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TwentyPipsOnceADayStrategy

Port of the MetaTrader expert 20pipsOnceADayOppositeLastNHourTrend implemented with the StockSharp high-level API. The strategy trades once per configured hour and opens a contrarian position against the drift of the last N hourly candles. Position size follows a martingale ladder that increases the lot only when a recent trade ended with a loss. The implementation also enforces a daily trading schedule, optional trailing protection, and a maximum holding period.

Trading Logic

  1. The strategy subscribes to hourly candles (configurable through CandleType).
  2. When a candle closes and the next hour matches TradingHour, the strategy evaluates the direction:
    • Compare the closing price of the last completed hour with the close HoursToCheckTrend hours ago.
    • If the market fell over that interval, open a long position (fade the bearish drift).
    • If the market rose, open a short position.
  3. Only one position can be active at a time (controlled by MaxOrders).
  4. Each trade inherits a fixed take profit and optional stop-loss/trailing stop, both expressed in pips relative to the instrument's pip size.
  5. If the position remains open longer than OrderMaxAgeSeconds or the next hour is outside the allowed session defined by TradingDayHours, the strategy forcefully closes the trade.

Money Management

  • FixedVolume defines the base lot. Set it to 0 to derive the lot from the portfolio value using RiskPercent. The risk-based sizing mirrors the original EA logic: (portfolio value * RiskPercent) / 1000.
  • After the base lot is calculated it is clamped by both the instrument's VolumeMin/VolumeMax/VolumeStep and the user-defined MinVolume / MaxVolume bounds.
  • A martingale ladder increases the next lot only if the respective historical trade closed at a loss:
    • FirstMultiplier applies when the most recent trade lost.
    • SecondMultiplier applies when the latest trade won but the previous one lost.
    • The chain continues up to FifthMultiplier, matching the original five-step escalation.

Parameters

Parameter Description
FixedVolume Fixed trading volume. Use 0 to enable risk-based sizing.
MinVolume / MaxVolume Lower and upper bounds applied after sizing.
RiskPercent Portfolio percentage converted into volume when FixedVolume equals zero.
MaxOrders Maximum number of simultaneously open positions (default 1).
TradingHour Hour of the day (0-23) when new trades may start.
TradingDayHours Comma-separated hours or ranges (e.g. 0-7,13-22) that remain eligible for open positions. When the next hour is outside this set, the strategy exits.
HoursToCheckTrend Lookback in hourly candles used for the contrarian comparison.
OrderMaxAgeSeconds Maximum holding time in seconds before forcing an exit.
FirstMultiplier … FifthMultiplier Martingale multipliers assigned to losses found in the last five closed trades.
StopLossPips Initial stop loss distance in pips. Set to 0 to disable.
TrailingStopPips Trailing stop distance in pips. Set to 0 to disable.
TakeProfitPips Take profit distance in pips.
CandleType Candle type used for signal generation (defaults to 1-hour time frame).

Risk Controls and Exits

  • Take profit / stop loss: Configured through TakeProfitPips and StopLossPips with automatic conversion to instrument price units.
  • Trailing stop: If enabled, the stop is trailed once the trade gains more than the configured number of pips.
  • Time-out exit: Positions older than OrderMaxAgeSeconds are closed at the current candle close price.
  • Session filter: Positions are closed when the upcoming hour is not included in TradingDayHours.

Usage Notes

  • The strategy works with any instrument that provides hourly candles and a valid PriceStep. When the instrument uses fractional pips (3 or 5 decimals), the pip size is automatically adjusted.
  • To replicate the MetaTrader behaviour, run the strategy on a single instrument with CandleType set to an hourly timeframe and keep the default TradingDayHours (0-23) to allow trading throughout the day.
  • The martingale ladder assumes at most five relevant historical trades. Resetting the strategy clears this history.
  • Because the strategy trades at the open of the configured hour using closed candle data, fills occur at the price available when the new hour starts.

Files

  • CS/TwentyPipsOnceADayStrategy.cs – main C# implementation.
  • README.md – English documentation (this file).
  • README_zh.md – Chinese documentation.
  • README_ru.md – Russian documentation.

Python ports are intentionally omitted for this conversion.

