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Brandy Strategy (C#)

Overview

The Brandy strategy is a direct port of the MetaTrader 5 Expert Advisor Brandy (barabashkakvn's edition). It combines two configurable moving averages and evaluates their relative positions on closed candles to decide whether to open a long or short position. The original logic also enforces optional stop loss, take profit and trailing stop controls expressed in pips. This C# version faithfully reproduces those behaviours on top of the StockSharp high-level strategy API.

The strategy calculates a “fast” moving average on the open price stream and a “slow” moving average on the close price stream. Both indicators have independent period, smoothing method, price source, signal-bar reference and shift parameters. Signals are generated when the previous bar's MA values are on the same side of the respective signal values. Protective logic checks the open-based moving average every candle and immediately exits the trade if the trend condition is no longer satisfied. Additional risk management is implemented with optional stop loss, take profit and trailing stop distances, all measured in pips and converted to absolute prices by using the instrument tick size with a five-digit pip adjustment.

Trading Logic

  1. On every finished candle the strategy updates the open-price and close-price moving averages using the configured smoothing method and applied price. Historical MA values are buffered so the code can emulate the iMA shifting behaviour from the original Expert Advisor.
  2. When there is no active position, a long trade is opened if:
    • The previous open-based MA value is greater than the configured signal value (possibly shifted);
    • The previous close-based MA value is also greater than its signal reference (note that the original EA compares against the open-based indicator for this check, and the port keeps that quirk for compatibility).
  3. A short trade is opened when both moving averages are below their respective signal references.
  4. While a position is active the strategy evaluates exits on every finished candle in the following order:
    • Trend reversal: if the previous open-based MA drops below the signal value (for longs) or rises above it (for shorts), the position is closed immediately at market.
    • Trailing stop update: when enabled and the move in favour of the trade exceeds trailing stop + trailing step (converted to absolute prices), the stop level is tightened to maintain a distance of trailing stop from the latest close.
    • Take profit: if the candle range touches the profit target, the trade is exited at market.
    • Stop loss: if the candle range breaches the protective stop level, the trade is closed.
  5. All volume is fixed and determined by the TradeVolume parameter. The default value replicates the 0.1 lot setting from the MT5 version.

Parameter Reference

Parameter Description
TradeVolume Market order size in lots.
StopLossPips Distance of the protective stop, measured in pips (0 disables it).
TakeProfitPips Distance of the profit target in pips (0 disables it).
TrailingStopPips Trailing stop distance in pips. Requires TrailingStepPips to be positive.
TrailingStepPips Additional pip move required before the trailing stop is advanced. Must be non-zero when the trailing stop is active.
MaClosePeriod, MaOpenPeriod Moving average lengths for the close and open series respectively.
MaCloseShift, MaOpenShift Forward shifts applied to the MA buffers (number of bars).
MaCloseSignalBar, MaOpenSignalBar Bar indices used as comparison references. Zero matches the most recent value, one refers to the previous bar, and so on.
MaCloseMethod, MaOpenMethod Moving average smoothing methods (SMA, EMA, SMMA, LWMA).
MaCloseAppliedPrice, MaOpenAppliedPrice Candle price source for each indicator (close, open, high, low, median, typical, weighted).
CandleType Time frame of candles requested from the data source.

Implementation Notes

  • Pip size is computed from Security.PriceStep and multiplied by 10 whenever the instrument exposes 3 or 5 decimal places, mirroring the MetaTrader adjustment between points and pips.
  • Indicator history is retained using bounded queues so the strategy can reproduce iMA calls with arbitrary signal-bar indexes and positive shifts without relying on forbidden indicator accessors.
  • The closing condition for the close-based moving average intentionally compares against the open MA buffer because the original source code invoked iMAGet(handle_iMAOpen, MaClose_SignalBar). This port keeps the behaviour to maintain compatibility with legacy configurations.
  • Stops and trailing logic are executed on finished candles and approximate the order modifications performed by the Expert Advisor while respecting the StockSharp high-level API.

