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Surefirething Strategy

Overview

The Surefirething strategy recreates the classic MetaTrader 5 expert advisor that places symmetric buy and sell limit orders around the most recent candle close. The system constantly rebuilds the grid after every completed candle, manages protective stops in pip units, and forces a complete flat position ten minutes before midnight server time.

Candle processing

  • Works with a configurable candle type (default: 1-hour time frame).
  • After each finished candle the strategy calculates an amplified range: range = (high - low) * 1.1.
  • It derives two breakout levels from that range:
    • L4 = close - range / 2 for the buy limit order.
    • H4 = close + range / 2 for the sell limit order.
  • Existing pending orders are cancelled before publishing the new grid so only one buy and one sell limit order remain active.

Order management

  • Buy limit at L4 and sell limit at H4 are registered with the configured order volume.
  • Once a position opens the opposite pending order is cancelled immediately.
  • Every day at 23:50 (server time) the strategy:
    • Cancels any remaining pending orders.
    • Closes the open position at market, if any.
    • Resets all stop/take-profit trackers to start the next session clean.

Risk management

  • Stop-loss and take-profit distances are defined in pips and translated into prices using the instrument price step (5-digit and 3-digit symbols are adjusted to classic pip units automatically).
  • A trailing stop (also in pips) can be enabled. Each time price moves beyond TrailingStopPips + TrailingStepPips, the stop is advanced to current price - TrailingStopPips for longs or current price + TrailingStopPips for shorts.
  • Both protective levels are monitored on every candle. If the candle trades through the stop or the target, the strategy exits the position using market orders.

Parameters

  • OrderVolume – base volume for both limit orders (default: 0.1).
  • StopLossPips – stop-loss distance in pips (default: 50).
  • TakeProfitPips – take-profit distance in pips (default: 50).
  • TrailingStopPips – trailing stop distance in pips (default: 25).
  • TrailingStepPips – additional movement in pips required before the trailing stop moves (default: 1). Must be greater than zero when a trailing stop is enabled.
  • CandleType – candle data type used for calculations (default: 1-hour time frame).

Notes

  • The implementation matches the original MQL logic by enforcing that the trailing step is non-zero whenever trailing is active.
  • No Python implementation is provided for this strategy.
namespace StockSharp.Samples.Strategies;

using System;

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

/// <summary>
/// Surefirething breakout strategy.
/// Buys when price breaks above the previous candle's high, sells when price breaks below the previous candle's low.
/// Uses EMA as a trend filter.
/// </summary>
public class SurefirethingStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaPeriod;

	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _initialized;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	public SurefirethingStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time frame used for signals", "General");

		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "Trend filter EMA period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHigh = 0m;
		_prevLow = 0m;
		_initialized = false;
	}

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

		_prevHigh = 0;
		_prevLow = 0;
		_initialized = false;

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, OnProcess)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_initialized)
		{
			_prevHigh = candle.HighPrice;
			_prevLow = candle.LowPrice;
			_initialized = true;
			return;
		}

		// Breakout above previous high with EMA filter
		if (candle.ClosePrice > _prevHigh && candle.ClosePrice > emaValue && Position <= 0)
		{
			BuyMarket();
		}
		// Breakout below previous low with EMA filter
		else if (candle.ClosePrice < _prevLow && candle.ClosePrice < emaValue && Position >= 0)
		{
			SellMarket();
		}

		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
	}
}