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Fibo Pivot MultiVal Strategy

Overview

The Fibo Pivot MultiVal Strategy is a StockSharp port of the MetaTrader 4 expert advisor _Fibo_Pivot_multiVal.mq4. The strategy combines daily pivot points with Fibonacci retracement and extension ratios to deploy limit orders inside each price zone that surrounds the pivot. Trading sessions, position targets, and halting rules follow the original expert advisor so that risk control and execution behaviour remain familiar to traders who used the MetaTrader version.

Core Logic

  1. Daily reference levels are computed from the previous day's high, low, and close. Classic pivot levels (P, R1-R3, S1-S3) are accompanied by Fibonacci-based internal levels that split the distance between the pivot and the neighbouring support or resistance lines. Additional R3/S3 extensions project potential breakout targets.
  2. Intraday price action is monitored on the configured candle timeframe (15 minutes by default). When the current close resides inside a particular pivot zone (for example between R2 and R3), the strategy activates the corresponding limit orders.
  3. Limit orders are placed at the Fibonacci sub-levels. Each zone maintains both long and short orders, with the direction filtered by the MidZoneOrderMode parameter when the price oscillates between R1-R2 and S1-S2.
  4. Targets adapt to market volatility. When UseReversalTargets is enabled, exits sit on the opposite side of the active Fibonacci band to capture mean-reversion bounces. When disabled, the algorithm compares the previous day's range with the LimitPointOut and LimitPointIn thresholds to decide whether to aim for extended breakouts (towards R3/S3 extensions) or deeper reversals (towards the pivot).
  5. Risk limits pause new trades once the configurable daily or per-symbol profit/trade thresholds are exceeded. All pending orders are cancelled and trading resumes on the next session reset (before StartTime).
  6. Session management mirrors the original EA: trading starts at StartTime, new entries stop after FinishTime, and all open exposure is flattened after CloseAllTime.

Parameters

Name Default Description
CandleType 15-minute candles Timeframe used to build the decision candles.
OrderVolume 0.1 Volume for each limit order registered by the strategy.
StartTime 00:01 Session time of day that enables trading and resets counters.
FinishTime 08:00 Session time that disables new entries while keeping existing positions.
CloseAllTime 12:00 Session time that cancels orders and closes all positions.
UseReversalTargets true When true, targets stay inside the Fibonacci zone. When false, breakout/pivot targets are used based on the daily range.
LimitPointIn 150 Daily range threshold (points) that enforces pivot reversion targets when exceeded.
LimitPointOut 50 Daily range threshold (points) that encourages breakout targets when price action is compressed.
LevelPf1 33 Percentage used to split the Pivot–R1 and Pivot–S1 distance.
LevelF1F2 50 Percentage used to compute the intermediate level between R1–R2 and S1–S2.
LevelF2F3 33 Percentage used to compute the intermediate level between R2–R3 and S2–S3.
LevelF3Out 40 Percentage used to extend R3/S3 for breakout targets.
MidZoneOrderMode "bs" Allowed directions inside the mid zones ("b"=buy only, "s"=sell only, "bs"=both).
DailyProfitTarget 50 Daily profit limit in points.
DailyTradeTarget 35 Maximum number of completed trades per day.
SymbolProfitTarget 150 Per-symbol profit target in points.
SymbolTradeTarget 15 Maximum completed trades per symbol per day.

Order Management

  • Each active zone keeps its own entry, take-profit, and optional stop orders. When an entry is filled, exit orders are recreated using the target/stop levels derived from the Fibonacci configuration.
  • Filled exits update the daily and per-symbol statistics. Hitting any limit pauses trading until the next reset.
  • Session boundaries automatically cancel entry orders. The CloseAllTime boundary additionally closes any open positions via market orders.

Practical Tips

  • The strategy expects instruments with well-defined price steps. Ensure the Security instance exposes PriceStep so that the point-to-price conversion matches the original EA.
  • For assets with different volatility characteristics, adjust LimitPointIn and LimitPointOut so that breakout vs. mean-reversion behaviours trigger at appropriate ranges.
  • If you prefer directional trades around the mid-zone (R1-R2 or S1-S2), set MidZoneOrderMode to "b" or "s" to allow only long or short setups.
  • Use the built-in parameter optimisation support to backtest alternative Fibonacci ratios. All percentage parameters and thresholds expose SetCanOptimize in the source code, enabling automated scans inside StockSharp Designer.

Differences from the Original Expert Advisor

  • The StockSharp version works on a single security per strategy instance. To trade multiple symbols as in the MetaTrader EA, run separate strategy instances for each instrument.
  • Position sizing is expressed directly in volume units rather than MetaTrader lots. Configure OrderVolume to match your broker's requirements.
  • Order execution relies on the StockSharp high level API (BuyLimit, SellLimit, etc.). Broker-specific behaviour (such as pending order offsets) should be reviewed before deploying to production.
using System;

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

namespace StockSharp.Samples.Strategies;

public class FiboPivotMultiValStrategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _cooldownCandles;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevClose;
	private decimal _prevMid;
	private bool _hasPrev;
	private int _cooldownRemaining;

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

	public FiboPivotMultiValStrategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 48).SetDisplay("Channel Period", "Fibo channel lookback", "Indicators");
		_emaPeriod = Param(nameof(EmaPeriod), 50).SetDisplay("EMA Period", "EMA filter", "Indicators");
		_cooldownCandles = Param(nameof(CooldownCandles), 150).SetDisplay("Cooldown", "Candles between signals", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame()).SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevClose = default;
		_prevMid = default;
		_hasPrev = default;
		_cooldownRemaining = default;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevClose = 0;
		_prevMid = 0;
		_hasPrev = false;
		_cooldownRemaining = 0;

		var highest = new Highest { Length = ChannelPeriod };
		var lowest = new Lowest { Length = ChannelPeriod };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(highest, lowest, ema, ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal highest, decimal lowest, decimal ema)
	{
		if (candle.State != CandleStates.Finished) return;
		var close = candle.ClosePrice;
		var mid = (highest + lowest) / 2;
		if (!_hasPrev) { _prevClose = close; _prevMid = mid; _hasPrev = true; return; }

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = close;
			_prevMid = mid;
			return;
		}

		if (_prevClose <= _prevMid && close > mid && close > ema && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
			_cooldownRemaining = CooldownCandles;
		}
		else if (_prevClose >= _prevMid && close < mid && close < ema && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
			_cooldownRemaining = CooldownCandles;
		}
		_prevClose = close;
		_prevMid = mid;
	}
}