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E-Friday Session Strategy

Overview

The E-Friday Session strategy replicates the classic MetaTrader expert advisor that trades only on Fridays. It observes the previous daily candle and opens a position at a configured hour at the start of Friday's session. The direction is contrarian: if the previous day closed below its open (bearish candle), the strategy buys; if the previous day closed above its open (bullish candle), the strategy sells. Positions are managed intraday and can be closed automatically after a configurable hour or by protective stops.

Trading Rules

  1. Collect daily candles (default: 1 day) to obtain the prior day's open and close.
  2. On Fridays, monitor intraday candles (default: 1 minute) to detect the configured entry hour.
  3. At the first candle of the entry hour:
    • Go long when the previous day was bearish.
    • Go short when the previous day was bullish.
    • Skip trading if the previous day was a doji (open equals close).
  4. Optionally close the position automatically once the configured exit hour is reached.
  5. Manage exits using stop-loss, take-profit, and optional trailing stop logic that mimics the original Expert Advisor, including the profit activation and trailing step thresholds.

Implementation Notes

  • Uses StockSharp high-level candle subscriptions for both daily context and intraday timing.
  • Converts point-based risk controls from the MQL version into absolute price offsets using the security's price step.
  • Maintains trailing stops in code, updating them on each finished candle and closing the position when price extremes are breached.
  • Ensures only one trade per Friday by tracking daily state.
  • Supports both long and short entries, respecting the original magic-number gating by trading a single symbol per strategy instance.

Parameters

Name Description Default
Volume Trade size in lots/contracts. 0.1
StopLossPoints Stop-loss distance in price steps (0 disables). 75
TakeProfitPoints Take-profit distance in price steps (0 disables). 0
HourOpen Hour of the day (0-23) to open the position. 7
UseClosePositions Enable automatic closing after the exit hour. true
HourClose Hour of the day (0-23) to close the position if enabled. 19
UseTrailing Enable trailing stop adjustments. true
ProfitTrailing Require profit to exceed trailing distance before trailing activates. true
TrailingStopPoints Trailing stop distance in price steps. 60
TrailingStepPoints Additional points required before tightening the trailing stop. 5
IntradayCandleType Candle type for intraday timing (default 1-minute candles). TimeSpan.FromMinutes(1)
DailyCandleType Candle type for daily sentiment detection (default 1-day candles). TimeSpan.FromDays(1)

Usage Tips

  • Align the instrument's trading session so that the Friday entry hour matches the desired market open.
  • When configuring stop-loss and trailing values, express them in the same "points" used by the symbol's price step to reproduce the MetaTrader behavior.
  • The strategy is designed for a single trade per Friday. To trade multiple symbols, run separate strategy instances per symbol.

Differences from the Original EA

  • Uses candle close data for decision making, whereas the original polled prices per tick.
  • Protective exits are executed via market orders when candles indicate that stop or target levels were touched within the interval.
  • Strategy parameters are exposed through StockSharp's StrategyParam system, supporting optimization and UI binding.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// E-Friday Session strategy - candle body direction with EMA filter.
/// Buys when previous candle was bearish and current closes above EMA (reversal).
/// Sells when previous candle was bullish and current closes below EMA (reversal).
/// </summary>
public class EFridaySessionStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevOpen;
	private decimal _prevClose;
	private bool _hasPrev;

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

	public EFridaySessionStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetDisplay("EMA Period", "EMA trend filter", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); _prevOpen = 0m; _prevClose = 0m; _hasPrev = false; }

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

		_hasPrev = false;

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal ema)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var close = candle.ClosePrice;

		if (!_hasPrev)
		{
			_prevOpen = candle.OpenPrice;
			_prevClose = close;
			_hasPrev = true;
			return;
		}

		var prevBearish = _prevClose < _prevOpen;
		var prevBullish = _prevClose > _prevOpen;

		// Previous bearish + close above EMA = buy reversal
		if (prevBearish && close > ema && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Previous bullish + close below EMA = sell reversal
		else if (prevBullish && close < ema && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevOpen = candle.OpenPrice;
		_prevClose = close;
	}
}