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;

using System.Globalization;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Port of the MetaTrader expert "20pipsOnceADayOppositeLastNHourTrend".
/// Trades once per configured hour against the drift of the last N hourly candles and applies martingale style sizing.
/// Includes daily session control, optional trailing protection, and automatic position aging.
/// </summary>
public class TwentyPipsOnceADayStrategy : Strategy
{
	private readonly StrategyParam<decimal> _fixedVolume;
	private readonly StrategyParam<decimal> _minVolume;
	private readonly StrategyParam<decimal> _maxVolume;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<int> _maxOrders;
	private readonly StrategyParam<int> _tradingHour;
	private readonly StrategyParam<string> _tradingDayHours;
	private readonly StrategyParam<int> _hoursToCheckTrend;
	private readonly StrategyParam<int> _orderMaxAgeSeconds;
	private readonly StrategyParam<int> _firstMultiplier;
	private readonly StrategyParam<int> _secondMultiplier;
	private readonly StrategyParam<int> _thirdMultiplier;
	private readonly StrategyParam<int> _fourthMultiplier;
	private readonly StrategyParam<int> _fifthMultiplier;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _closeHistory = new();
	private readonly List<bool> _recentLosses = new(5);
	private readonly HashSet<int> _allowedHours = new();

	private SimpleMovingAverage _sma;

	private DateTime? _lastTradeBarTime;
	private DateTime? _entryTime;
	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takeProfitPrice;
	private decimal _entryVolume;
	private int _positionDirection;
	private decimal _pipSize;

	/// <summary>
	/// Initializes a new instance of <see cref="TwentyPipsOnceADayStrategy"/>.
	/// </summary>
	public TwentyPipsOnceADayStrategy()
	{
		_fixedVolume = Param(nameof(FixedVolume), 0.1m)
		.SetDisplay("Fixed Volume", "Fixed trading volume (set to 0 to use risk based sizing)", "Risk");

		_minVolume = Param(nameof(MinVolume), 0.1m)
		.SetDisplay("Min Volume", "Lower volume bound applied after sizing", "Risk");

		_maxVolume = Param(nameof(MaxVolume), 5m)
		.SetDisplay("Max Volume", "Upper volume bound applied after sizing", "Risk");

		_riskPercent = Param(nameof(RiskPercent), 5m)
		.SetDisplay("Risk Percent", "Percentage of portfolio value converted into volume when fixed size is disabled", "Risk");

		_maxOrders = Param(nameof(MaxOrders), 1)
		.SetGreaterThanZero()
		.SetDisplay("Max Orders", "Maximum number of simultaneously open positions", "Trading");

		_tradingHour = Param(nameof(TradingHour), 7)
		.SetRange(0, 23)
		.SetDisplay("Trading Hour", "Hour of day (0-23) when the strategy evaluates signals", "Schedule");

		_tradingDayHours = Param(nameof(TradingDayHours), "0,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23")
		.SetDisplay("Trading Day Hours", "Comma separated list or ranges of allowed session hours", "Schedule");

		_hoursToCheckTrend = Param(nameof(HoursToCheckTrend), 30)
		.SetGreaterThanZero()
		.SetDisplay("Hours To Check", "Number of historical hourly closes used for the contrarian check", "Signals");

		_orderMaxAgeSeconds = Param(nameof(OrderMaxAgeSeconds), 75600)
		.SetGreaterThanZero()
		.SetDisplay("Max Position Age (s)", "Maximum holding time in seconds before forcing an exit", "Risk");

		_firstMultiplier = Param(nameof(FirstMultiplier), 4)
		.SetGreaterThanZero()
		.SetDisplay("First Multiplier", "Multiplier applied after the most recent loss", "Money Management");

		_secondMultiplier = Param(nameof(SecondMultiplier), 2)
		.SetGreaterThanZero()
		.SetDisplay("Second Multiplier", "Multiplier applied when the last win was preceded by a loss", "Money Management");

		_thirdMultiplier = Param(nameof(ThirdMultiplier), 5)
		.SetGreaterThanZero()
		.SetDisplay("Third Multiplier", "Multiplier applied when the third latest trade was a loss", "Money Management");

		_fourthMultiplier = Param(nameof(FourthMultiplier), 5)
		.SetGreaterThanZero()
		.SetDisplay("Fourth Multiplier", "Multiplier applied when the fourth latest trade was a loss", "Money Management");

		_fifthMultiplier = Param(nameof(FifthMultiplier), 1)
		.SetGreaterThanZero()
		.SetDisplay("Fifth Multiplier", "Multiplier applied when the fifth latest trade was a loss", "Money Management");

		_stopLossPips = Param(nameof(StopLossPips), 50m)
		.SetDisplay("Stop Loss (pips)", "Stop loss distance expressed in pips", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 0m)
		.SetDisplay("Trailing Stop (pips)", "Trailing stop distance expressed in pips", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 10m)
		.SetDisplay("Take Profit (pips)", "Take profit distance expressed in pips", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
		.SetDisplay("Candle Type", "Timeframe used for signal calculations", "Market Data");
	}