Usage Tips

  • Configure the CandleType parameter to match the timeframe used by the original EA (typically a single instrument timeframe).
  • Keep TrailingStopPips at zero if no trailing behaviour is desired; otherwise ensure TrailingStepPips is strictly positive to avoid the initialization error enforced by the strategy.
  • When back-testing in StockSharp, make sure the instrument’s PriceStep and Decimals reflect the intended pip definition so that risk distances are converted correctly.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Conversion of the Brandy Expert Advisor from MetaTrader 5.
/// Combines two configurable moving averages to generate entries and manages positions with trailing exits.
/// </summary>
public class BrandyStrategy : Strategy
{
	/// <summary>
	/// Supported moving average smoothing methods.
	/// </summary>
	public enum MovingAverageMethods
	{
		/// <summary>
		/// Simple moving average.
		/// </summary>
		Sma,

		/// <summary>
		/// Exponential moving average.
		/// </summary>
		Ema,

		/// <summary>
		/// Smoothed moving average.
		/// </summary>
		Smma,

		/// <summary>
		/// Linear weighted moving average.
		/// </summary>
		Lwma
	}

	/// <summary>
	/// Price sources that can be fed into the moving averages.
	/// </summary>
	public enum AppliedPriceTypes
	{
		/// <summary>
		/// Candle close price.
		/// </summary>
		Close,

		/// <summary>
		/// Candle open price.
		/// </summary>
		Open,

		/// <summary>
		/// Candle high price.
		/// </summary>
		High,

		/// <summary>
		/// Candle low price.
		/// </summary>
		Low,

		/// <summary>
		/// Median price of the candle (high + low) / 2.
		/// </summary>
		Median,

		/// <summary>
		/// Typical price (high + low + close) / 3.
		/// </summary>
		Typical,

		/// <summary>
		/// Weighted price (high + low + 2 * close) / 4.
		/// </summary>
		Weighted
	}
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<int> _maClosePeriod;
	private readonly StrategyParam<int> _maCloseShift;
	private readonly StrategyParam<MovingAverageMethods> _maCloseMethod;
	private readonly StrategyParam<AppliedPriceTypes> _maCloseAppliedPrice;
	private readonly StrategyParam<int> _maCloseSignalBar;
	private readonly StrategyParam<int> _maOpenPeriod;
	private readonly StrategyParam<int> _maOpenShift;
	private readonly StrategyParam<MovingAverageMethods> _maOpenMethod;
	private readonly StrategyParam<AppliedPriceTypes> _maOpenAppliedPrice;
	private readonly StrategyParam<int> _maOpenSignalBar;
	private readonly StrategyParam<DataType> _candleType;

	private DecimalLengthIndicator _maOpenIndicator;
	private DecimalLengthIndicator _maCloseIndicator;
	private decimal _pipSize;
	private readonly List<decimal> _maOpenValues = [];
	private readonly List<decimal> _maCloseValues = [];
	private int _maxOpenQueueSize;
	private int _maxCloseQueueSize;
	private decimal? _entryPrice;
	private decimal? _stopPrice;
	private decimal? _takePrice;

	/// <summary>
	/// Trading volume per order.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set
		{
			_tradeVolume.Value = value;
			Volume = value;
		}
	}

	/// <summary>
	/// Stop loss distance expressed in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take profit distance expressed in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance expressed in pips.
	/// </summary>
	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Step that defines how far the price must move before the trailing stop is advanced.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Period of the moving average calculated on the close series.
	/// </summary>
	public int MaClosePeriod
	{
		get => _maClosePeriod.Value;
		set => _maClosePeriod.Value = value;
	}

	/// <summary>
	/// Displacement applied to the moving average calculated on closes.
	/// </summary>
	public int MaCloseShift
	{
		get => _maCloseShift.Value;
		set => _maCloseShift.Value = value;
	}

	/// <summary>
	/// Moving average smoothing method for the close series.
	/// </summary>
	public MovingAverageMethods MaCloseMethod
	{
		get => _maCloseMethod.Value;
		set => _maCloseMethod.Value = value;
	}

	/// <summary>
	/// Price source used by the close moving average.
	/// </summary>
	public AppliedPriceTypes MaCloseAppliedPrice
	{
		get => _maCloseAppliedPrice.Value;
		set => _maCloseAppliedPrice.Value = value;
	}

	/// <summary>
	/// Bar index used as a signal reference for the close moving average.
	/// </summary>
	public int MaCloseSignalBar
	{
		get => _maCloseSignalBar.Value;
		set => _maCloseSignalBar.Value = value;
	}

	/// <summary>
	/// Period of the moving average calculated on the open series.
	/// </summary>
	public int MaOpenPeriod
	{
		get => _maOpenPeriod.Value;
		set => _maOpenPeriod.Value = value;
	}

