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Master Mind Triple WPR Strategy

Overview

  • Port of the MetaTrader 4 expert advisor MasterMind3CE (folder MQL/8458).
  • Uses four Williams %R indicators with periods 26, 27, 29 and 30 to detect extreme overbought / oversold conditions.
  • Designed for mean-reversion entries: buy after a deep sell-off, sell after an overextended rally.
  • Includes configurable stop-loss, take-profit and optional trailing-stop logic expressed in instrument price steps.
  • Works on any timeframe supported by the connected StockSharp terminal; default is 15-minute candles.

Trading Logic

Indicators

  • WilliamsR(26) — extremely fast oscillator.
  • WilliamsR(27) — fast oscillator for confirmation.
  • WilliamsR(29) — medium oscillator that smoothes the signal.
  • WilliamsR(30) — slow oscillator that requires extreme values across multiple lookbacks.

All four oscillators must be formed. The subscription processes only finished candles to match the original expert's TradeAtCloseBar = true behaviour.

Entry Conditions

  • Long entry: All four Williams %R values are below or equal to OversoldLevel (default -99.99). The strategy targets a long position of TradeVolume. If a short is open it is closed and flipped to long in a single market order sized to reach the target exposure.
  • Short entry: All four Williams %R values are above or equal to OverboughtLevel (default -0.01). The strategy targets a short position of TradeVolume, closing any existing long exposure first.

Exit Conditions

  • Signal-based exit: When a long is open and a short entry condition appears the strategy closes/flip the position (and vice versa).
  • Protective stop-loss: Optional price step distance applied from the average entry price. A hit on the candle's high/low triggers a market exit.
  • Take-profit: Optional price step target from the average entry price. Once reached on the candle the position is closed.
  • Trailing-stop: Optional trailing logic which starts once price moves by TrailingStopSteps + TrailingStepSteps in favour. The stop is then maintained TrailingStopSteps away from the latest close and only advances when improved by at least TrailingStepSteps.

Risk Management

Price distances are specified in instrument price steps. For example, with PriceStep = 0.0001 and StopLossSteps = 2000, the stop is placed 0.2000 away from the entry. The strategy recalculates average entry price when scaling into the same direction to keep risk levels consistent. Trailing stops are disabled unless both TrailingStopSteps and TrailingStepSteps are positive.

Parameters

Name Description Default
TradeVolume Target net position size (lots/contracts). 1
OversoldLevel Williams %R threshold that confirms oversold conditions. -99.99
OverboughtLevel Williams %R threshold that confirms overbought conditions. -0.01
StopLossSteps Stop-loss distance in PriceStep units. Set 0 to disable. 2000
TakeProfitSteps Take-profit distance in PriceStep units. Set 0 to disable. 0
TrailingStopSteps Trailing-stop distance in PriceStep units. Requires TrailingStepSteps > 0. 0
TrailingStepSteps Minimum improvement before the trailing stop is moved (in PriceStep units). 1
CandleType Candle data type / timeframe processed by the strategy. TimeFrame(15m)

Conversion Notes

  • Alerts, sound notifications, logging to files and email features from the MQL expert are intentionally omitted; StockSharp logs can be used instead.
  • The original advisor allowed trading before the bar close. The port keeps the default "trade on close" logic by processing only finished candles.
  • Magic numbers, repeated order retries, and manual object drawing were specific to MetaTrader and have no direct StockSharp equivalents, so they are removed.
  • Risk management is consolidated inside the strategy rather than using external order modification loops; stop/take checks are evaluated on each candle.

Usage

  1. Configure the desired instrument and timeframe, matching the chart the expert was originally attached to.
  2. Adjust thresholds or risk parameters if the instrument has a different volatility profile.
  3. Launch the strategy; it will subscribe to the specified candle series, monitor Williams %R extremes and manage positions accordingly.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MasterMind3 port that relies on four Williams %R oscillators hitting extremes.
/// </summary>
public class MasterMindTripleWprStrategy : Strategy
{
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<int> _stopLossSteps;
	private readonly StrategyParam<int> _takeProfitSteps;
	private readonly StrategyParam<int> _trailingStopSteps;
	private readonly StrategyParam<int> _trailingStepSteps;
	private readonly StrategyParam<DataType> _candleType;

	private WilliamsR _wpr26 = null!;
	private WilliamsR _wpr27 = null!;
	private WilliamsR _wpr29 = null!;
	private WilliamsR _wpr30 = null!;

	private decimal? _longEntryPrice;
	private decimal? _shortEntryPrice;
	private decimal? _longStopPrice;
	private decimal? _shortStopPrice;
	private decimal? _longTakePrice;
	private decimal? _shortTakePrice;

	/// <summary>
	/// Target net position volume.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set => _tradeVolume.Value = value;
	}

	/// <summary>
	/// Threshold that defines oversold conditions for all oscillators.
	/// </summary>
	public decimal OversoldLevel
	{
		get => _oversoldLevel.Value;
		set => _oversoldLevel.Value = value;
	}

