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Escape Mean Reversion Strategy

Overview

The Escape strategy is a StockSharp port of the MetaTrader 4 expert advisor escape.mq4. The original robot trades a five-minute chart and reacts to mean-reversion opportunities: it buys when price falls below a short moving average and sells when price rallies above another fast average. Each position is protected by a fixed-distance take-profit and stop-loss expressed in MetaTrader points. The C# implementation keeps the same minimalist logic while exposing all tunable distances as strategy parameters.

Trading Logic

  1. Initialization

    • Subscribe to the configurable CandleType series (five-minute candles by default).
    • Create two SimpleMovingAverage indicators with lengths 5 and 4 that are fed with candle open prices.
    • Compute the MetaTrader Point equivalent from Security.PriceStep; this value is reused to convert pip-style distances into absolute prices.

  2. Per-candle processing

    • Only finished candles are processed via SubscribeCandles(...).WhenCandlesFinished(ProcessCandle).
    • The strategy first checks whether an existing position hit its stop-loss or take-profit by comparing the candle high/low with the recorded exit levels. When a level is breached the position is closed with a market order and duplicate exit orders are prevented through internal flags.
    • If the account is flat, previous values of the two SMAs are available, trading is allowed, and the portfolio holds enough capital (Portfolio.CurrentValue >= MinimumMarginPerLot * TradeVolume), the strategy evaluates entries:
      • Long entry – current close is below the previous 5-period SMA of opens.
      • Short entry – current close is above the previous 4-period SMA of opens.
    • When a signal triggers, the stop-loss and take-profit levels are calculated from the candle close using the configured point distances and stored for later monitoring.

  3. Risk management

    • TradeVolume defines the lot size of every market order.
    • MinimumMarginPerLot approximates the AccountFreeMargin check from MetaTrader. If the available portfolio value is too small the entry is skipped and a diagnostic message is logged.

Parameters

Name Default Description
LongTakeProfitPoints 10 Take-profit distance for long positions in MetaTrader points. Set to 0 to disable the target.
ShortTakeProfitPoints 10 Take-profit distance for short positions in MetaTrader points. Set to 0 to disable the target.
LongStopLossPoints 1000 Stop-loss distance for long positions in MetaTrader points. Set to 0 to disable the protective stop.
ShortStopLossPoints 1000 Stop-loss distance for short positions in MetaTrader points. Set to 0 to disable the protective stop.
TradeVolume 0.2 Lot size used when sending market orders.
MinimumMarginPerLot 500 Approximate capital requirement per lot before opening a new trade.
CandleType Five-minute time frame Candle series that drives indicator updates and signal generation.

Implementation Notes

  • Indicators are updated manually inside ProcessCandle with candle open prices so that the stored values always represent the previous bar (mirroring the shift=1 arguments used in iMA).
  • Exit levels are tracked in decimal fields instead of creating additional collections, satisfying the high-level API guidelines.
  • Stops and targets are evaluated against candle extremes; because only OHLC data is available, the stop check is performed before the take-profit to emulate MetaTrader’s order priority as closely as possible.
  • The strategy draws candles together with both moving averages and own trades when a chart area is available, simplifying visual validation.

Differences vs. the MetaTrader version

  • MetaTrader attaches stop-loss and take-profit orders directly to tickets. The StockSharp port reproduces them by monitoring candle highs and lows and sending market exits; intrabar execution order cannot be guaranteed if both levels are touched within the same bar.
  • Entry prices are derived from the candle close that triggered the signal instead of the exact bid/ask used by MetaTrader, so slippage and spread handling must be configured at the connector level.
  • The AccountFreeMargin() guard is approximated through Portfolio.CurrentValue. Users with more detailed margin models can extend HasSufficientMargin if needed.
  • Cosmetic MQL settings such as colors, sounds, and slippage are omitted; the StockSharp version focuses on the core trading logic.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Escape Mean Reversion: SMA crossover with ATR stops.
/// </summary>
public class EscapeMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _smaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevClose;
	private decimal _entryPrice;

	public EscapeMeanReversionStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_smaLength = Param(nameof(SmaLength), 5)
			.SetDisplay("SMA Length", "SMA period.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");
	}

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

	public int SmaLength
	{
		get => _smaLength.Value;
		set => _smaLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevClose = 0;
		_entryPrice = 0;
	}

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

		_prevClose = 0;
		_entryPrice = 0;

		var sma = new SimpleMovingAverage { Length = SmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(sma, atr, ProcessCandle)
			.Start();

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

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

		var close = candle.ClosePrice;

		if (_prevClose == 0 || atrVal <= 0)
		{
			_prevClose = close;
			return;
		}

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 2m || close <= _entryPrice - atrVal * 1.5m || close > smaVal)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 2m || close >= _entryPrice + atrVal * 1.5m || close < smaVal)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (close < smaVal && _prevClose >= smaVal)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (close > smaVal && _prevClose <= smaVal)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevClose = close;
	}
}