	/// <summary>
	/// Displacement applied to the moving average calculated on opens.
	/// </summary>
	public int MaOpenShift
	{
		get => _maOpenShift.Value;
		set => _maOpenShift.Value = value;
	}

	/// <summary>
	/// Moving average smoothing method for the open series.
	/// </summary>
	public MovingAverageMethods MaOpenMethod
	{
		get => _maOpenMethod.Value;
		set => _maOpenMethod.Value = value;
	}

	/// <summary>
	/// Price source used by the open moving average.
	/// </summary>
	public AppliedPriceTypes MaOpenAppliedPrice
	{
		get => _maOpenAppliedPrice.Value;
		set => _maOpenAppliedPrice.Value = value;
	}

	/// <summary>
	/// Bar index used as a signal reference for the open moving average.
	/// </summary>
	public int MaOpenSignalBar
	{
		get => _maOpenSignalBar.Value;
		set => _maOpenSignalBar.Value = value;
	}

	/// <summary>
	/// Candle type used to feed the indicators.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="BrandyStrategy"/> class.
	/// </summary>
	public BrandyStrategy()
	{
		_tradeVolume = Param(nameof(TradeVolume), 0.1m)
		.SetGreaterThanZero()
		.SetDisplay("Trade Volume", "Order size in lots", "General");

		_stopLossPips = Param(nameof(StopLossPips), 50m)
		.SetNotNegative()
		.SetDisplay("Stop Loss (pips)", "Protective stop distance", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 150m)
		.SetNotNegative()
		.SetDisplay("Take Profit (pips)", "Profit target distance", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 5m)
		.SetNotNegative()
		.SetDisplay("Trailing Stop (pips)", "Distance for trailing stop", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
		.SetNotNegative()
		.SetDisplay("Trailing Step (pips)", "Additional move required before trailing", "Risk");

		_maClosePeriod = Param(nameof(MaClosePeriod), 20)
		.SetGreaterThanZero()
		.SetDisplay("MA Close Period", "Length of MA calculated on close", "Indicators");

		_maCloseShift = Param(nameof(MaCloseShift), 0)
		.SetNotNegative()
		.SetDisplay("MA Close Shift", "Forward shift applied to close MA", "Indicators");

		_maCloseMethod = Param(nameof(MaCloseMethod), MovingAverageMethods.Ema)
		.SetDisplay("MA Close Method", "Smoothing method for close MA", "Indicators");

		_maCloseAppliedPrice = Param(nameof(MaCloseAppliedPrice), AppliedPriceTypes.Close)
		.SetDisplay("MA Close Price", "Price source for close MA", "Indicators");

		_maCloseSignalBar = Param(nameof(MaCloseSignalBar), 0)
		.SetNotNegative()
		.SetDisplay("MA Close Signal Bar", "Reference bar index for close MA", "Indicators");

		_maOpenPeriod = Param(nameof(MaOpenPeriod), 70)
		.SetGreaterThanZero()
		.SetDisplay("MA Open Period", "Length of MA calculated on open", "Indicators");

		_maOpenShift = Param(nameof(MaOpenShift), 0)
		.SetNotNegative()
		.SetDisplay("MA Open Shift", "Forward shift applied to open MA", "Indicators");

		_maOpenMethod = Param(nameof(MaOpenMethod), MovingAverageMethods.Ema)
		.SetDisplay("MA Open Method", "Smoothing method for open MA", "Indicators");

		_maOpenAppliedPrice = Param(nameof(MaOpenAppliedPrice), AppliedPriceTypes.Close)
		.SetDisplay("MA Open Price", "Price source for open MA", "Indicators");

		_maOpenSignalBar = Param(nameof(MaOpenSignalBar), 0)
		.SetNotNegative()
		.SetDisplay("MA Open Signal Bar", "Reference bar index for open MA", "Indicators");

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

		Volume = _tradeVolume.Value;
	}

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

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

		_maOpenIndicator = null;
		_maCloseIndicator = null;
		_maOpenValues.Clear();
		_maCloseValues.Clear();
		_pipSize = 0m;
		_maxOpenQueueSize = 0;
		_maxCloseQueueSize = 0;
		_entryPrice = null;
		_stopPrice = null;
		_takePrice = null;
	}

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

		if (TrailingStopPips > 0m && TrailingStepPips <= 0m)
		throw new InvalidOperationException("Trailing step must be greater than zero when trailing stop is enabled.");