	/// <summary>
	/// Threshold that defines overbought conditions for all oscillators.
	/// </summary>
	public decimal OverboughtLevel
	{
		get => _overboughtLevel.Value;
		set => _overboughtLevel.Value = value;
	}

	/// <summary>
	/// Stop-loss distance expressed in instrument price steps.
	/// </summary>
	public int StopLossSteps
	{
		get => _stopLossSteps.Value;
		set => _stopLossSteps.Value = value;
	}

	/// <summary>
	/// Take-profit distance expressed in instrument price steps.
	/// </summary>
	public int TakeProfitSteps
	{
		get => _takeProfitSteps.Value;
		set => _takeProfitSteps.Value = value;
	}

	/// <summary>
	/// Trailing-stop distance expressed in instrument price steps.
	/// </summary>
	public int TrailingStopSteps
	{
		get => _trailingStopSteps.Value;
		set => _trailingStopSteps.Value = value;
	}

	/// <summary>
	/// Minimal improvement in price steps required before trailing stop is moved.
	/// </summary>
	public int TrailingStepSteps
	{
		get => _trailingStepSteps.Value;
		set => _trailingStepSteps.Value = value;
	}

	/// <summary>
	/// Candle series processed by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes <see cref="MasterMindTripleWprStrategy"/>.
	/// </summary>
	public MasterMindTripleWprStrategy()
	{
		_tradeVolume = Param(nameof(TradeVolume), 1m)
		.SetGreaterThanZero()
		.SetDisplay("Trade Volume", "Target net position volume", "Trading")
		;

		_oversoldLevel = Param(nameof(OversoldLevel), -99.99m)
		.SetDisplay("Oversold Level", "All Williams %R must be below this level", "Signals")
		;

		_overboughtLevel = Param(nameof(OverboughtLevel), -0.01m)
		.SetDisplay("Overbought Level", "All Williams %R must be above this level", "Signals")
		;

		_stopLossSteps = Param(nameof(StopLossSteps), 2000)
		.SetDisplay("Stop Loss (steps)", "Protective stop distance in price steps", "Risk");

		_takeProfitSteps = Param(nameof(TakeProfitSteps), 0)
		.SetDisplay("Take Profit (steps)", "Take profit distance in price steps", "Risk");

		_trailingStopSteps = Param(nameof(TrailingStopSteps), 0)
		.SetDisplay("Trailing Stop (steps)", "Trailing stop distance in price steps", "Risk");

		_trailingStepSteps = Param(nameof(TrailingStepSteps), 1)
		.SetDisplay("Trailing Step (steps)", "Minimal improvement before trailing adjusts", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
		.SetDisplay("Candle Type", "Timeframe to process", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_longEntryPrice = null;
		_shortEntryPrice = null;
		_longStopPrice = null;
		_shortStopPrice = null;
		_longTakePrice = null;
		_shortTakePrice = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		Volume = TradeVolume;

		// Initialize Williams %R oscillators with the original periods.
		_wpr26 = new WilliamsR { Length = 26 };
		_wpr27 = new WilliamsR { Length = 27 };
		_wpr29 = new WilliamsR { Length = 29 };
		_wpr30 = new WilliamsR { Length = 30 };

		// Subscribe to candle data and bind all four oscillators.
		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(_wpr26, _wpr27, _wpr29, _wpr30, ProcessCandle)
		.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _wpr26);
			DrawIndicator(area, _wpr27);
			DrawIndicator(area, _wpr29);
			DrawIndicator(area, _wpr30);
			DrawOwnTrades(area);
		}

		StartProtection(null, null);
	}

	private void ProcessCandle(ICandleMessage candle, decimal wpr26Value, decimal wpr27Value, decimal wpr29Value, decimal wpr30Value)
	{
		if (candle.State != CandleStates.Finished)
		return;

		if (!_wpr26.IsFormed || !_wpr27.IsFormed || !_wpr29.IsFormed || !_wpr30.IsFormed)
		return;

		// Update trailing stops before evaluating exits.
		UpdateTrailingStops(candle);
		TryCloseByRisk(candle);

		var oversoldLevel = OversoldLevel;
		var overboughtLevel = OverboughtLevel;

		var isOversold = wpr26Value <= oversoldLevel &&
		wpr27Value <= oversoldLevel &&
		wpr29Value <= oversoldLevel &&
		wpr30Value <= oversoldLevel;

		var isOverbought = wpr26Value >= overboughtLevel &&
		wpr27Value >= overboughtLevel &&
		wpr29Value >= overboughtLevel &&
		wpr30Value >= overboughtLevel;

		if (!IsFormedAndOnlineAndAllowTrading())
		return;

		if (isOversold)
		{
			OpenLong(candle);
		}
		else if (isOverbought)
		{
			OpenShort(candle);
		}
	}

	private void OpenLong(ICandleMessage candle)
	{
		var target = TradeVolume;
		if (target <= 0m)
		return;

		var current = Position;
		var difference = target - current;
		if (difference <= 0m)
		return;

		var existingLong = Math.Max(current, 0m);

