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Renko Level EA Strategy

Overview

  • Converted from the MetaTrader expert advisor Renko Level EA.mq5.
  • Emulates the original indicator by maintaining an upper and lower Renko level derived from the BrickSize parameter.
  • Evaluates finished candles provided by CandleType (default: 1-minute timeframe) and reacts when the Renko grid shifts.
  • Does not use fixed stops or targets; every exit happens through an opposite signal.

Trading Logic

  1. On the first finished candle the close price is rounded to the Renko grid to initialize upper and lower levels.
  2. For each subsequent candle:
    • If the close remains between the current bounds, the grid stays unchanged.
    • A close above the upper level lifts the Renko block upward to the next grid value.
    • A close below the lower level pushes the block downward.
  3. A change in the upper Renko level is interpreted as a directional breakout.
    • Rising upper level → bullish signal (unless ReverseSignals is enabled).
    • Falling upper level → bearish signal.
  4. Signals can optionally be flipped (ReverseSignals) or pyramided (AllowIncrease) to match the original EA behaviour.

Order Management

  • Before entering long, any short position is closed; the opposite happens before entering short.
  • When AllowIncrease = false, the strategy opens a new trade only if no position already exists in that direction.
  • When AllowIncrease = true, additional orders of size OrderVolume are allowed even if a position is already open.
  • There is no dedicated stop-loss or take-profit; position reversals serve as the exit mechanism.
  • StartProtection() is invoked once to keep risk safeguards aligned with the base framework.

Parameters

Name Description Default Optimizable
BrickSize Renko block size measured as multiples of Security.PriceStep. Defines how far price must move to shift the grid. 30 Yes (10 → 100 step 10)
OrderVolume Volume submitted with each market order. 1 No
ReverseSignals Inverts bullish and bearish actions. Mirrors the EA's Reverse input. false No
AllowIncrease Permits adding to an existing position instead of waiting for a flat position. Mirrors the EA's Increase flag. false No
CandleType Candle source used for the calculations. Defaults to 1-minute time-frame candles, but any supported series can be supplied. TimeFrameCandleMessage(1m) No

Practical Notes

  • BrickSize adapts automatically to the traded instrument because it multiplies the exchange-defined PriceStep.
  • The decision is based purely on closing prices; intrabar movements matter only when they form the final close.
  • Combining ReverseSignals and AllowIncrease allows testing both counter-trend and pyramiding variants of the EA.
  • Works on any market where Renko-style breakout logic is relevant, including forex, futures, and crypto instruments.

Classification

  • Regime: Trend following (Renko breakout).
  • Direction: Long & Short.
  • Complexity: Moderate (custom level tracking, minimal tuning).
  • Stops: None; exits on reverse signals.
  • Timeframe: Configurable via CandleType.
  • Indicators: Custom Renko level projection.
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>
/// Strategy that mirrors the Renko Level Expert Advisor from MetaTrader.
/// Tracks level changes generated by a Renko style grid and flips positions accordingly.
/// </summary>
public class RenkoLevelEaStrategy : Strategy
{
	private readonly StrategyParam<int> _brickSize;
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<bool> _reverseSignals;
	private readonly StrategyParam<bool> _allowIncrease;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _upperLevel;
	private decimal _lowerLevel;
	private decimal? _previousUpperLevel;
	private bool _levelsInitialized;

	/// <summary>
	/// Renko brick size expressed in price steps.
	/// </summary>
	public int BrickSize
	{
		get => _brickSize.Value;
		set => _brickSize.Value = value;
	}

	/// <summary>
	/// Volume for each executed market order.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// When enabled, long and short signals are swapped.
	/// </summary>
	public bool ReverseSignals
	{
		get => _reverseSignals.Value;
		set => _reverseSignals.Value = value;
	}

	/// <summary>
	/// Allows adding to an existing position instead of waiting for a flat position.
	/// </summary>
	public bool AllowIncrease
	{
		get => _allowIncrease.Value;
		set => _allowIncrease.Value = value;
	}

	/// <summary>
	/// Candle type used to evaluate price movement.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes <see cref="RenkoLevelEaStrategy"/>.
	/// </summary>
	public RenkoLevelEaStrategy()
	{
		_brickSize = Param(nameof(BrickSize), 3000)
			.SetGreaterThanZero()
			.SetDisplay("Brick Size", "Renko block size in price steps", "Renko Levels")
			
			.SetOptimize(10, 100, 10);

		_orderVolume = Param(nameof(OrderVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Order Volume", "Volume for market orders", "Trading");