		_maOpenIndicator = CreateMovingAverage(MaOpenMethod, MaOpenPeriod);
		_maCloseIndicator = CreateMovingAverage(MaCloseMethod, MaClosePeriod);

		UpdatePipSize();
		UpdateQueueSizes();

		Volume = _tradeVolume.Value;

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

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

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

		if (_maOpenIndicator == null || _maCloseIndicator == null)
		return;

		var openSource = GetAppliedPrice(candle, MaOpenAppliedPrice);
		var closeSource = GetAppliedPrice(candle, MaCloseAppliedPrice);

		var maOpenResult = _maOpenIndicator!.Process(new DecimalIndicatorValue(_maOpenIndicator, openSource, candle.OpenTime) { IsFinal = true });
		var maCloseResult = _maCloseIndicator!.Process(new DecimalIndicatorValue(_maCloseIndicator, closeSource, candle.OpenTime) { IsFinal = true });

		if (maOpenResult.IsEmpty || maCloseResult.IsEmpty || !_maOpenIndicator.IsFormed || !_maCloseIndicator.IsFormed)
			return;

		var maOpen = maOpenResult.ToDecimal();
		var maClose = maCloseResult.ToDecimal();

		EnqueueValue(_maOpenValues, maOpen, _maxOpenQueueSize);
		EnqueueValue(_maCloseValues, maClose, _maxCloseQueueSize);

		var maOpenPrev = GetQueueValue(_maOpenValues, 1 + MaOpenShift);
		var maOpenSignal = GetQueueValue(_maOpenValues, MaOpenSignalBar + MaOpenShift);
		var maClosePrev = GetQueueValue(_maCloseValues, 1 + MaCloseShift);
		var maCloseSignal = GetQueueValue(_maCloseValues, MaCloseSignalBar + MaCloseShift);

		if (maOpenPrev is null || maOpenSignal is null || maClosePrev is null || maCloseSignal is null)
		return;

		var longSignal = maOpenPrev > maOpenSignal && maClosePrev > maCloseSignal;
		var shortSignal = maOpenPrev < maOpenSignal && maClosePrev < maCloseSignal;

		if (Position == 0)
		{
			if (longSignal)
			{
				OpenLong(candle.ClosePrice);
			}
			else if (shortSignal)
			{
				OpenShort(candle.ClosePrice);
			}
		}
		else
		{
			ManageOpenPosition(candle, maOpenPrev.Value, maOpenSignal.Value);
		}
	}

	private void OpenLong(decimal price)
	{
		var volume = Volume;
		if (volume <= 0m)
		return;

		_entryPrice = price;
		_stopPrice = StopLossPips > 0m ? price - StopLossPips * _pipSize : null;
		_takePrice = TakeProfitPips > 0m ? price + TakeProfitPips * _pipSize : null;

		BuyMarket(volume);
	}

	private void OpenShort(decimal price)
	{
		var volume = Volume;
		if (volume <= 0m)
		return;

		_entryPrice = price;
		_stopPrice = StopLossPips > 0m ? price + StopLossPips * _pipSize : null;
		_takePrice = TakeProfitPips > 0m ? price - TakeProfitPips * _pipSize : null;

		SellMarket(volume);
	}

	private void ManageOpenPosition(ICandleMessage candle, decimal maOpenPrev, decimal maOpenSignal)
	{
		var position = Position;

		if (position > 0)
		{
			if (maOpenPrev < maOpenSignal)
			{
				SellMarket(position);
				ResetPositionState();
				return;
			}

			UpdateTrailingForLong(candle);

			if (_takePrice.HasValue && candle.HighPrice >= _takePrice.Value)
			{
				SellMarket(position);
				ResetPositionState();
				return;
			}

			if (_stopPrice.HasValue && candle.LowPrice <= _stopPrice.Value)
			{
				SellMarket(position);
				ResetPositionState();
			}
		}
		else if (position < 0)
		{
			if (maOpenPrev > maOpenSignal)
			{
				BuyMarket(-position);
				ResetPositionState();
				return;
			}

