Español ES
Ver en GitHub

Trail SL Manager Strategy

Summary

Trail SL Manager is a utility strategy that reproduces the behaviour of the original MetaTrader trailSL expert. It does not open trades on its own. Instead, it supervises existing positions and dynamically adjusts their protective stop levels. The logic mirrors the source script: first the stop is pushed to break even once price advances by a configurable amount, then an incremental trailing algorithm keeps locking profits as the trend continues.

How it works

  1. Subscribes to the configured candle stream to monitor finished bars.
  2. Tracks the average entry price and direction of the current position.
  3. When the price moves in favour of the trade by BreakEvenTriggerPoints, the stop is pushed to the entry price plus an optional offset.
  4. After break-even activation, or immediately if allowed, the strategy increments the stop by TrailOffsetPoints every TrailStepPoints until price reverses and closes the position at market.

The trailing rules are calculated with the same point-based arithmetic as the MetaTrader version, so the behaviour stays familiar for traders migrating to StockSharp.

Parameters

Name Description Default
EnableBreakEven Enables moving the stop to break even once the trade becomes profitable. true
BreakEvenTriggerPoints Profit distance in points required to activate the break-even move. 20
BreakEvenOffsetPoints Additional points added to the entry price when break even is executed. 10
EnableTrailing Toggles the trailing stop logic. true
TrailAfterBreakEven If true, trailing starts only after the break-even adjustment. true
TrailStartPoints Minimum profit in points before trailing is allowed. 40
TrailStepPoints Profit step between trailing recalculations. 10
TrailOffsetPoints Points added to the stop on each trailing step. 10
InitialStopPoints Distance of the initial protective stop when a new position appears. 200
CandleType Candle subscription used to monitor price changes. 1 Minute

Usage

  1. Attach the strategy to an environment where entries are generated by another strategy or manually.
  2. Configure the point-based thresholds to match the symbol volatility and broker requirements.
  3. Start the strategy so it can monitor finished candles and adjust stops automatically.
  4. Monitor the chart drawings to see how the stop levels evolve with each trailing step.

Note: The strategy closes positions with market orders when the simulated trailing stop is breached. Add exchange-specific protection (such as real stop orders) if required by your workflow.

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Utility strategy that mirrors the trailSL MetaTrader script.
/// It manages open positions by moving the protective stop to break even and trailing it as price advances.
/// The strategy does not generate its own entry signals.
/// </summary>
public class TrailSlManagerStrategy : Strategy
{
	private readonly StrategyParam<bool> _enableBreakEven;
	private readonly StrategyParam<int> _breakEvenTriggerPoints;
	private readonly StrategyParam<int> _breakEvenOffsetPoints;
	private readonly StrategyParam<bool> _enableTrailing;
	private readonly StrategyParam<bool> _trailAfterBreakEven;
	private readonly StrategyParam<int> _trailStartPoints;
	private readonly StrategyParam<int> _trailStepPoints;
	private readonly StrategyParam<int> _trailOffsetPoints;
	private readonly StrategyParam<int> _initialStopPoints;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _priceStep;
	private decimal _longStop;
	private decimal _shortStop;
	private bool _longBreakEvenActive;
	private bool _shortBreakEvenActive;
	private decimal _lastEntryPrice;
	private SimpleMovingAverage _smaFast;
	private SimpleMovingAverage _smaSlow;
	private int _cooldown;
	private int _lastSignal;

	/// <summary>
	/// Enables automatic break-even adjustment.
	/// </summary>
	public bool EnableBreakEven
	{
		get => _enableBreakEven.Value;
		set => _enableBreakEven.Value = value;
	}

	/// <summary>
	/// Required profit in points before break-even is activated.
	/// </summary>
	public int BreakEvenTriggerPoints
	{
		get => _breakEvenTriggerPoints.Value;
		set => _breakEvenTriggerPoints.Value = value;
	}

	/// <summary>
	/// Additional points added to the break-even price once triggered.
	/// </summary>
	public int BreakEvenOffsetPoints
	{
		get => _breakEvenOffsetPoints.Value;
		set => _breakEvenOffsetPoints.Value = value;
	}

	/// <summary>
	/// Enables trailing stop management.
	/// </summary>
	public bool EnableTrailing
	{
		get => _enableTrailing.Value;
		set => _enableTrailing.Value = value;
	}

	/// <summary>
	/// Trailing starts only after a successful break-even move.
	/// </summary>
	public bool TrailAfterBreakEven
	{
		get => _trailAfterBreakEven.Value;
		set => _trailAfterBreakEven.Value = value;
	}

	/// <summary>
	/// Minimum profit in points before trailing begins.
	/// </summary>
	public int TrailStartPoints
	{
		get => _trailStartPoints.Value;
		set => _trailStartPoints.Value = value;
	}

	/// <summary>
	/// Distance in points between trailing recalculations.
	/// </summary>
	public int TrailStepPoints
	{
		get => _trailStepPoints.Value;
		set => _trailStepPoints.Value = value;
	}

	/// <summary>
	/// Stop loss increment applied on each trailing step (points).
	/// </summary>
	public int TrailOffsetPoints
	{
		get => _trailOffsetPoints.Value;
		set => _trailOffsetPoints.Value = value;
	}

