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Stop Loss Mover Strategy

This utility strategy monitors an open position and moves its stop-loss to the entry price when the market reaches a predefined level. It subscribes to candle data and checks each completed candle. For long positions, once the candle's high exceeds the configured MoveSlPrice, a stop order at the entry price is placed. For short positions, the stop is moved when the candle's low falls below the level.

The strategy does not generate new trading signals. It opens a single long position at start for demonstration purposes and then protects it by moving the stop to break-even once conditions are met. This allows traders to secure profits while letting the trade run.

Details

  • Entry Criteria: A long position is opened at the beginning. No additional signals are used.
  • Long/Short: Supports both, but the sample opens a long position.
  • Exit Criteria: Position exits when the stop order at the entry price is triggered.
  • Stops: Stop-loss moves to the entry price when MoveSlPrice is reached.
  • Default Values:
    • MoveSlPrice = 0 (should be adjusted before run).
    • CandleType = 1-minute time frame.
  • Filters:
    • Category: Risk management
    • Direction: Both
    • Indicators: None
    • Stops: Yes
    • Complexity: Simple
    • Timeframe: Short-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Low
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that enters on EMA crossover and moves stop-loss to break-even
/// when price moves favorably by a specified StdDev multiple.
/// </summary>
public class StopLossMoverStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<decimal> _stopMult;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;
	private decimal _stopPrice;
	private bool _isStopMoved;
	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public decimal StopMult { get => _stopMult.Value; set => _stopMult.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public StopLossMoverStrategy()
	{
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowLength = Param(nameof(SlowLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_stopMult = Param(nameof(StopMult), 1.5m)
			.SetDisplay("Stop Mult", "StdDev multiplier for initial stop", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0;
		_stopPrice = 0;
		_isStopMoved = false;
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fastEma = new ExponentialMovingAverage { Length = FastLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowLength };
		var stdDev = new StandardDeviation { Length = 14 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, stdDev, 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 fast, decimal slow, decimal stdVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (stdVal <= 0)
			return;

		var close = candle.ClosePrice;

		// Check stop-loss hit
		if (Position > 0 && _stopPrice > 0 && close <= _stopPrice)
		{
			SellMarket();
			_entryPrice = 0;
			_stopPrice = 0;
			_isStopMoved = false;
			_prevFast = fast;
			_prevSlow = slow;
			_hasPrev = true;
			return;
		}
		else if (Position < 0 && _stopPrice > 0 && close >= _stopPrice)
		{
			BuyMarket();
			_entryPrice = 0;
			_stopPrice = 0;
			_isStopMoved = false;
			_prevFast = fast;
			_prevSlow = slow;
			_hasPrev = true;
			return;
		}

		// Move stop to break-even when price moves favorably by 2*stdDev
		if (Position > 0 && !_isStopMoved && _entryPrice > 0)
		{
			if (close >= _entryPrice + 2 * stdVal)
			{
				_stopPrice = _entryPrice;
				_isStopMoved = true;
			}
		}
		else if (Position < 0 && !_isStopMoved && _entryPrice > 0)
		{
			if (close <= _entryPrice - 2 * stdVal)
			{
				_stopPrice = _entryPrice;
				_isStopMoved = true;
			}
		}

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

		// Entry signals: EMA crossover
		var crossUp = _prevFast <= _prevSlow && fast > slow;
		var crossDown = _prevFast >= _prevSlow && fast < slow;

		if (crossUp && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_entryPrice = close;
			_stopPrice = close - StopMult * stdVal;
			_isStopMoved = false;
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_entryPrice = close;
			_stopPrice = close + StopMult * stdVal;
			_isStopMoved = false;
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}