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SR Rate Indicator Strategy

Overview

This strategy is a C# port of the MetaTrader 5 expert Exp_SR-RateIndicator. It reproduces the original trading logic using Sto ckSharp's high level API and a custom implementation of the SR Rate oscillator. The indicator measures how far the weighted candl e price is located inside a smoothed support/resistance channel and paints a color code that highlights extreme readings.

The algorithm processes finished candles from a configurable time frame. Whenever the oscillator color jumps to the bullish or be arish extreme the strategy closes any opposite position and opens a new trade in the direction of the signal. Protective stop los s and take profit levels are applied with the same point distances used in the MetaTrader version.

SR Rate Oscillator

The indicator calculates a Gaussian-smoothed band around price using a configurable window length:

  1. For every bar, the high, low and weighted close are smoothed with one-sided Gaussian weights of length six.
  2. The highest smoothed high and the lowest smoothed low over the window define a dynamic range.
  3. The current smoothed weighted close is normalized inside that range and mapped to the [-100, 100] interval.
  4. The final oscillator value is converted to five color states: 0 (strong bearish), 1 (soft bearish), 2 (neutral), 3 (soft bullish) and 4 (strong bullish).

A strong bullish color (4) indicates that price reached the upper extreme of the range, while a strong bearish color (0) signa ls a visit to the lower extreme.

Trading Rules

  1. Subscribe to candles of the configured type and calculate the SR Rate oscillator on every finished bar.
  2. Shift the signal evaluation by SignalBar closed candles (default: one bar back) to mimic the Expert Advisor behaviour.
  3. When the shifted color becomes 4 and the previous color is below 4:
    • Close any existing short position if long exits are enabled.
    • Open a new long position if long entries are enabled and no other position is active.
  4. When the shifted color becomes 0 and the previous color is above 0:
    • Close any existing long position if short exits are enabled.
    • Open a new short position if short entries are enabled and no other position is active.
  5. Only one position can be open at any time. New signals are ignored until the previous trade is closed.
  6. Optional stop loss and take profit levels are expressed in price points and automatically converted to absolute prices using th e security price step.

Parameters

Name Description
OrderVolume Trade volume used for every market order.
EnableLongEntries Enable/disable opening of long positions.
EnableShortEntries Enable/disable opening of short positions.
EnableLongExits Close long positions when a strong bearish color appears.
EnableShortExits Close short positions when a strong bullish color appears.
StopLossPoints Stop loss distance in instrument points (converted using the price step).
TakeProfitPoints Take profit distance in instrument points (converted using the price step).
SlippagePoints Maximum tolerated slippage when closing positions. Preserved for compatibility; no explicit slippage control is a
pplied by the high level API.
CandleType Candle type and timeframe used to calculate the indicator.
SignalBar Number of closed candles to shift the signal evaluation (default 1).
WindowSize Length of the rolling window used by the SR Rate normalization.
HighLevel Oscillator level that defines the bullish extreme (default +20).
LowLevel Oscillator level that defines the bearish extreme (default -20).

Notes

  • The strategy works with any instrument that supplies standard OHLC candles.
  • Signals are processed only on finished candles; intrabar recalculations are ignored just like in the MetaTrader implementation.
  • Slippage handling in the original expert relied on execution settings. StockSharp's market orders already honour exchange rules, therefore the SlippagePoints parameter is kept only for documentation purposes.
  • The indicator stores only the minimal amount of history required to evaluate the window, preventing unnecessary memory usage.
  • Python version is intentionally omitted according to the project guidelines.
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class SrRateIndicatorStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public SrRateIndicatorStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}