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Compass Line Strategy

This strategy replicates the CompassLine expert by merging two complementary filters:

  • Follow Line — a Bollinger Bands breakout trail optionally shifted by ATR. When price closes outside the bands the trail is extended in the breakout direction and never retreats while the trend persists.
  • Compass — a logistic transform of the median price relative to the highest high and lowest low over the moving-average window. The raw signal is double-smoothed (triangular averaging) to produce a stable bullish/bearish state.

A position is opened only when both filters agree on the trend. Optional time filtering and protective stops mirror the MQL logic.

Details

  • Entry Criteria:
    • Follow Line must point upward (recent close above the upper band) for longs or downward (recent close below the lower band) for shorts. ATR displacement can be toggled with UseAtrFilter.
    • Compass state (based on CompassPeriod) must be positive for longs or negative for shorts after the double smoothing phase.
    • Trading is executed only when the optional session filter (UseTimeFilter with Session in HHmm-HHmm) allows it.
  • Long/Short: Both directions are supported.
  • Exit Criteria:
    • CloseMode = None keeps the position until an opposite entry or protective stop occurs.
    • CloseMode = BothIndicators closes when both Follow Line and Compass reverse direction simultaneously.
    • CloseMode = FollowLineOnly exits when Follow Line flips against the position.
    • CloseMode = CompassOnly exits when Compass changes polarity.
  • Stops: TakeProfit and StopLoss distances (in security steps) are applied after every entry when greater than zero.
  • Default Values:
    • FollowBbPeriod = 21
    • FollowBbDeviation = 1
    • FollowAtrPeriod = 5
    • UseAtrFilter = false
    • CompassPeriod = 30 (smoothing length = round(CompassPeriod / 3))
    • CloseMode = None
    • UseTimeFilter = false
    • Session = "0000-2400"
    • TakeProfit = 0
    • StopLoss = 0
    • CandleType = TimeSpan.FromMinutes(15)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: Bollinger Bands, ATR, Triangular moving average
    • Stops: Optional
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium

Additional Notes

  • The Compass smoothing uses a triangular window equal to round(CompassPeriod / 3), closely matching the original indicator implementation.
  • Session strings such as 0930-1600 restrict trading to the specified window while still updating indicator states outside the session.
  • Protective orders reuse StockSharp's high-level helpers so the logic is compatible with portfolio risk management modules.
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Compass Line strategy: BB + RSI trend filter.
/// Buys when close < lower BB and RSI < 45.
/// Sells when close > upper BB and RSI > 55.
/// </summary>
public class CompassLineStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbPeriod;
	private readonly StrategyParam<int> _rsiPeriod;

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

	public int BbPeriod
	{
		get => _bbPeriod.Value;
		set => _bbPeriod.Value = value;
	}

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

	public CompassLineStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_bbPeriod = Param(nameof(BbPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Period", "Bollinger Bands period", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
	}

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

		var bb = new BollingerBands { Length = BbPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		decimal? prevClose = null;
		decimal? prevLower = null;
		decimal? prevUpper = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bb, rsi, (candle, bbVal, rsiVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				var bbv = (BollingerBandsValue)bbVal;
				if (bbv.UpBand is not decimal upper || bbv.LowBand is not decimal lower)
					return;

				if (rsiVal.IsEmpty)
					return;

				var rsiDec = rsiVal.GetValue<decimal>();
				var close = candle.ClosePrice;

				if (prevClose.HasValue && prevLower.HasValue && prevUpper.HasValue)
				{
					var crossBelowLower = prevClose.Value > prevLower.Value && close <= lower;
					var crossAboveUpper = prevClose.Value < prevUpper.Value && close >= upper;

					if (crossBelowLower && rsiDec < 45m && Position <= 0)
						BuyMarket();
					else if (crossAboveUpper && rsiDec > 55m && Position >= 0)
						SellMarket();
				}

				prevClose = close;
				prevLower = lower;
				prevUpper = upper;
			})
			.Start();

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