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Fibo Stop Strategy

Overview

The Fibo Stop strategy trails the protective stop along Fibonacci retracement levels defined by two prices: start and end. The strategy opens a position in the direction from the start level to the end level and moves the stop to each new Fibonacci level once price crosses it.

Algorithm

  1. Determine direction from start to end price. If end is higher than start, a long position is opened; otherwise a short position.
  2. Calculate Fibonacci levels: 0%, 23.6%, 38.6%, 50%, 61.8%, 78.6%, 100%, 127% based on the range.
  3. Initial stop is placed behind the start level using the specified offset in price steps.
  4. As the market price moves and crosses the next Fibonacci level, the stop is moved to that level minus/plus the offset.
  5. Position is closed when price hits the trailing stop.

Parameters

  • FiboStart – base price where Fibonacci calculation begins.
  • FiboEnd – final price defining the Fibonacci range.
  • OffsetPoints – number of price steps added behind each Fibonacci level to place the stop.
  • CandleType – candle series used for monitoring price.

Notes

The strategy uses only completed candles and does not rely on indicator value history. It is intended as an example of managing a trailing stop with high-level StockSharp API.

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 uses Fibonacci retracement levels for entry and trailing stop.
/// Enters on pullback to Fibonacci level and trails stop along levels.
/// </summary>
public class FiboStopStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _entryFiboLevel;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _highestHigh;
	private decimal _lowestLow;
	private int _barCount;
	private int _barsSinceTrade;
	private bool _rangeSet;
	private decimal _entryPrice;

	public int LookbackPeriod { get => _lookbackPeriod.Value; set => _lookbackPeriod.Value = value; }
	public decimal EntryFiboLevel { get => _entryFiboLevel.Value; set => _entryFiboLevel.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public FiboStopStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 500)
			.SetGreaterThanZero()
			.SetDisplay("Lookback", "Bars to calculate high/low range", "General");

		_entryFiboLevel = Param(nameof(EntryFiboLevel), 0.382m)
			.SetDisplay("Entry Fibo", "Fibonacci level for entry (0.236, 0.382, 0.5, 0.618)", "Fibonacci");

		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 50)
			.SetGreaterThanZero()
			.SetDisplay("Cooldown Bars", "Bars between new entries", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highestHigh = decimal.MinValue;
		_lowestLow = decimal.MaxValue;
		_barCount = 0;
		_barsSinceTrade = CooldownBars;
		_rangeSet = false;
		_entryPrice = 0;
	}

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

		_highestHigh = decimal.MinValue;
		_lowestLow = decimal.MaxValue;

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

		StartProtection(
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			takeProfit: new Unit(2, UnitTypes.Percent)
		);

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

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

		_barCount++;
		_barsSinceTrade++;

		if (candle.HighPrice > _highestHigh)
			_highestHigh = candle.HighPrice;
		if (candle.LowPrice < _lowestLow)
			_lowestLow = candle.LowPrice;

		if (_barCount < LookbackPeriod)
			return;

		if (!_rangeSet)
		{
			_rangeSet = true;
			return;
		}

		var range = _highestHigh - _lowestLow;
		if (range <= 0)
			return;

		// Calculate Fibonacci retracement levels from high
		var fiboLevel = _highestHigh - range * EntryFiboLevel;
		var fibo618 = _highestHigh - range * 0.618m;

		if (Position == 0)
		{
			if (_barsSinceTrade < CooldownBars)
				return;

			if (candle.ClosePrice <= fiboLevel && candle.ClosePrice > fibo618)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_barsSinceTrade = 0;
			}
			else if (candle.ClosePrice >= _lowestLow + range * (1m - EntryFiboLevel) && candle.ClosePrice < _lowestLow + range * 0.382m)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_barsSinceTrade = 0;
			}
		}
		// Exits handled by StartProtection

		// Update rolling high/low
		if (_barCount > LookbackPeriod * 2)
		{
			_highestHigh = candle.HighPrice;
			_lowestLow = candle.LowPrice;
			_barCount = LookbackPeriod;
		}
	}
}