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FiftyFiveMaBarComparisonStrategy

Overview

The strategy replicates the MetaTrader 5 "55 MA" expert advisor by comparing two points of a 55-period moving average and trading whenever their difference exceeds a configurable threshold. All calculations are performed on completed candles within a user-defined intraday session, and trade direction can optionally be inverted. The algorithm preserves the original behaviour where a short position is opened whenever no bullish condition is met.

Trading Logic

  1. Subscribe to the selected candle series and calculate a moving average with the chosen length, method and applied price.
  2. Maintain the most recent moving-average values in a buffer so that the values at bar indexes BarA and BarB can be accessed even when a horizontal MA shift is used.
  3. When a finished candle arrives inside the [StartHour, EndHour) window:
    • Retrieve the MA value at BarA + MaShift and BarB + MaShift.
    • If the value at BarA exceeds the value at BarB by more than DifferenceThreshold, open a long position unless ReverseSignals is enabled.
    • If the value at BarA is lower than the value at BarB by more than DifferenceThreshold, open a short position (or a long position when ReverseSignals is enabled).
    • Otherwise the strategy keeps the original EA behaviour and triggers a short entry.
  4. Orders are always sent at the market using the strategy Volume. When CloseOppositePositions is enabled the requested size is increased to flatten any opposite exposure before establishing the new position.
  5. Optional stop-loss and take-profit protections are attached through StartProtection. Distances are expressed in pips, where one pip equals PriceStep multiplied by 10 for instruments quoted with 3 or 5 decimal digits.

Inputs

Name Type Default Description
CandleType DataType 1-minute time frame Candle series used for calculations and signals.
StopLossPips int 30 Stop-loss distance in pips. Set to 0 to disable.
TakeProfitPips int 50 Take-profit distance in pips. Set to 0 to disable.
StartHour int 8 Inclusive hour (0-23) that marks the start of the trading session.
EndHour int 21 Exclusive hour (0-23) that marks the end of the trading session. Must be greater than StartHour.
DifferenceThreshold decimal 0.0001 Minimal absolute difference between the compared MA values that triggers a directional signal.
BarA int 0 Index of the first bar used for the MA comparison (0 = current candle).
BarB int 1 Index of the second bar used for the MA comparison.
ReverseSignals bool false Inverts the bullish and bearish conditions.
CloseOppositePositions bool false If enabled, increases the order size to close any position in the opposite direction before opening the new trade.
MaShift int 0 Horizontal shift applied to the moving average line. Positive values access older MA points.
MaLength int 55 Period of the moving average.
MaMethod MovingAverageMethods Exponential Smoothing method (Simple, Exponential, Smoothed, Weighted).
AppliedPrice AppliedPriceTypes Median Price used as MA input (Close, Open, High, Low, Median, Typical, Weighted).

Position Management

  • Set the strategy Volume to control the base trade size. It is combined with the current position when CloseOppositePositions is active.
  • Stop-loss and take-profit protections are optional. They are attached only when the respective pip distance is greater than zero.

Notes

  • The trading window works in instrument time; signals outside [StartHour, EndHour) are skipped.
  • When MaShift produces negative indexes the strategy waits until enough history accumulates, mirroring the original EA behaviour where shifted buffers can return EMPTY_VALUE.
  • Because the original expert always defaults to a sell order when the difference threshold is not met, the converted strategy keeps the same logic for full fidelity. Adjust DifferenceThreshold if this behaviour is undesirable.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// 55 MA bar comparison strategy. Compares candle body with MA direction.
/// </summary>
public class FiftyFiveMaBarComparisonStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;

	private decimal? _prevMa;

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

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	public FiftyFiveMaBarComparisonStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_maPeriod = Param(nameof(MaPeriod), 55)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Moving average period", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMa = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevMa = null;

		var sma = new SimpleMovingAverage { Length = MaPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevMa = maVal;
			return;
		}

		if (_prevMa == null)
		{
			_prevMa = maVal;
			return;
		}

		var close = candle.ClosePrice;
		var bullishBar = candle.ClosePrice > candle.OpenPrice;
		var bearishBar = candle.ClosePrice < candle.OpenPrice;
		var maRising = maVal > _prevMa.Value;
		var maFalling = maVal < _prevMa.Value;

		_prevMa = maVal;

		// Bullish bar + rising MA + close above MA → buy
		if (bullishBar && maRising && close > maVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Bearish bar + falling MA + close below MA → sell
		else if (bearishBar && maFalling && close < maVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}
	}
}