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Exp TrendValue Strategy

A strategy based on the TrendValue indicator. It builds dynamic support and resistance bands using weighted moving averages of high and low prices shifted by ATR. A new up or down trend is detected when price crosses the opposite band.

Entry and Exit

  • Long Entry: When a new upward trend starts.
  • Short Entry: When a new downward trend starts.
  • Long Exit: On a downward signal or trend line.
  • Short Exit: On an upward signal or trend line.

Parameters

  • BuyPosOpen / SellPosOpen – enable long/short entries.
  • BuyPosClose / SellPosClose – allow closing long/short positions.
  • StopLossPips – stop loss in price points.
  • TakeProfitPips – take profit in price points.
  • MaPeriod – weighted moving average period.
  • ShiftPercent – percentage shift applied to averages.
  • AtrPeriod – ATR period.
  • AtrSensitivity – multiplier applied to ATR.
  • CandleType – candle timeframe.

Notes

The strategy subscribes to candle data and updates indicators on each finished candle. Market orders are placed when conditions are met and protective stop and take profit levels are tracked internally.

using System;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on the TrendValue indicator combining weighted moving averages and ATR.
/// </summary>
public class ExpTrendValueStrategy : Strategy
{
	private readonly StrategyParam<bool> _buyPosOpen;
	private readonly StrategyParam<bool> _sellPosOpen;
	private readonly StrategyParam<bool> _buyPosClose;
	private readonly StrategyParam<bool> _sellPosClose;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<decimal> _shiftPercent;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrSensitivity;
	private readonly StrategyParam<DataType> _candleType;

	private readonly WeightedMovingAverage _wmaHigh = new();
	private readonly WeightedMovingAverage _wmaLow = new();
	private readonly SimpleMovingAverage _rangeAverage = new();
	private decimal _prevHighBand;
	private decimal _prevLowBand;
	private int _prevTrend;
	private bool _initialized;



	/// <summary>
	/// Allow opening long positions.
	/// </summary>
	public bool BuyPosOpen { get => _buyPosOpen.Value; set => _buyPosOpen.Value = value; }

	/// <summary>
	/// Allow opening short positions.
	/// </summary>
	public bool SellPosOpen { get => _sellPosOpen.Value; set => _sellPosOpen.Value = value; }

	/// <summary>
	/// Allow closing long positions.
	/// </summary>
	public bool BuyPosClose { get => _buyPosClose.Value; set => _buyPosClose.Value = value; }

	/// <summary>
	/// Allow closing short positions.
	/// </summary>
	public bool SellPosClose { get => _sellPosClose.Value; set => _sellPosClose.Value = value; }

	/// <summary>
	/// Stop loss size in points.
	/// </summary>
	public int StopLossPips { get => _stopLossPips.Value; set => _stopLossPips.Value = value; }

	/// <summary>
	/// Take profit size in points.
	/// </summary>
	public int TakeProfitPips { get => _takeProfitPips.Value; set => _takeProfitPips.Value = value; }

	/// <summary>
	/// Weighted moving average period.
	/// </summary>
	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }

	/// <summary>
	/// Percentage offset applied to moving averages.
	/// </summary>
	public decimal ShiftPercent { get => _shiftPercent.Value; set => _shiftPercent.Value = value; }

	/// <summary>
	/// ATR calculation period.
	/// </summary>
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }

	/// <summary>
	/// Multiplier for ATR shift.
	/// </summary>
	public decimal AtrSensitivity { get => _atrSensitivity.Value; set => _atrSensitivity.Value = value; }

	/// <summary>
	/// Candle type for calculations.
	/// </summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	/// <summary>
	/// Initializes a new instance of <see cref="ExpTrendValueStrategy"/>.
	/// </summary>
	public ExpTrendValueStrategy()
	{
		_buyPosOpen = Param(nameof(BuyPosOpen), true).SetDisplay("Enable Long Entry", "Allow opening long positions", "Trading");
		_sellPosOpen = Param(nameof(SellPosOpen), true).SetDisplay("Enable Short Entry", "Allow opening short positions", "Trading");
		_buyPosClose = Param(nameof(BuyPosClose), true).SetDisplay("Allow Long Exit", "Allow closing long positions", "Trading");
		_sellPosClose = Param(nameof(SellPosClose), true).SetDisplay("Allow Short Exit", "Allow closing short positions", "Trading");
		_stopLossPips = Param(nameof(StopLossPips), 1000).SetGreaterThanZero().SetDisplay("Stop Loss", "Stop loss in points", "Risk");
		_takeProfitPips = Param(nameof(TakeProfitPips), 2000).SetGreaterThanZero().SetDisplay("Take Profit", "Take profit in points", "Risk");
		_maPeriod = Param(nameof(MaPeriod), 13).SetGreaterThanZero().SetDisplay("MA Period", "Weighted moving average period", "Indicator");
		_shiftPercent = Param(nameof(ShiftPercent), 0.05m).SetDisplay("Shift Percent", "Percentage offset for bands", "Indicator");
		_atrPeriod = Param(nameof(AtrPeriod), 15).SetGreaterThanZero().SetDisplay("ATR Period", "Range average period", "Indicator");
		_atrSensitivity = Param(nameof(AtrSensitivity), 0.6m).SetGreaterThanZero().SetDisplay("ATR Sensitivity", "Multiplier for range shift", "Indicator");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame()).SetDisplay("Candle Type", "Timeframe for calculations", "General");
	}

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

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

		_wmaHigh.Reset();
		_wmaHigh.Length = 1;
		_wmaLow.Reset();
		_wmaLow.Length = 1;
		_rangeAverage.Reset();
		_rangeAverage.Length = 1;
		_prevHighBand = _prevLowBand = 0m;
		_prevTrend = 0;
		_initialized = false;
	}

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

		_wmaHigh.Length = MaPeriod;
		_wmaLow.Length = MaPeriod;
		_rangeAverage.Length = AtrPeriod;
		var closeTrigger = new SimpleMovingAverage { Length = 1 };

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

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

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

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

		var highMa = _wmaHigh.Process(new DecimalIndicatorValue(_wmaHigh, candle.HighPrice, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var lowMa = _wmaLow.Process(new DecimalIndicatorValue(_wmaLow, candle.LowPrice, candle.OpenTime) { IsFinal = true }).ToDecimal();

		if (!_wmaHigh.IsFormed || !_wmaLow.IsFormed)
			return;

		var rangeValue = _rangeAverage.Process(new DecimalIndicatorValue(_rangeAverage, candle.HighPrice - candle.LowPrice, candle.OpenTime) { IsFinal = true }).ToDecimal();

		if (!_rangeAverage.IsFormed)
			return;

		var percentOffset = closeValue * ShiftPercent / 100m;
		var rangeOffset = rangeValue * AtrSensitivity * 0.25m;
		var highBand = highMa - rangeOffset + percentOffset;
		var lowBand = lowMa + rangeOffset - percentOffset;

		if (!_initialized)
		{
			_prevHighBand = highBand;
			_prevLowBand = lowBand;
			_initialized = true;
			return;
		}

		var centerLine = (highBand + lowBand) / 2m;
		var trend = candle.ClosePrice >= centerLine ? 1 : -1;
		var upSignal = trend > 0 && _prevTrend <= 0;
		var downSignal = trend < 0 && _prevTrend >= 0;
		var haveUpTrend = trend > 0;
		var haveDownTrend = trend < 0;

		_prevHighBand = highBand;
		_prevLowBand = lowBand;
		_prevTrend = trend;

		if (upSignal && Position == 0)
			BuyMarket();
		else if (downSignal && Position == 0)
			SellMarket();
	}
}