	/// <summary>
	/// Initial protective stop distance measured in points.
	/// </summary>
	public int InitialStopPoints
	{
		get => _initialStopPoints.Value;
		set => _initialStopPoints.Value = value;
	}

	/// <summary>
	/// Candle type used for monitoring price progress.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public TrailSlManagerStrategy()
	{
		_enableBreakEven = Param(nameof(EnableBreakEven), true)
		.SetDisplay("Break Even", "Enable break-even stop adjustment", "Risk")
		;
		_breakEvenTriggerPoints = Param(nameof(BreakEvenTriggerPoints), 20)
		.SetDisplay("Break Even Trigger", "Points required before moving to break-even", "Risk")
		;
		_breakEvenOffsetPoints = Param(nameof(BreakEvenOffsetPoints), 10)
		.SetDisplay("Break Even Offset", "Extra points locked when break-even triggers", "Risk")
		;
		_enableTrailing = Param(nameof(EnableTrailing), true)
		.SetDisplay("Trailing", "Enable trailing stop management", "Risk")
		;
		_trailAfterBreakEven = Param(nameof(TrailAfterBreakEven), true)
		.SetDisplay("Trail After Break Even", "Start trailing only after break-even", "Risk")
		;
		_trailStartPoints = Param(nameof(TrailStartPoints), 40)
		.SetDisplay("Trail Start", "Points of profit before trailing is considered", "Risk")
		;
		_trailStepPoints = Param(nameof(TrailStepPoints), 10)
		.SetDisplay("Trail Step", "Price step that triggers a new trailing recalculation", "Risk")
		;
		_trailOffsetPoints = Param(nameof(TrailOffsetPoints), 10)
		.SetDisplay("Trail Offset", "Points added to the stop on every trailing step", "Risk")
		;
		_initialStopPoints = Param(nameof(InitialStopPoints), 200)
		.SetDisplay("Initial Stop", "Initial stop distance used before trailing", "Risk")
		;
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
		.SetDisplay("Candle Type", "Candle subscription for monitoring", "Data");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		ResetState();
		_priceStep = 0;
		_longStop = 0;
		_shortStop = 0;
		_longBreakEvenActive = false;
		_shortBreakEvenActive = false;
		_lastEntryPrice = 0;
		_smaFast = default;
		_smaSlow = default;
		_cooldown = 0;
		_lastSignal = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_priceStep = Security?.PriceStep ?? 1m;
		if (_priceStep <= 0m)
			_priceStep = 1m;

		_smaFast = new SimpleMovingAverage { Length = 10 };
		_smaSlow = new SimpleMovingAverage { Length = 30 };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_smaFast, _smaSlow, ProcessCandleWithIndicators).Start();

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

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);

		if (Position == 0)
		{
			ResetState();
			return;
		}

		if (trade.Order.Side == Sides.Buy && Position > 0)
		{
			_longStop = InitialStopPoints > 0 ? _lastEntryPrice - InitialStopPoints * _priceStep : 0m;
			_longBreakEvenActive = false;
		}
		else if (trade.Order.Side == Sides.Sell && Position < 0)
		{
			_shortStop = InitialStopPoints > 0 ? _lastEntryPrice + InitialStopPoints * _priceStep : 0m;
			_shortBreakEvenActive = false;
		}
	}

	private void ProcessCandleWithIndicators(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
		}
		else
		{
			var signal = fast > slow ? 1 : fast < slow ? -1 : 0;

			if (signal == 1 && _lastSignal != 1 && Position == 0)
			{
				BuyMarket();
				_lastEntryPrice = candle.ClosePrice;
				_lastSignal = 1;
				_cooldown = 20;
			}
			else if (signal == -1 && _lastSignal != -1 && Position == 0)
			{
				SellMarket();
				_lastEntryPrice = candle.ClosePrice;
				_lastSignal = -1;
				_cooldown = 20;
			}
		}

		ManageLongPosition(candle);
		ManageShortPosition(candle);
	}

	private void ManageLongPosition(ICandleMessage candle)
	{
		if (Position <= 0)
		{
			_longStop = 0m;
			_longBreakEvenActive = false;
			return;
		}

		var entryPrice = _lastEntryPrice;
		if (entryPrice <= 0m)
			return;

		var currentPrice = candle.ClosePrice;
		var profitPoints = (currentPrice - entryPrice) / _priceStep;

		if (EnableBreakEven && !_longBreakEvenActive && profitPoints >= BreakEvenTriggerPoints && BreakEvenTriggerPoints > 0)
		{
			var newStop = BreakEvenOffsetPoints > 0
				? entryPrice + BreakEvenOffsetPoints * _priceStep
				: entryPrice;

			if (newStop < currentPrice)
			{
				_longStop = Math.Max(_longStop, newStop);
				_longBreakEvenActive = true;
			}
		}

		if (!EnableTrailing || TrailOffsetPoints <= 0 || TrailStepPoints <= 0)
			return;

		var requireBreakEven = TrailAfterBreakEven && EnableBreakEven;
		if (requireBreakEven && !_longBreakEvenActive)
			return;

