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Risk Monitor Strategy

Overview

Risk Monitor Strategy is a port of the MetaTrader 4 expert advisor risk.mq4. The original script never opened trades; instead it determined how many lots the trader could safely deploy based on the account balance and a user-defined risk percentage. This StockSharp version keeps the same spirit: it performs continuous account diagnostics, computes suggested trade sizes, monitors floating and realized profits, and publishes the results directly into the strategy comment for quick decision making.

Unlike conventional strategies, Risk Monitor Strategy does not send orders automatically. Its role is supervisory: it gives the trader a snapshot of current exposure, available capacity according to the chosen risk budget, and the profitability of closed positions. The comment line is refreshed whenever positions, PnL, or trades change so the information always reflects the latest portfolio state.

Calculations

The strategy derives the figures displayed in the comment from three groups of data:

  1. Base lot size – calculated as AccountBalance / 1000 and aligned to the security volume step. This mirrors the original MT4 logic where every 1000 units of balance correspond to 1 standard lot.
  2. Risk lot size – multiplies the base lots by Risk % / 100, aligns the result to the volume step, and represents how many lots may be opened while respecting the configured risk budget.
  3. Open lots & difference – compares the absolute net position to the risk lot size. If the trader is below the threshold, the difference shows how many lots remain available before reaching the limit. A tiny negative difference that is smaller than the volume step is rounded to zero to avoid confusing noise.

For profits the strategy distinguishes between floating and realized values:

  • Floating PnL – read from the strategy PnL property and expressed both in price units and as a percentage of the current portfolio value.
  • Realized profit – accumulated from own trades. The component splits every closing fill into positive and negative parts, applies the reported commission, and keeps a running total. The final figure is also converted into a percentage of equity to match the MT4 readout.

Parameters

  • Risk % – portion of the account balance that can be committed to new positions. Default: 10. The parameter is exposed for optimization so different risk budgets can be backtested quickly.

Comment format

The strategy updates the comment with three lines:

  1. Base lots, Risk lots, Open lots, Lots to adjust – quick view of position sizing metrics.
  2. Risk, Floating PnL – risk setting, floating profit in currency units, and floating profit in percent of balance.
  3. Realized profit – cumulative closed profit and its percentage.

All values are rounded similarly to the MT4 script, respecting the security lot step and using two decimal places for monetary numbers. Because the output sits in the comment, it is immediately visible on the chart or in the strategy grid without opening additional panels.

Usage notes

  • Attach the strategy to the instrument whose balance and position you want to supervise. It works with net positions (no MT4-style hedging) just like StockSharp itself.
  • The strategy tolerates manual trading: it reacts to any trade confirmations to keep the statistics in sync.
  • The comment is cleared automatically when the strategy stops or resets, preventing stale values from persisting across sessions.
  • No Python implementation is provided; the API package contains only the C# version.
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>
/// Risk-aware EMA crossover strategy inspired by the original MT4 Risk Monitor script.
/// Uses a risk percentage of account balance to size positions, combined with EMA crossover signals.
/// Tracks realized gains/losses and adjusts lot sizing accordingly.
/// </summary>
public class RiskMonitorStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _stopLossPoints;

	private ExponentialMovingAverage _fastEma;
	private ExponentialMovingAverage _slowEma;

	private decimal? _prevFast;
	private decimal? _prevSlow;

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

	/// <summary>
	/// Percentage of the account balance allocated to new positions.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	/// <summary>
	/// Take profit distance in absolute points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Stop loss distance in absolute points.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="RiskMonitorStrategy"/>.
	/// </summary>
	public RiskMonitorStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle series used for calculations", "General");

		_riskPercent = Param(nameof(RiskPercent), 10m)
			.SetGreaterThanZero()
			.SetDisplay("Risk %", "Portion of balance used to size positions", "Risk Management")
			.SetOptimize(5m, 30m, 5m);

		_fastPeriod = Param(nameof(FastPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators")
			.SetOptimize(5, 30, 5);

		_slowPeriod = Param(nameof(SlowPeriod), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators")
			.SetOptimize(20, 80, 10);

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 500m)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Absolute take profit distance", "Risk");

		_stopLossPoints = Param(nameof(StopLossPoints), 500m)
			.SetNotNegative()
			.SetDisplay("Stop Loss", "Absolute stop loss distance", "Risk");

		Volume = 1;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_fastEma = null;
		_slowEma = null;
		_prevFast = null;
		_prevSlow = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		_slowEma = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_fastEma, _slowEma, ProcessCandle)
			.Start();

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

		if (TakeProfitPoints > 0 || StopLossPoints > 0)
		{
			var tp = TakeProfitPoints > 0 ? new Unit(TakeProfitPoints, UnitTypes.Absolute) : null;
			var sl = StopLossPoints > 0 ? new Unit(StopLossPoints, UnitTypes.Absolute) : null;
			StartProtection(tp, sl);
		}

		base.OnStarted2(time);
	}

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

		var pf = _prevFast;
		var ps = _prevSlow;
		_prevFast = fastValue;
		_prevSlow = slowValue;

		if (pf == null || ps == null)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Detect crossover
		var prevDiff = pf.Value - ps.Value;
		var currDiff = fastValue - slowValue;

		if (prevDiff <= 0 && currDiff > 0)
		{
			// Bullish crossover
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			if (Position == 0)
				BuyMarket(Volume);
		}
		else if (prevDiff >= 0 && currDiff < 0)
		{
			// Bearish crossover
			if (Position > 0)
				SellMarket(Position);
			if (Position == 0)
				SellMarket(Volume);
		}
	}
}