Español ES
Ver en GitHub

Trend Capture Legacy Strategy

Trend Capture Legacy Strategy ports the MetaTrader expert TrendCapture.mq4 to the high-level StockSharp API. The C# version keeps the original rule set based on Parabolic SAR direction, a low ADX filter and simple break-even money management.

Core ideas

  • Process finished candles of the selected timeframe and feed them to Parabolic SAR (0.02/0.2) and Average Directional Index (14).
  • Enter only when ADX is below the AdxThreshold, signalling a calm market where SAR reversals are more reliable.
  • Remember the direction and outcome of the last closed trade: repeat the same side after a winner, flip to the opposite side after a loser.
  • Apply fixed-distance stop-loss and take-profit levels (configured in price points) and move the stop to break-even once the trade gains BreakEvenGuard points.
  • Size the order volume from the available portfolio value and MaximumRisk; fall back to the strategy Volume when portfolio information is unavailable.

Parameters

Name Default Description
SarStep 0.02 Initial Parabolic SAR acceleration step.
SarMax 0.2 Maximum Parabolic SAR acceleration.
AdxPeriod 14 ADX averaging period.
AdxThreshold 20 Maximum ADX value that still allows a fresh entry.
TakeProfitPoints 180 Take-profit distance in price points.
StopLossPoints 50 Stop-loss distance in price points.
BreakEvenGuard 5 Profit buffer (in points) required before moving the stop to entry.
MaximumRisk 0.03 Fraction of free margin used for position sizing.
CandleType 1 hour candles Timeframe for indicator calculations and trading signals.

Order management

  • Long entries require the close price above SAR with low ADX; shorts require the close price below SAR with the same ADX filter.
  • Stop-loss and take-profit levels are recalculated on every entry and evaluated on each completed candle.
  • Break-even activation simply shifts the stop to the entry price. If no stop-loss is configured (zero or negative distance), the guard is ignored.

Indicators

  • ParabolicSar for directional bias.
  • AverageDirectionalIndex for the strength filter (only the main ADX line is used).

Notes

  • The strategy uses BindEx to avoid direct buffer access, following the project guidelines.
  • Portfolio-based volume calculation respects board constraints (LotStep, MinVolume, MaxVolume).
  • Trade history needed for direction bias is gathered via OnNewMyTrade, so partial fills remain supported.
using System;



using StockSharp.Algo.Indicators;

using StockSharp.Algo.Strategies;

using StockSharp.BusinessEntities;

using StockSharp.Messages;



namespace StockSharp.Samples.Strategies;



public class TrendCaptureLegacyStrategy : Strategy

{

	private readonly StrategyParam<int> _fastPeriod;

	private readonly StrategyParam<int> _slowPeriod;

	private readonly StrategyParam<DataType> _candleType;



	private decimal _prevFast; private decimal _prevSlow; private bool _hasPrev;

	private int _cooldown;



	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }

	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }

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



	public TrendCaptureLegacyStrategy()

	{

		_fastPeriod = Param(nameof(FastPeriod), 10).SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 30).SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame()).SetDisplay("Candle Type", "Candle timeframe", "General");

	}



	/// <inheritdoc />

	protected override void OnReseted()

	{

		base.OnReseted();

		_prevFast = default;

		_prevSlow = default;

		_hasPrev = default;

		_cooldown = default;

	}



	/// <inheritdoc />

	protected override void OnStarted2(DateTime time)

	{

		base.OnStarted2(time);

		_hasPrev = false;

		var fast = new ExponentialMovingAverage { Length = FastPeriod };

		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);

		subscription.Bind(fast, slow, ProcessCandle).Start();

	}



	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)

	{

		if (candle.State != CandleStates.Finished) return;

		if (!IsFormedAndOnlineAndAllowTrading()) return;

		if (!_hasPrev) { _prevFast = fast; _prevSlow = slow; _hasPrev = true; return; }

		if (_cooldown > 0)

		{

			_cooldown--;

			_prevFast = fast; _prevSlow = slow;

			return;

		}



		if (_prevFast <= _prevSlow && fast > slow && Position <= 0)

		{

			var volume = Volume + Math.Abs(Position);

			BuyMarket(volume);

			_cooldown = 2;

		}

		else if (_prevFast >= _prevSlow && fast < slow && Position >= 0)

		{

			var volume = Volume + Math.Abs(Position);

			SellMarket(volume);

			_cooldown = 2;

		}

		_prevFast = fast; _prevSlow = slow;

	}

}