		var baseStop = requireBreakEven
			? (_longStop > 0m ? _longStop : (BreakEvenOffsetPoints > 0 ? entryPrice + BreakEvenOffsetPoints * _priceStep : entryPrice))
			: (InitialStopPoints > 0 ? entryPrice - InitialStopPoints * _priceStep : (_longStop > 0m ? _longStop : 0m));

		if (baseStop <= 0m)
			return;

		if (!requireBreakEven && profitPoints < TrailStartPoints)
			return;

		if (requireBreakEven)
		{
			var baseDistance = (currentPrice - baseStop) / _priceStep;
			if (baseDistance < TrailStartPoints)
				return;
		}

		var startPrice = requireBreakEven
			? baseStop + (TrailStartPoints - TrailStepPoints) * _priceStep
			: entryPrice + (TrailStartPoints - TrailStepPoints) * _priceStep;

		var stepDistance = TrailStepPoints * _priceStep;
		if (stepDistance <= 0m)
			return;

		var openSteps = (currentPrice - startPrice) / stepDistance;
		if (openSteps <= 0m)
			return;

		var stepOpenPrice = (int)Math.Floor(openSteps);
		var currentStopSteps = _longStop > baseStop
			? (int)Math.Floor((_longStop - baseStop) / (TrailOffsetPoints * _priceStep))
			: 0;

		if (stepOpenPrice <= currentStopSteps)
			return;

		var proposedStop = baseStop + stepOpenPrice * TrailOffsetPoints * _priceStep;
		var maxStop = candle.LowPrice - _priceStep;
		if (proposedStop >= maxStop)
			proposedStop = maxStop;

		if (proposedStop > _longStop && proposedStop < currentPrice)
			_longStop = proposedStop;

		if (_longStop > 0m && candle.LowPrice <= _longStop)
			SellMarket(Position);
	}

	private void ManageShortPosition(ICandleMessage candle)
	{
		if (Position >= 0)
		{
			_shortStop = 0m;
			_shortBreakEvenActive = false;
			return;
		}

		var entryPrice = _lastEntryPrice;
		if (entryPrice <= 0m)
			return;

		var currentPrice = candle.ClosePrice;
		var profitPoints = (entryPrice - currentPrice) / _priceStep;

		if (EnableBreakEven && !_shortBreakEvenActive && profitPoints >= BreakEvenTriggerPoints && BreakEvenTriggerPoints > 0)
		{
			var newStop = BreakEvenOffsetPoints > 0
				? entryPrice - BreakEvenOffsetPoints * _priceStep
				: entryPrice;

			if (newStop > currentPrice)
			{
				_shortStop = _shortStop == 0m ? newStop : Math.Min(_shortStop, newStop);
				_shortBreakEvenActive = true;
			}
		}

		if (!EnableTrailing || TrailOffsetPoints <= 0 || TrailStepPoints <= 0)
			return;

		var requireBreakEven = TrailAfterBreakEven && EnableBreakEven;
		if (requireBreakEven && !_shortBreakEvenActive)
			return;

		var baseStop = requireBreakEven
			? (_shortStop > 0m ? _shortStop : (BreakEvenOffsetPoints > 0 ? entryPrice - BreakEvenOffsetPoints * _priceStep : entryPrice))
			: (InitialStopPoints > 0 ? entryPrice + InitialStopPoints * _priceStep : (_shortStop > 0m ? _shortStop : 0m));

		if (baseStop <= 0m)
			return;

		if (!requireBreakEven && profitPoints < TrailStartPoints)
			return;

		if (requireBreakEven)
		{
			var baseDistance = (baseStop - currentPrice) / _priceStep;
			if (baseDistance < TrailStartPoints)
				return;
		}

		var startPrice = requireBreakEven
			? baseStop - (TrailStartPoints - TrailStepPoints) * _priceStep
			: entryPrice - (TrailStartPoints - TrailStepPoints) * _priceStep;

		var stepDistance = TrailStepPoints * _priceStep;
		if (stepDistance <= 0m)
			return;

		var openSteps = (startPrice - currentPrice) / stepDistance;
		if (openSteps <= 0m)
			return;

		var stepOpenPrice = (int)Math.Floor(openSteps);
		var currentStopSteps = _shortStop > 0m
			? (int)Math.Floor((baseStop - _shortStop) / (TrailOffsetPoints * _priceStep))
			: 0;

		if (stepOpenPrice <= currentStopSteps)
			return;

		var proposedStop = baseStop - stepOpenPrice * TrailOffsetPoints * _priceStep;
		var minStop = candle.HighPrice + _priceStep;
		if (proposedStop <= minStop)
			proposedStop = minStop;

		if ((_shortStop == 0m || proposedStop < _shortStop) && proposedStop > currentPrice)
			_shortStop = proposedStop;

		if (_shortStop > 0m && candle.HighPrice >= _shortStop)
			BuyMarket(Math.Abs(Position));
	}

	private void ResetState()
	{
		_longStop = 0m;
		_shortStop = 0m;
		_longBreakEvenActive = false;
		_shortBreakEvenActive = false;
	}
}