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Proffessor v3 Strategy

Overview

This strategy is a full conversion of the MetaTrader expert Proffessor v3 into the StockSharp high level API. It keeps the original concept of combining ADX regime filtering with a grid of protective and averaging orders.

  • Indicator: 14-period Average Directional Index (ADX) with +DI/-DI values.
  • Modes: flat regime (ADX below threshold) and trending regime (ADX above threshold).
  • Orders: opens one market position and surrounds price with pending orders to hedge, pyramid or mean-revert.
  • Exit: closes every position and pending order when the configured profit or loss level is reached.
  • Schedule: trades only inside the selected hour range.

Trading Logic

Regime detection

  1. Subscribe to the configured candle type and calculate ADX values.
  2. Delay the ADX signal by the configured number of closed candles (BarOffset) to replicate the original use of CopyBuffer(handle, shift).
  3. When no position is open, evaluate the latest delayed ADX values:
    • Flat bullish: ADX < AdxFlatLevel and +DI > -DI.
    • Flat bearish: ADX < AdxFlatLevel and +DI < -DI.
    • Trending bullish: ADX ≥ AdxFlatLevel and +DI > -DI.
    • Trending bearish: ADX ≥ AdxFlatLevel and +DI < -DI.

Order placement

For every mode the strategy opens a market position with the base volume and then places a symmetric grid around the current price. Grid distances are expressed in "points" exactly as in the MQL code and automatically scaled by the instrument price step.

  • Flat bullish: long market entry, protective sell-stop below bid, buy limits below the ask and sell limits above the bid to capture oscillations.
  • Flat bearish: short market entry, protective buy-stop above ask, buy limits on pullbacks and sell limits higher to reload shorts.
  • Trending bullish: long market entry, sell-stops for hedging and buy-stops for breakout pyramiding.
  • Trending bearish: short market entry, sell-stops to trail the trend and buy-stops to cap reversals.

Grid spacing is calculated with the same formula as the original: each level adds GridStep + GridDeltaIncrement * level / 2. Volume for every pending order is adjusted with LotMultiplier and LotAddition, then normalized to the exchange volume step and limits.

Exit management

  • The unrealized profit is calculated from the strategy position average price and the latest candle close.
  • If the profit exceeds ProfitTarget or drops below LossLimit (when the latter is non-zero), the strategy closes the net position and cancels all pending orders.
  • Trading is skipped outside the [StartHour, EndHour) interval, matching the original Time() helper.

Implementation Notes

  • Bid/ask prices for pending orders are approximated from the last candle close plus/minus half of the price step. This mirrors the tick-based logic in a candle-driven environment.
  • Point values are scaled by the symbol price step and adjusted for three- and five-digit quotes exactly like the MQL m_adjusted_point variable.
  • Volume and price normalization respects the symbol step, minimum and maximum constraints before sending any order.
  • The strategy processes only finished candles to avoid premature signals.

Parameters

Parameter Description
Volume Base market order volume.
LotMultiplier Multiplier applied to every pending order volume.
LotAddition Extra volume added to pending orders after the multiplier.
MaxLevels Maximum number of grid levels per side.
GridDeltaIncrement Increment added to grid spacing as levels deepen (points).
GridInitialOffset Distance to the first protective order (points).
GridStep Base distance between consecutive levels (points).
ProfitTarget Unrealized profit level that triggers closing everything.
LossLimit Unrealized loss level that triggers closing everything (0 disables).
AdxFlatLevel ADX threshold separating flat and trending regimes.
BarOffset Number of closed candles used to delay ADX values.
StartHour Hour when the trading window opens (UTC).
EndHour Hour when the trading window closes (UTC).
CandleType Candle series used for calculations. 
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>
/// Proffessor V3 strategy. Uses RSI 50-line crossover (period 10).
/// </summary>
public class ProffessorV3Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private decimal? _prevRsi;

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

	public ProffessorV3Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 10).SetGreaterThanZero().SetDisplay("RSI Period", "RSI lookback", "Indicators");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevRsi = null;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsiVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevRsi = rsiVal; return; }
		if (_prevRsi == null) { _prevRsi = rsiVal; return; }
		if (_prevRsi.Value < 45m && rsiVal >= 55m && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (_prevRsi.Value > 55m && rsiVal <= 45m && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevRsi = rsiVal;
	}
}