	/// <summary>
	/// Fixed trading volume. Set to zero to enable risk based sizing.
	/// </summary>
	public decimal FixedVolume
	{
		get => _fixedVolume.Value;
		set => _fixedVolume.Value = value;
	}

	/// <summary>
	/// Minimum allowed trading volume.
	/// </summary>
	public decimal MinVolume
	{
		get => _minVolume.Value;
		set => _minVolume.Value = value;
	}

	/// <summary>
	/// Maximum allowed trading volume.
	/// </summary>
	public decimal MaxVolume
	{
		get => _maxVolume.Value;
		set => _maxVolume.Value = value;
	}

	/// <summary>
	/// Portfolio percentage converted into volume when <see cref="FixedVolume"/> equals zero.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

	/// <summary>
	/// Maximum number of simultaneously open positions.
	/// </summary>
	public int MaxOrders
	{
		get => _maxOrders.Value;
		set => _maxOrders.Value = value;
	}

	/// <summary>
	/// Hour of day when new positions may be opened.
	/// </summary>
	public int TradingHour
	{
		get => _tradingHour.Value;
		set => _tradingHour.Value = value;
	}

	/// <summary>
	/// Comma separated list or ranges of allowed trading hours.
	/// </summary>
	public string TradingDayHours
	{
		get => _tradingDayHours.Value;
		set
		{
			_tradingDayHours.Value = value;
			UpdateTradingHours();
		}
	}

	/// <summary>
	/// Lookback depth measured in hourly candles.
	/// </summary>
	public int HoursToCheckTrend
	{
		get => _hoursToCheckTrend.Value;
		set => _hoursToCheckTrend.Value = value;
	}

	/// <summary>
	/// Maximum holding time before a position is forcefully closed.
	/// </summary>
	public int OrderMaxAgeSeconds
	{
		get => _orderMaxAgeSeconds.Value;
		set => _orderMaxAgeSeconds.Value = value;
	}

	/// <summary>
	/// Multiplier used after the latest loss.
	/// </summary>
	public int FirstMultiplier
	{
		get => _firstMultiplier.Value;
		set => _firstMultiplier.Value = value;
	}

	/// <summary>
	/// Multiplier used when only the second latest trade was a loss.
	/// </summary>
	public int SecondMultiplier
	{
		get => _secondMultiplier.Value;
		set => _secondMultiplier.Value = value;
	}

	/// <summary>
	/// Multiplier used when the third latest trade was a loss.
	/// </summary>
	public int ThirdMultiplier
	{
		get => _thirdMultiplier.Value;
		set => _thirdMultiplier.Value = value;
	}

	/// <summary>
	/// Multiplier used when the fourth latest trade was a loss.
	/// </summary>
	public int FourthMultiplier
	{
		get => _fourthMultiplier.Value;
		set => _fourthMultiplier.Value = value;
	}

	/// <summary>
	/// Multiplier used when the fifth latest trade was a loss.
	/// </summary>
	public int FifthMultiplier
	{
		get => _fifthMultiplier.Value;
		set => _fifthMultiplier.Value = value;
	}

	/// <summary>
	/// Stop loss distance in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in pips.
	/// </summary>
	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Take profit distance in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Candle type used to process signals.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

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

		_closeHistory.Clear();
		_recentLosses.Clear();
		_lastTradeBarTime = null;
		_entryTime = null;
		_entryPrice = null;
		_stopPrice = null;
		_takeProfitPrice = null;
		_entryVolume = 0m;
		_positionDirection = 0;
		_pipSize = 0m;
		UpdateTradingHours();
	}

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

		_pipSize = CalculatePipSize();
		UpdateTradingHours();

		_sma = new SimpleMovingAverage { Length = 2 };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_sma, ProcessCandle).Start();

		StartProtection(null, null);
	}

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

		AddCloseToHistory(candle.ClosePrice);

		if (_positionDirection != 0)
		{
			ManageOpenPosition(candle);
			if (_positionDirection != 0)
			{
				EnforceSessionLimits(candle);
			}
		}

		TryOpenPosition(candle);
	}

	private void AddCloseToHistory(decimal closePrice)
	{
		if (HoursToCheckTrend <= 0)
		return;

