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Pin Bar Magic Strategy

Detects bullish and bearish pin bars within a trend defined by a trio of moving averages. Orders are placed at the candle extremes and cancelled after a few bars if not filled. Position size is calculated from an equity risk percentage and ATR-based stop distance.

The method aims to capture sharp reversals at significant support or resistance. It exits positions when the fast and medium EMAs cross in the opposite direction, signalling trend weakness.

Details

  • Entry Criteria:
    • Long: Fast EMA > Medium EMA > Slow SMA, bullish pin bar piercing one of the averages.
    • Short: Fast EMA < Medium EMA < Slow SMA, bearish pin bar piercing one of the averages.
  • Exit Criteria:
    • Fast EMA crosses the medium EMA in the opposite direction.
  • Indicators:
    • Slow SMA (period 50)
    • Medium EMA (18) and Fast EMA (6)
    • ATR (length 14)
  • Stops: Position risk = EquityRisk% of account with stop at ATR * multiplier.
  • Default Values:
    • EquityRisk = 3
    • AtrMultiplier = 0.5
    • SlowSmaLength = 50
    • MediumEmaLength = 18
    • FastEmaLength = 6
    • AtrLength = 14
    • CancelEntryBars = 3
  • Filters:
    • Price action reversal
    • Works on 1h candles by default
    • Indicators: EMA, SMA, ATR
    • Stops: Yes
    • Complexity: High
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Pin Bar Magic Strategy.
/// Detects pin bar candlestick patterns at EMA/SMA levels in trending markets.
/// Buys on bullish pin bars piercing moving averages in uptrend.
/// Sells on bearish pin bars piercing moving averages in downtrend.
/// </summary>
public class PinBarMagicStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _slowSmaLength;
	private readonly StrategyParam<int> _mediumEmaLength;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private SimpleMovingAverage _slowSma;
	private ExponentialMovingAverage _mediumEma;
	private ExponentialMovingAverage _fastEma;

	private int _cooldownRemaining;

	public PinBarMagicStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_slowSmaLength = Param(nameof(SlowSmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow SMA Period", "Slow SMA period", "Indicators");

		_mediumEmaLength = Param(nameof(MediumEmaLength), 18)
			.SetGreaterThanZero()
			.SetDisplay("Medium EMA Period", "Medium EMA period", "Indicators");

		_fastEmaLength = Param(nameof(FastEmaLength), 6)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA Period", "Fast EMA period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

	public int SlowSmaLength
	{
		get => _slowSmaLength.Value;
		set => _slowSmaLength.Value = value;
	}

	public int MediumEmaLength
	{
		get => _mediumEmaLength.Value;
		set => _mediumEmaLength.Value = value;
	}

	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

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

		_slowSma = null;
		_mediumEma = null;
		_fastEma = null;
		_cooldownRemaining = 0;
	}

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

		_slowSma = new SimpleMovingAverage { Length = SlowSmaLength };
		_mediumEma = new ExponentialMovingAverage { Length = MediumEmaLength };
		_fastEma = new ExponentialMovingAverage { Length = FastEmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_slowSma, _mediumEma, _fastEma, OnProcess)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _slowSma);
			DrawIndicator(area, _mediumEma);
			DrawIndicator(area, _fastEma);
			DrawOwnTrades(area);
		}
	}

	private void OnProcess(ICandleMessage candle, decimal slowSma, decimal mediumEma, decimal fastEma)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_slowSma.IsFormed || !_mediumEma.IsFormed || !_fastEma.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		// Check pin bar patterns
		var candleRange = candle.HighPrice - candle.LowPrice;
		if (candleRange == 0)
			return;

		var bullishPinBar = false;
		var bearishPinBar = false;

		if (candle.ClosePrice > candle.OpenPrice)
		{
			var lowerWick = candle.OpenPrice - candle.LowPrice;
			bullishPinBar = lowerWick > 0.60m * candleRange;

			var upperWick = candle.HighPrice - candle.ClosePrice;
			bearishPinBar = upperWick > 0.60m * candleRange;
		}
		else
		{
			var lowerWick = candle.ClosePrice - candle.LowPrice;
			bullishPinBar = lowerWick > 0.60m * candleRange;

			var upperWick = candle.HighPrice - candle.OpenPrice;
			bearishPinBar = upperWick > 0.60m * candleRange;
		}

		// Trend conditions - EMA fan
		var fanUpTrend = fastEma > mediumEma && mediumEma > slowSma;
		var fanDnTrend = fastEma < mediumEma && mediumEma < slowSma;

		// Piercing conditions - candle wick pierces through an MA level
		var bullPierce = (candle.LowPrice < fastEma && candle.ClosePrice > fastEma) ||
						 (candle.LowPrice < mediumEma && candle.ClosePrice > mediumEma) ||
						 (candle.LowPrice < slowSma && candle.ClosePrice > slowSma);

		var bearPierce = (candle.HighPrice > fastEma && candle.ClosePrice < fastEma) ||
						 (candle.HighPrice > mediumEma && candle.ClosePrice < mediumEma) ||
						 (candle.HighPrice > slowSma && candle.ClosePrice < slowSma);

		// Buy: uptrend + bullish pin bar + pierce
		if (fanUpTrend && bullishPinBar && bullPierce && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: downtrend + bearish pin bar + pierce
		else if (fanDnTrend && bearishPinBar && bearPierce && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: trend reversal (fast crosses below medium)
		else if (Position > 0 && fastEma < mediumEma)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: trend reversal (fast crosses above medium)
		else if (Position < 0 && fastEma > mediumEma)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
	}
}