Español ES
Ver en GitHub

I Trend Strategy

Overview

The I Trend Strategy is a trend-following trading algorithm converted from the original MQL5 expert Exp_i_Trend. It combines a moving average with Bollinger Bands to identify momentum shifts. The strategy calculates a custom iTrend value and a corresponding signal line and opens or closes positions when crossovers occur.

How It Works

  1. Indicator Setup
    • Calculates an Exponential Moving Average (EMA) with configurable period.
    • Builds Bollinger Bands using the same timeframe and deviation parameters.
    • Derives the iTrend value as the difference between the chosen price and the selected Bollinger Band line (upper, lower or middle).
    • Computes a signal line as 2 * MA - (High + Low).
  2. Signal Generation
    • When the iTrend crosses above the signal line, the strategy closes short positions and opens a long position.
    • When the iTrend crosses below the signal line, the strategy closes long positions and opens a short position.
  3. Order Execution
    • Entries and exits are executed at market price.
    • Position size is defined by the strategy parameter Volume.

Parameters

Name Description
MaPeriod Period of the moving average used in calculations.
BbPeriod Period of the Bollinger Bands.
BbDeviation Standard deviation for the Bollinger Bands.
PriceType Price type used to compute the iTrend value (Close, Open, High, Low, Median, Typical, etc.).
BbMode Selects which Bollinger Band line is used (Upper, Lower, Middle).
CandleType Time frame of candles supplied to the strategy.
Volume Order volume for entries.

Notes

  • The strategy works on completed candles only; unfinished candles are ignored.
  • It is designed for educational purposes and may require adjustments for live trading.
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>
/// i_Trend strategy built on Bollinger Bands and Moving Average.
/// Generates buy/sell signals when the iTrend value crosses the signal line.
/// </summary>
public class ITrendStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _bbPeriod;
	private readonly StrategyParam<decimal> _bbDeviation;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevInd;
	private decimal _prevSign;
	private bool _isInitialized;

	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public int BbPeriod { get => _bbPeriod.Value; set => _bbPeriod.Value = value; }
	public decimal BbDeviation { get => _bbDeviation.Value; set => _bbDeviation.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ITrendStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Moving average length", "Indicator");

		_bbPeriod = Param(nameof(BbPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Period", "Bollinger Bands period", "Indicator");

		_bbDeviation = Param(nameof(BbDeviation), 2.0m)
			.SetDisplay("BB Deviation", "Standard deviation for Bollinger Bands", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles used", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevInd = 0m;
		_prevSign = 0m;
		_isInitialized = false;
	}

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

		var ma = new ExponentialMovingAverage { Length = MaPeriod };
		var bb = new BollingerBands { Length = BbPeriod, Width = BbDeviation };

		Indicators.Add(ma);

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(bb, (candle, bbValue) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!bbValue.IsFormed)
					return;

				var maResult = ma.Process(candle.ClosePrice, candle.OpenTime, true);
				if (!maResult.IsFormed)
					return;

				var maVal = maResult.ToDecimal();
				var bbVal = (BollingerBandsValue)bbValue;
				if (bbVal.UpBand is not decimal upperBand)
					return;

				ProcessCandle(candle, maVal, upperBand);
			})
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal maValue, decimal band)
	{
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var price = candle.ClosePrice;

		var ind = price - band;
		var sign = 2m * maValue - (candle.LowPrice + candle.HighPrice);

		if (!_isInitialized)
		{
			_prevInd = ind;
			_prevSign = sign;
			_isInitialized = true;
			return;
		}

		var crossUp = _prevInd <= _prevSign && ind > sign;
		var crossDown = _prevInd >= _prevSign && ind < sign;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevInd = ind;
		_prevSign = sign;
	}
}