		_closeHistory.Insert(0, closePrice);

		var required = Math.Max(HoursToCheckTrend, 5);
		if (_closeHistory.Count > required)
		{
			_closeHistory.RemoveRange(required, _closeHistory.Count - required);
		}
	}

	private void ManageOpenPosition(ICandleMessage candle)
	{
		if (_positionDirection == 0 || _entryPrice is not decimal entryPrice)
		return;

		var direction = _positionDirection;
		var closePrice = candle.ClosePrice;

		var stopDistance = StopLossPips * _pipSize;
		if (_stopPrice is null && stopDistance > 0m)
		{
			_stopPrice = direction > 0
			? entryPrice - stopDistance
			: entryPrice + stopDistance;
		}

		var trailingDistance = TrailingStopPips * _pipSize;
		if (trailingDistance > 0m)
		{
			if (direction > 0)
			{
				var profit = closePrice - entryPrice;
				if (profit > trailingDistance)
				{
					var candidate = closePrice - trailingDistance;
					if (_stopPrice is null || candidate > _stopPrice.Value)
					{
						_stopPrice = candidate;
					}
				}
			}
			else
			{
				var profit = entryPrice - closePrice;
				if (profit > trailingDistance)
				{
					var candidate = closePrice + trailingDistance;
					if (_stopPrice is null || candidate < _stopPrice.Value)
					{
						_stopPrice = candidate;
					}
				}
			}
		}

		if (_takeProfitPrice is decimal target)
		{
			var hitTarget = direction > 0
			? candle.HighPrice >= target
			: candle.LowPrice <= target;

			if (hitTarget)
			{
				ExitPosition(target);
				return;
			}
		}

		if (_stopPrice is decimal stopLevel)
		{
			var hitStop = direction > 0
			? candle.LowPrice <= stopLevel
			: candle.HighPrice >= stopLevel;

			if (hitStop)
			{
				ExitPosition(stopLevel);
				return;
			}
		}

		if (OrderMaxAgeSeconds > 0 && _entryTime is DateTime entryTime)
		{
			var age = candle.CloseTime - entryTime;
			if (age.TotalSeconds >= OrderMaxAgeSeconds)
			{
				ExitPosition(candle.ClosePrice);
			}
		}
	}

	private void EnforceSessionLimits(ICandleMessage candle)
	{
		if (_positionDirection == 0)
		return;

		var nextHour = candle.CloseTime.Hour;
		if (!IsHourAllowed(nextHour))
		{
			ExitPosition(candle.ClosePrice);
		}
	}

	private void TryOpenPosition(ICandleMessage candle)
	{
		if (MaxOrders <= 0 || _positionDirection != 0)
		return;

		var nextHour = candle.CloseTime.Hour;
		if (nextHour != TradingHour || !IsHourAllowed(nextHour))
		return;

		if (_lastTradeBarTime.HasValue && _lastTradeBarTime.Value == candle.CloseTime)
		return;

		if (_closeHistory.Count < HoursToCheckTrend)
		return;

		var lastClose = _closeHistory[0];
		var index = HoursToCheckTrend - 1;
		if (index < 0 || index >= _closeHistory.Count)
		return;

		var referenceClose = _closeHistory[index];
		if (lastClose == referenceClose)
		return;

		var goLong = referenceClose > lastClose;

		var volume = CalculateOrderVolume();
		if (volume <= 0m)
		return;

		var entryPrice = candle.ClosePrice;

		if (goLong)
		{
			BuyMarket(volume);
			_positionDirection = 1;
		}
		else
		{
			SellMarket(volume);
			_positionDirection = -1;
		}

		_entryPrice = entryPrice;
		_entryTime = candle.CloseTime;
		_entryVolume = volume;
		_lastTradeBarTime = candle.CloseTime;

		var stopDistance = StopLossPips * _pipSize;
		_stopPrice = stopDistance > 0m
		? _positionDirection > 0
		? entryPrice - stopDistance
		: entryPrice + stopDistance
		: null;

		var takeDistance = TakeProfitPips * _pipSize;
		_takeProfitPrice = takeDistance > 0m
		? _positionDirection > 0
		? entryPrice + takeDistance
		: entryPrice - takeDistance
		: null;
	}

	private void ExitPosition(decimal exitPrice)
	{
		var direction = _positionDirection;
		if (direction == 0)
		return;

		var volume = Math.Abs(Position);
		if (volume <= 0m)
		{
			volume = Math.Abs(_entryVolume);
		}

		if (volume <= 0m)
		{
			ResetPositionState();
			return;
		}

		if (direction > 0)
		{
			SellMarket(volume);
		}
		else
		{
			BuyMarket(volume);
		}

		if (_entryPrice is decimal entryPrice)
		{
			var isLoss = direction > 0
			? exitPrice < entryPrice
			: exitPrice > entryPrice;