		// A single market order flips the position when needed.
		BuyMarket(difference);

		var entryPrice = candle.ClosePrice;
		UpdateLongState(existingLong, difference, entryPrice);
	}

	private void OpenShort(ICandleMessage candle)
	{
		var target = -TradeVolume;
		if (target >= 0m)
		return;

		var current = Position;
		var difference = current - target;
		if (difference <= 0m)
		return;

		var existingShort = Math.Max(-current, 0m);

		SellMarket(difference);

		var entryPrice = candle.ClosePrice;
		UpdateShortState(existingShort, difference, entryPrice);
	}

	private void TryCloseByRisk(ICandleMessage candle)
	{
		if (Position > 0m)
		{
			if (_longStopPrice.HasValue && candle.LowPrice <= _longStopPrice.Value)
			{
				// Stop-loss for long positions.
				SellMarket(Position);
				ResetLongState();
				return;
			}

			if (_longTakePrice.HasValue && candle.HighPrice >= _longTakePrice.Value)
			{
				// Take-profit for long positions.
				SellMarket(Position);
				ResetLongState();
			}
		}
		else if (Position < 0m)
		{
			var shortVolume = Math.Abs(Position);

			if (_shortStopPrice.HasValue && candle.HighPrice >= _shortStopPrice.Value)
			{
				BuyMarket(shortVolume);
				ResetShortState();
				return;
			}

			if (_shortTakePrice.HasValue && candle.LowPrice <= _shortTakePrice.Value)
			{
				BuyMarket(shortVolume);
				ResetShortState();
			}
		}
	}

	private void UpdateTrailingStops(ICandleMessage candle)
	{
		if (TrailingStopSteps <= 0 || TrailingStepSteps <= 0)
		return;

		var step = GetStepSize();
		var trailingDistance = TrailingStopSteps * step;
		var trailingStep = TrailingStepSteps * step;

		if (Position > 0m && _longEntryPrice.HasValue)
		{
			var profit = candle.ClosePrice - _longEntryPrice.Value;
			if (profit > trailingDistance + trailingStep)
			{
				var newStop = candle.ClosePrice - trailingDistance;

				if (!_longStopPrice.HasValue || newStop > _longStopPrice.Value + trailingStep)
				{
					_longStopPrice = newStop;
				}
			}
		}
		else if (Position < 0m && _shortEntryPrice.HasValue)
		{
			var profit = _shortEntryPrice.Value - candle.ClosePrice;
			if (profit > trailingDistance + trailingStep)
			{
				var newStop = candle.ClosePrice + trailingDistance;

				if (!_shortStopPrice.HasValue || newStop < _shortStopPrice.Value - trailingStep)
				{
					_shortStopPrice = newStop;
				}
			}
		}
	}

	private void UpdateLongState(decimal existingVolume, decimal addedVolume, decimal entryPrice)
	{
		var total = existingVolume + addedVolume;
		if (total <= 0m)
		{
			ResetLongState();
			return;
		}

		if (_longEntryPrice is null || existingVolume <= 0m)
		{
			_longEntryPrice = entryPrice;
		}
		else
		{
			_longEntryPrice = ((_longEntryPrice.Value * existingVolume) + entryPrice * addedVolume) / total;
		}

		var step = GetStepSize();

		if (StopLossSteps > 0)
		{
			_longStopPrice = _longEntryPrice.Value - StopLossSteps * step;
		}
		else if (TrailingStopSteps <= 0)
		{
			_longStopPrice = null;
		}

		_longTakePrice = TakeProfitSteps > 0 ? _longEntryPrice.Value + TakeProfitSteps * step : null;

		ResetShortState();
	}

	private void UpdateShortState(decimal existingVolume, decimal addedVolume, decimal entryPrice)
	{
		var total = existingVolume + addedVolume;
		if (total <= 0m)
		{
			ResetShortState();
			return;
		}

		if (_shortEntryPrice is null || existingVolume <= 0m)
		{
			_shortEntryPrice = entryPrice;
		}
		else
		{
			_shortEntryPrice = ((_shortEntryPrice.Value * existingVolume) + entryPrice * addedVolume) / total;
		}

		var step = GetStepSize();

		if (StopLossSteps > 0)
		{
			_shortStopPrice = _shortEntryPrice.Value + StopLossSteps * step;
		}
		else if (TrailingStopSteps <= 0)
		{
			_shortStopPrice = null;
		}

		_shortTakePrice = TakeProfitSteps > 0 ? _shortEntryPrice.Value - TakeProfitSteps * step : null;

		ResetLongState();
	}

	private void ResetLongState()
	{
		_longEntryPrice = null;
		_longStopPrice = null;
		_longTakePrice = null;
	}

	private void ResetShortState()
	{
		_shortEntryPrice = null;
		_shortStopPrice = null;
		_shortTakePrice = null;
	}

	private decimal GetStepSize()
	{
		var step = Security?.PriceStep ?? 0m;
		return step > 0m ? step : 1m;
	}
}