		_reverseSignals = Param(nameof(ReverseSignals), false)
			.SetDisplay("Reverse Signals", "Invert long and short actions", "Trading");

		_allowIncrease = Param(nameof(AllowIncrease), false)
			.SetDisplay("Allow Increase", "Allow adding to existing positions", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for calculations", "Data");
	}

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

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

		// Reset previously calculated Renko levels.
		_upperLevel = 0m;
		_lowerLevel = 0m;
		_previousUpperLevel = null;
		_levelsInitialized = false;
	}

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

		// Subscribe to candle data that feeds the Renko level logic.
		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(ProcessCandle)
			.Start();

		// Draw prices and trades if a chart is available.
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}

		// Enable built-in protection features.
		StartProtection(null, null);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		// Trade only on completed candles.
		if (candle.State != CandleStates.Finished)
			return;

		// Ensure the strategy is ready to place trades.
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var priceStep = Security?.PriceStep ?? 1m;
		if (priceStep <= 0)
			priceStep = 1m;

		// Update Renko bounds with the latest closing price.
		if (!UpdateLevels(candle.ClosePrice, priceStep))
			return;

		// Skip the very first signal to mirror indicator warm-up.
		if (_previousUpperLevel == null)
		{
			_previousUpperLevel = _upperLevel;
			return;
		}

		// Proceed only if the Renko level actually changed.
		if (AreEqual(_previousUpperLevel.Value, _upperLevel, priceStep))
			return;

		var isUpMove = _upperLevel > _previousUpperLevel.Value;

		if (ReverseSignals)
			isUpMove = !isUpMove;

		if (isUpMove)
			HandleLongSignal();
		else
			HandleShortSignal();

		_previousUpperLevel = _upperLevel;
	}

	private bool UpdateLevels(decimal closePrice, decimal priceStep)
	{
		var stepCount = BrickSize;
		if (stepCount <= 0)
			return false;

		if (!_levelsInitialized)
		{
			CalculateBounds(closePrice, priceStep, stepCount, out var ceil, out var round, out var floor);
			_upperLevel = round;
			_lowerLevel = floor;
			_levelsInitialized = true;
			return true;
		}

		if (closePrice >= _lowerLevel && closePrice <= _upperLevel)
			return false;

		CalculateBounds(closePrice, priceStep, stepCount, out var newCeil, out var newRound, out var newFloor);

		if (closePrice < _lowerLevel)
		{
			if (AreEqual(newRound, _lowerLevel, priceStep))
				return false;

			_upperLevel = newCeil;
			_lowerLevel = newRound;
			return true;
		}

		if (closePrice > _upperLevel)
		{
			if (AreEqual(newRound, _upperLevel, priceStep))
				return false;

			_lowerLevel = newFloor;
			_upperLevel = newRound;
			return true;
		}

		return false;
	}

	private void CalculateBounds(decimal price, decimal priceStep, int stepCount, out decimal priceCeil, out decimal priceRound, out decimal priceFloor)
	{
		var normalizedStep = (decimal)stepCount;

		var ratio = price / priceStep / normalizedStep;
		var rounded = Math.Round(ratio, MidpointRounding.AwayFromZero);

		priceRound = (decimal)rounded * normalizedStep * priceStep;

		var ceilRatio = (priceRound + normalizedStep / 2m * priceStep) / priceStep / normalizedStep;
		var ceilCount = Math.Ceiling((double)ceilRatio);
		priceCeil = (decimal)ceilCount * normalizedStep * priceStep;

		var floorRatio = (priceRound - normalizedStep / 2m * priceStep) / priceStep / normalizedStep;
		var floorCount = Math.Floor((double)floorRatio);
		priceFloor = (decimal)floorCount * normalizedStep * priceStep;
	}

	private bool AreEqual(decimal left, decimal right, decimal priceStep)
	{
		var tolerance = priceStep / 2m;
		return Math.Abs(left - right) <= tolerance;
	}

	private void HandleLongSignal()
	{
		// Close the short side before flipping to long.
		if (Position < 0)
			ClosePosition();

		// Respect the increase toggle to avoid stacking positions unintentionally.
		if (!AllowIncrease && Position > 0)
			return;

		BuyMarket(OrderVolume);
	}

	private void HandleShortSignal()
	{
		// Close the long side before flipping to short.
		if (Position > 0)
			ClosePosition();

		// Respect the increase toggle for short accumulation.
		if (!AllowIncrease && Position < 0)
			return;

		SellMarket(OrderVolume);
	}
}