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Daily Range Strategy

Overview

This strategy is a StockSharp conversion of the MetaTrader 5 expert advisor MQL/23334/Daily range.mq5. The original EA tracks the highest and lowest prices reached over the last few days, offsets these levels by a configurable percentage of the daily range, and trades breakouts. The C# port preserves the behaviour while adopting StockSharp's high-level strategy API.

Strategy logic

Range calculation

  • The strategy stores aggregated statistics for each trading day (high, low, last close).
  • A sliding window of SlidingWindowDays recent days (including the current one) is maintained.
  • RangeMode selects how the reference range is computed:
    • HighestLowest – the distance between the highest high and the lowest low in the window.
    • CloseToClose – the average absolute change between consecutive daily closing prices inside the window.
  • Once the configured StartTime is reached on a new day, the strategy rebuilds the upper and lower breakout levels:
    • Upper = Highest + Range × OffsetCoefficient
    • Lower = Lowest − Range × OffsetCoefficient
  • Until StartTime is reached, the previous day's breakout levels remain active (mirroring the MQL implementation).

Entry rules

  • A long entry is triggered when the closing price of the processed candle is greater than or equal to the current upper level and fewer than MaxPositionsPerDay long entries were opened on the same day.
  • A short entry is triggered when the closing price falls to or below the lower level and the daily short entry limit has not been reached.
  • When flipping from an existing position to the opposite side, the strategy first offsets the outstanding volume and then adds the new Volume on top, matching the netting behaviour of the original EA.
  • Signals are evaluated only on finished candles delivered by the configured CandleType subscription and only when IsFormedAndOnlineAndAllowTrading() reports that trading is allowed.

Exit rules

  • Stop-loss and take-profit distances are derived from the current range: Range × StopLossCoefficient and Range × TakeProfitCoefficient respectively.
  • For long positions, a close order is sent if the candle low touches the stop level or the high exceeds the take-profit level.
  • For short positions, a close order is sent if the candle high hits the stop level or the low crosses the take-profit level.
  • Setting either coefficient to zero disables the corresponding protection.

Risk controls and limits

  • Separate daily counters are maintained for long and short entries. They reset every time a new trading day starts.
  • The Volume property of the base Strategy controls the size of additional entries.
  • No pending orders are registered; exits are executed with market orders on the next strategy iteration after the condition is detected.

Parameters

Name Description Default
RangeMode Determines how the daily range is calculated (HighestLowest or CloseToClose). HighestLowest
SlidingWindowDays Number of calendar days included in the sliding window used for the range calculation. 3
StopLossCoefficient Multiplier applied to the current range to define the stop-loss distance. 0.03
TakeProfitCoefficient Multiplier applied to the current range to define the take-profit distance. 0.05
OffsetCoefficient Additional offset applied to the breakout levels above the high and below the low. 0.01
MaxPositionsPerDay Maximum number of entries allowed per direction during a single trading day. 3
StartTime Time of day when a fresh range is calculated for the current session. 10:05
CandleType Candle subscription used for both range calculation and signal evaluation. 15-minute time frame

Implementation notes

  • The strategy relies exclusively on StockSharp's high-level Strategy infrastructure (SubscribeCandles, WhenNew, and market orders) and does not manipulate raw order books.
  • Range statistics are stored without using indicator value look-ups; all computations happen inside the strategy, in line with the repository guidelines.
  • Protective orders are simulated by monitoring candle extremes rather than registering separate stop/limit orders, which keeps the implementation portable across different adapters.
  • Python support is intentionally omitted as requested. Only the C# version is provided in this folder.
  • For live trading ensure that sufficient historical candles are available so that the first range calculation has enough data to work with.
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 DailyRangeStrategy : 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 DailyRangeStrategy()
	{
		_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;
	}
}