			RegisterTradeResult(isLoss);
		}
		else
		{
			ResetPositionState();
		}
	}

	private void RegisterTradeResult(bool isLoss)
	{
		_recentLosses.Insert(0, isLoss);
		if (_recentLosses.Count > 5)
		{
			_recentLosses.RemoveRange(5, _recentLosses.Count - 5);
		}

		ResetPositionState();
	}

	private void ResetPositionState()
	{
		_positionDirection = 0;
		_entryPrice = null;
		_entryTime = null;
		_entryVolume = 0m;
		_stopPrice = null;
		_takeProfitPrice = null;
	}

	private decimal CalculateOrderVolume()
	{
		var baseVolume = FixedVolume;

		if (baseVolume <= 0m)
		{
			baseVolume = CalculateRiskVolume();
		}

		if (baseVolume <= 0m)
		return 0m;

		var multiplier = GetMultiplierFromHistory();
		var desired = AlignVolume(baseVolume * multiplier);

		return desired;
	}

	private decimal CalculateRiskVolume()
	{
		if (RiskPercent <= 0m)
		return MinVolume > 0m ? MinVolume : 0m;

		var portfolio = Portfolio;
		var balance = portfolio?.CurrentValue ?? portfolio?.BeginValue ?? 0m;
		if (balance <= 0m)
		return MinVolume > 0m ? MinVolume : 0m;

		var raw = balance * RiskPercent / 1000m;
		return raw;
	}

	private decimal GetMultiplierFromHistory()
	{
		for (var index = 0; index < _recentLosses.Count && index < 5; index++)
		{
			if (!_recentLosses[index])
			continue;

			return index switch
			{
				0 => FirstMultiplier,
				1 => SecondMultiplier,
				2 => ThirdMultiplier,
				3 => FourthMultiplier,
				4 => FifthMultiplier,
				_ => 1m,
			};
		}

		return 1m;
	}

	private decimal AlignVolume(decimal volume)
	{
		var security = Security;
		if (security != null)
		{
			var min = security.MinVolume ?? 0m;
			var max = security.MaxVolume ?? decimal.MaxValue;
			var step = security.VolumeStep ?? 0m;

			if (step > 0m)
			{
				volume = Math.Round(volume / step) * step;
			}

			if (min > 0m && volume < min)
			volume = min;

			if (max > 0m && volume > max)
			volume = max;
		}

		if (MinVolume > 0m && volume < MinVolume)
		volume = MinVolume;

		if (MaxVolume > 0m && volume > MaxVolume)
		volume = MaxVolume;

		return volume;
	}

	private decimal CalculatePipSize()
	{
		var security = Security;
		if (security == null)
		return 0.0001m;

		var step = security.PriceStep ?? 0.0001m;
		var decimals = security.Decimals;

		if ((decimals == 3 || decimals == 5) && step > 0m)
		{
			return step * 10m;
		}

		return step > 0m ? step : 0.0001m;
	}

	private bool IsHourAllowed(int hour)
	{
		if (_allowedHours.Count == 0)
		return true;

		return _allowedHours.Contains(hour);
	}

	private void UpdateTradingHours()
	{
		_allowedHours.Clear();

		var raw = _tradingDayHours.Value;
		if (raw.IsEmptyOrWhiteSpace())
		{
			FillFullDay();
			return;
		}

		var parts = raw.Split(',', StringSplitOptions.RemoveEmptyEntries);
		foreach (var part in parts)
		{
			var trimmed = part.Trim();
			if (trimmed.Length == 0)
			continue;

			if (trimmed.Contains('-', StringComparison.Ordinal))
			{
				var rangeParts = trimmed.Split('-', StringSplitOptions.RemoveEmptyEntries);
				if (rangeParts.Length != 2)
				continue;

				if (TryParseHour(rangeParts[0], out var start) && TryParseHour(rangeParts[1], out var end))
				{
					if (end < start)
					{
						(end, start) = (start, end);
					}

					for (var hour = start; hour <= end; hour++)
					{
						_allowedHours.Add(hour);
					}
				}
			}
			else if (TryParseHour(trimmed, out var value))
			{
				_allowedHours.Add(value);
			}
		}

		if (_allowedHours.Count == 0)
		{
			FillFullDay();
		}
	}

	private static bool TryParseHour(string text, out int hour)
	{
		if (int.TryParse(text, NumberStyles.Integer, CultureInfo.InvariantCulture, out hour))
		{
			if (hour >= 0 && hour <= 23)
			return true;
		}

		hour = 0;
		return false;
	}

	private void FillFullDay()
	{
		_allowedHours.Clear();
		for (var hour = 0; hour < 24; hour++)
		{
			_allowedHours.Add(hour);
		}
	}
}