Español ES
Ver en GitHub

Linear Regression Channel (Fibo) Strategy

Overview

This strategy is the StockSharp conversion of the MetaTrader expert advisor "linear regression channel". It trades in the direction of the higher-timeframe linear trend confirmed by a set of weighted moving averages, momentum readings, and a monthly MACD filter. Money-management rules replicate the original behaviour with floating profit targets, trailing of accumulated gains, break-even protection, and an equity stop.

Trading Logic

  1. Primary timeframe – configurable candle type (default 15-minute). All signal calculations run on this timeframe.
  2. Trend filter – a fast and a slow linear weighted moving average (LWMA) calculated on the typical price. Long signals require the fast LWMA to be above the slow LWMA; short signals require the opposite.
  3. Momentum confirmation – the momentum indicator is evaluated on a higher timeframe that mirrors the original MetaTrader mapping (M1→M15, M5→M30, M15→H1, M30→H4, H1→D1, H4→W1, D1→MN1). The last three momentum values are converted to the absolute distance from the 100 level. A long setup needs any of the three distances to exceed the bullish threshold, while a short setup needs any of the three to exceed the bearish threshold.
  4. Monthly MACD bias – monthly candles drive a MACD(12,26,9) filter. Long trades are only allowed when the MACD main line is above its signal line; short trades require the opposite relationship.
  5. Entry condition – when all filters align and trading is allowed, the strategy opens a market order in the corresponding direction. The current position is closed and reversed when an opposite signal is produced.

Risk and Trade Management

  • Fixed stop-loss / take-profit – distances are defined in instrument points and applied to every entry. If the candle high/low pierces these levels, the position is closed.
  • Trailing stop – optional; activates once the position gains a configurable amount of points and trails the best price by the specified offset.
  • Break-even – optional; after the price advances by the trigger distance, the stop level is moved to the entry price plus/minus an offset to secure profits.
  • Floating profit take-profit – optional monetary target. When the net unrealised profit (expressed in account currency) exceeds the threshold, all positions are closed.
  • Percent-based take-profit – optional target based on the initial equity at the moment the strategy starts.
  • Money trailing – once floating profit reaches the trigger, the strategy records the peak profit. If profit retraces by the specified stop amount, the position is closed.
  • Equity stop – optional drawdown protection. While the position is losing, if the floating loss exceeds a percentage of the observed equity peak, the strategy liquidates the position.

Parameters

Name Description
Candle Type Primary timeframe for signal generation.
Fast LWMA / Slow LWMA Periods for the fast and slow linear weighted moving averages.
Momentum Length Momentum lookback length on the higher timeframe.
Momentum Buy Threshold / Momentum Sell Threshold Minimum absolute distance from 100 required for bullish/bearish momentum confirmation.
Take Profit (points) / Stop Loss (points) Protective distances expressed in instrument points.
Use Trailing, Trailing Activation, Trailing Offset Trailing stop configuration.
Use Break-even, Break-even Trigger, Break-even Offset Break-even logic parameters.
Max Trades Maximum number of sequential entries allowed during the run.
Order Volume Base volume for market orders.
Use Money TP, Money Take Profit Floating monetary take-profit.
Use Percent TP, Percent Take Profit Take-profit calculated as a percentage of initial equity.
Enable Money Trailing, Money Trailing Trigger, Money Trailing Stop Trailing of floating profit.
Use Equity Stop, Equity Risk % Equity-based stop-loss guard.

Notes

  • The strategy keeps only one net position (long or short) and reverses when an opposite signal arrives.
  • Momentum and MACD subscriptions automatically add the necessary higher timeframes to the data feed through GetWorkingSecurities().
  • All comments inside the code are in English per repository 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 LinearRegressionChannelFibStrategy : 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 LinearRegressionChannelFibStrategy()
	{
		_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;
	}
}