			UpdateTrailingForShort(candle);

			if (_takePrice.HasValue && candle.LowPrice <= _takePrice.Value)
			{
				BuyMarket(-position);
				ResetPositionState();
				return;
			}

			if (_stopPrice.HasValue && candle.HighPrice >= _stopPrice.Value)
			{
				BuyMarket(-position);
				ResetPositionState();
			}
		}
		else
		{
			ResetPositionState();
		}
	}

	private void UpdateTrailingForLong(ICandleMessage candle)
	{
		if (TrailingStopPips <= 0m || TrailingStepPips <= 0m || _entryPrice is null)
		return;

		var trailingStop = TrailingStopPips * _pipSize;
		var trailingStep = TrailingStepPips * _pipSize;

		if (trailingStop <= 0m)
		return;

		var currentPrice = candle.ClosePrice;
		var entryPrice = _entryPrice.Value;

		if (currentPrice - entryPrice <= trailingStop + trailingStep)
		return;

		var threshold = currentPrice - (trailingStop + trailingStep);

		if (_stopPrice.HasValue && _stopPrice.Value >= threshold)
		return;

		var newStop = currentPrice - trailingStop;
		if (!_stopPrice.HasValue || newStop > _stopPrice.Value)
		_stopPrice = newStop;
	}

	private void UpdateTrailingForShort(ICandleMessage candle)
	{
		if (TrailingStopPips <= 0m || TrailingStepPips <= 0m || _entryPrice is null)
		return;

		var trailingStop = TrailingStopPips * _pipSize;
		var trailingStep = TrailingStepPips * _pipSize;

		if (trailingStop <= 0m)
		return;

		var currentPrice = candle.ClosePrice;
		var entryPrice = _entryPrice.Value;

		if (entryPrice - currentPrice <= trailingStop + trailingStep)
		return;

		var threshold = currentPrice + trailingStop + trailingStep;

		if (_stopPrice.HasValue && _stopPrice.Value <= threshold)
		return;

		var newStop = currentPrice + trailingStop;
		if (!_stopPrice.HasValue || newStop < _stopPrice.Value)
		_stopPrice = newStop;
	}

	private void ResetPositionState()
	{
		_entryPrice = null;
		_stopPrice = null;
		_takePrice = null;
	}

	private void UpdatePipSize()
	{
		var step = Security?.PriceStep ?? 1m;
		_pipSize = step;
	}

	private void UpdateQueueSizes()
	{
		var shiftOpen = Math.Max(0, MaOpenShift);
		var shiftClose = Math.Max(0, MaCloseShift);
		var openDepth = Math.Max(Math.Max(1 + shiftOpen, MaOpenSignalBar + shiftOpen), MaCloseSignalBar + shiftOpen);
		var closeDepth = Math.Max(1 + shiftClose, 1);

		_maxOpenQueueSize = Math.Max(2, openDepth + 2);
		_maxCloseQueueSize = Math.Max(2, closeDepth + 2);
	}

	private static void EnqueueValue(List<decimal> queue, decimal value, int maxSize)
	{
		queue.Add(value);

		while (queue.Count > maxSize)
			queue.RemoveAt(0);
	}

	private static decimal? GetQueueValue(List<decimal> queue, int indexFromCurrent)
	{
		if (indexFromCurrent < 0)
			return null;

		if (queue.Count <= indexFromCurrent)
			return null;

		var targetIndex = queue.Count - 1 - indexFromCurrent;

		return targetIndex >= 0 && targetIndex < queue.Count
			? queue[targetIndex]
			: null;
	}

	private static DecimalLengthIndicator CreateMovingAverage(MovingAverageMethods method, int length)
	{
		return method switch
		{
		MovingAverageMethods.Sma => new SimpleMovingAverage { Length = length },
		MovingAverageMethods.Ema => new ExponentialMovingAverage { Length = length },
		MovingAverageMethods.Smma => new SmoothedMovingAverage { Length = length },
		MovingAverageMethods.Lwma => new WeightedMovingAverage { Length = length },
		_ => new ExponentialMovingAverage { Length = length }
		};
	}

	private static decimal GetAppliedPrice(ICandleMessage candle, AppliedPriceTypes priceType)
	{
		return priceType switch
		{
			AppliedPriceTypes.Close => candle.ClosePrice,
			AppliedPriceTypes.Open => candle.OpenPrice,
			AppliedPriceTypes.High => candle.HighPrice,
			AppliedPriceTypes.Low => candle.LowPrice,
			AppliedPriceTypes.Median => (candle.HighPrice + candle.LowPrice) / 2m,
			AppliedPriceTypes.Typical => (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3m,
			AppliedPriceTypes.Weighted => (candle.HighPrice + candle.LowPrice + candle.ClosePrice + candle.ClosePrice) / 4m,
			_ => candle.ClosePrice
		};
	}
}