • The original expert advisor closed trades at midnight when isTradeDay was enabled. This behavior is reproduced through CloseAtSessionStart + SessionCloseHour (set to 0 to mimic midnight).
using System;



using StockSharp.Algo.Indicators;

using StockSharp.Algo.Strategies;

using StockSharp.BusinessEntities;

using StockSharp.Messages;



namespace StockSharp.Samples.Strategies;



public class TcpPivotSessionStopStrategy : Strategy

{

	private readonly StrategyParam<int> _fastPeriod;

	private readonly StrategyParam<int> _slowPeriod;

	private readonly StrategyParam<DataType> _candleType;



	private decimal _prevFast; private decimal _prevSlow; private bool _hasPrev;

	private int _cooldown;



	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }

	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }



	public TcpPivotSessionStopStrategy()

	{

		_fastPeriod = Param(nameof(FastPeriod), 7).SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 21).SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame()).SetDisplay("Candle Type", "Candle timeframe", "General");

	}



	/// <inheritdoc />

	protected override void OnReseted()

	{

		base.OnReseted();

		_prevFast = default;

		_prevSlow = default;

		_hasPrev = default;

		_cooldown = default;

	}



	/// <inheritdoc />

	protected override void OnStarted2(DateTime time)

	{

		base.OnStarted2(time);

		_hasPrev = false;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };

		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);

		subscription.Bind(fast, slow, ProcessCandle).Start();

	}



	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)

	{

		if (candle.State != CandleStates.Finished) return;

		if (!IsFormedAndOnlineAndAllowTrading()) return;

		if (!_hasPrev) { _prevFast = fast; _prevSlow = slow; _hasPrev = true; return; }

		if (_cooldown > 0)

		{

			_cooldown--;

			_prevFast = fast; _prevSlow = slow;

			return;

		}



		if (_prevFast <= _prevSlow && fast > slow && Position <= 0)

		{

			var volume = Volume + Math.Abs(Position);

			BuyMarket(volume);

			_cooldown = 2;

		}

		else if (_prevFast >= _prevSlow && fast < slow && Position >= 0)

		{

			var volume = Volume + Math.Abs(Position);

			SellMarket(volume);

			_cooldown = 2;

		}

		_prevFast = fast; _prevSlow = slow;

	}

}