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Early Top Prorate V1 Strategy

This document describes the StockSharp port of the MetaTrader expert advisor earlyTopProrate_V1. The strategy searches for intraday moves that extend away from the daily open and scales out of the position using three profit targets. It was converted using the high level StockSharp API while preserving the original money management and trade management ideas.

Core Logic

  1. Daily context – the strategy reconstructs the current day's open, high and low from the processed candles. The dominant direction is defined by comparing high - open and open - low.
  2. Entry window – new trades may only be opened between StartHour (inclusive) and EndHour (exclusive). The default configuration trades the early European session.
  3. Entry conditions –
    • When the dominant direction is bullish and the latest closing price is above the daily open the strategy opens a long position.
    • When the dominant direction is bearish and the latest closing price is below the daily open the strategy opens a short position.
    • Only one market position is allowed at the same time (MaxPositions = 1 by default).
  4. Money management – the volume of each entry is obtained from the selected money management mode (see below). The value is rounded using the instrument volume step and clamped between the exchange minimum and maximum volume.
  5. Position handling – after entering a position the strategy applies the layered exit rules listed in the next section. The rules mirror the original expert advisor but are implemented with high level StockSharp orders instead of direct stop-loss/take-profit modifications.
  6. Session close – if a position remains open when ClosingHour is reached the strategy forces an exit at market.

Trade Management Details

The original MQL expert advisor relies on manual stop and take-profit adjustments. The StockSharp port reproduces the behaviour with explicit checks on each finished candle:

  • Break-even rescue (BreakEvenTrigger) – if price moves against the entry by the configured number of points the strategy waits for a recovery back to the entry price and then exits at break-even.
  • Emergency stop (StopLoss0) – when the adverse excursion exceeds this distance the position is closed immediately.
  • Stop to entry (StopLoss1) – after a positive move of the specified distance the protective stop is moved to the entry price.
  • Stop in profit (StopLoss2) – once the profit reaches this threshold the protective stop is pushed above (long) or below (short) the entry. The offset equals StopLoss2 - StopLoss1, reproducing the setSL2-35 logic from MetaTrader.
  • Scaling out (TakeProfit1/2/3 and Ratio1/2/3) – three profit objectives trigger partial closures of the remaining position volume. Ratios represent percentages of the current position so that subsequent targets work on the reduced exposure. The third target closes the entire remainder.

All distance based parameters operate in points. The helper parameter PointMultiplier multiplies the instrument PriceStep to reproduce the value * 10 * Point arithmetic from the original script (default multiplier = 10).

Money Management Modes

The parameter MoneyManagementType selects one of four sizing models:

Mode Description
0 or 1 Fixed lot size equal to BaseVolume (mirrors the MQL behaviour where modes 0 and 1 are identical).
2 Square root model – uses 0.1 * sqrt(balance / 1000) * MoneyManagementFactor. The current portfolio value is used when available.
3 Equity risk model – computes equity / price / 1000 * MoneyManagementRiskPercent / 100, approximating the AccountEquity/Close[0] formula from MetaTrader.

Each result is normalized using the instrument volume step and the exchange min/max volume.

Parameters

Name Description
CandleType Candle series used for decisions. Defaults to 5-minute candles.
StartHour / EndHour Trading window in hours (0–23).
ClosingHour Hour when any open position is closed.
TimeZoneShift Informational time zone offset kept for compatibility.
BaseVolume Base lot size before money management adjustments.
MaxPositions Maximum simultaneous positions (default = 1).
TakeProfit1, TakeProfit2, TakeProfit3 Distances, in points, of the three profit targets.
BreakEvenTrigger Loss, in points, that activates the break-even rescue exit.
StopLoss0, StopLoss1, StopLoss2 Adverse/profitable thresholds controlling the protective stop logic.
Ratio1, Ratio2, Ratio3 Percentages of the current position closed at each target.
MoneyManagementType Money management mode (0–3).
MoneyManagementFactor Multiplier for the square root model.
MoneyManagementRiskPercent Risk percentage for the equity model.
PointMultiplier Multiplier applied to the instrument price step when translating points to actual price offsets.

Usage Notes

  • Choose a candle type that matches the data granularity available on the selected venue. The default 5-minute series provides a balance between responsiveness and noise filtering.
  • When converting point-based distances to real prices the strategy multiplies PriceStep * PointMultiplier. Adjust the multiplier if the broker defines points differently from the original MetaTrader environment.
  • The break-even and trailing logic requires finished candles, therefore intrabar behaviour may slightly differ from the tick-based MetaTrader execution. The README highlights this approximation so it can be accounted for during testing.
  • TimeZoneShift is preserved for documentation. Trading hours themselves must be configured using StartHour, EndHour, and ClosingHour.

Getting Started

  1. Add the strategy to your StockSharp project or run it inside Designer/Runner.
  2. Configure the candle series (CandleType) and trading hours for the instrument you intend to trade.
  3. Tune the point-based thresholds and ratios according to the instrument volatility.
  4. Select a money management mode and set the corresponding parameters (BaseVolume, MoneyManagementFactor, MoneyManagementRiskPercent).
  5. Run the strategy in paper trading first to validate that the behaviour matches your expectations before using it with live capital.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Early Top Prorate V1: EMA crossover with RSI filter and ATR stops.
/// </summary>
public class EarlyTopProrateV1Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;

	public EarlyTopProrateV1Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");
		_fastEmaLength = Param(nameof(FastEmaLength), 10)
			.SetDisplay("Fast EMA Length", "Fast EMA period.", "Indicators");
		_slowEmaLength = Param(nameof(SlowEmaLength), 25)
			.SetDisplay("Slow EMA Length", "Slow EMA period.", "Indicators");
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period.", "Indicators");
		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");
	}

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastEmaLength { get => _fastEmaLength.Value; set => _fastEmaLength.Value = value; }
	public int SlowEmaLength { get => _slowEmaLength.Value; set => _slowEmaLength.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }

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

		_prevFast = 0; _prevSlow = 0; _entryPrice = 0;
	}

		protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0;
		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var atr = new AverageTrueRange { Length = AtrLength };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fastEma, slowEma, rsi, atr, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fastEma); DrawIndicator(area, slowEma); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastVal, decimal slowVal, decimal rsiVal, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (_prevFast == 0 || _prevSlow == 0 || atrVal <= 0) { _prevFast = fastVal; _prevSlow = slowVal; return; }
		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if ((fastVal < slowVal && _prevFast >= _prevSlow) || close <= _entryPrice - atrVal * 1.5m) { SellMarket(); _entryPrice = 0; }
		}
		else if (Position < 0)
		{
			if ((fastVal > slowVal && _prevFast <= _prevSlow) || close >= _entryPrice + atrVal * 1.5m) { BuyMarket(); _entryPrice = 0; }
		}

		if (Position == 0)
		{
			if (fastVal > slowVal && _prevFast <= _prevSlow && rsiVal > 55) { _entryPrice = close; BuyMarket(); }
			else if (fastVal < slowVal && _prevFast >= _prevSlow && rsiVal < 45) { _entryPrice = close; SellMarket(); }
		}
		_prevFast = fastVal; _prevSlow = slowVal;
	}
}