Español ES
Ver en GitHub

Grail Expert MA

Overview

Grail Expert MA is a StockSharp port of the MetaTrader 4 expert advisor _GrailExpertMAV1_0. The system searches for fresh breakouts beyond the recent high/low channel and waits for a pullback before joining the move. An exponential moving average of the typical price provides the directional bias: trades are only allowed when the EMA has gained or lost a configurable number of pips across the last two completed candles. Risk management mirrors the original expert with pip-based stop-loss and take-profit distances and ignores new entries while a position is active.

Strategy logic

EMA slope trend filter

  • An EMA calculated on the typical price ((High + Low + Close)/3) is evaluated at the close of every bar.
  • The difference between the last two EMA values must exceed the EMA Slope (pips) threshold (converted to price using the symbol pip size).
  • A positive slope authorizes long pullbacks, a negative slope authorizes short pullbacks, and flat slopes block trading.

Breakout range tracking

  • The strategy maintains the highest high and lowest low across the last Range Period completed bars.
  • These levels form a channel whose height is used to reject shallow moves that do not create enough distance for the pullback logic.

Entry preparation

  • When the current bar prints a new high above the stored range, a potential long entry price is computed at High - Breakout Buffer - Take Profit pips.
  • When the current bar prints a new low below the stored range, a potential short entry price is computed at Low + Breakout Buffer + Take Profit pips.
  • The original EA required the distance between the new extreme and the opposite side of the range to be at least 2 * Breakout Buffer + Take Profit. The port keeps the same validation and discards the entry if the spread is too small.

Entry trigger

  • Prepared prices remain active for the rest of the bar. A long is executed when the intrabar low reaches or dips below the stored long entry price while the EMA slope is positive.
  • A short is executed when the intrabar high reaches or exceeds the stored short entry price while the EMA slope is negative.
  • Only one trade can be open at a time; the port clears both pending entry prices as soon as an order is submitted to match the MQL behaviour.

Exit management

  • Long positions use a stop at Entry - Stop Loss pips and a profit target at Entry + Take Profit pips (zero disables the respective level).
  • Short positions mirror the calculations (stop above, target below).
  • Exits are triggered when candle extremes touch the protective levels, matching the bar-based approximation of the original tick logic.

Additional safeguards

  • Pending entries are cleared whenever they fall outside the refreshed range when a new candle closes.
  • All pip distances automatically adapt to the instrument’s tick size (five-digit FX symbols map one pip to 10 ticks).
  • If the EMA is not yet formed or the range buffer lacks enough history, the strategy remains idle until sufficient data is available.

Parameters

  • Order Volume – trade volume in lots/contracts for market orders.
  • Take Profit (pips) – distance to the fixed profit target; set to 0 to disable.
  • Stop Loss (pips) – distance to the protective stop; set to 0 to disable.
  • Range Period – number of completed candles used to measure the breakout channel.
  • EMA Period – length of the exponential moving average applied to the typical price.
  • EMA Slope (pips) – minimum pip advance/decline between consecutive EMA values required to enable entries.
  • Breakout Buffer (pips) – additional distance away from the fresh extreme before arming pullback entries.
  • Candle Type – timeframe requested from the data feed (default: 1-hour candles).

Implementation notes

  • The strategy uses raw candle updates (including partial states) to emulate the original intrabar high/low monitoring.
  • EMA values are processed only on finished candles to replicate the MQL iMA calls with shifts of one and two bars.
  • Historical ranges are tracked with bounded queues instead of indicator lookups to avoid expensive rescans while keeping the logic faithful to the source.
  • No Python version is provided; the API package contains only the C# implementation.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Grail Expert MA: SMA crossover with ATR stops.
/// </summary>
public class GrailExpertMaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastSmaLength;
	private readonly StrategyParam<int> _slowSmaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;

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

		_fastSmaLength = Param(nameof(FastSmaLength), 10)
			.SetDisplay("Fast SMA", "Fast SMA period.", "Indicators");

		_slowSmaLength = Param(nameof(SlowSmaLength), 40)
			.SetDisplay("Slow SMA", "Slow 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 FastSmaLength
	{
		get => _fastSmaLength.Value;
		set => _fastSmaLength.Value = value;
	}

	public int SlowSmaLength
	{
		get => _slowSmaLength.Value;
		set => _slowSmaLength.Value = value;
	}

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

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

		_prevFast = 0;
		_prevSlow = 0;
		_entryPrice = 0;
	}

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

		_prevFast = 0;
		_prevSlow = 0;
		_entryPrice = 0;

		var fastSma = new SimpleMovingAverage { Length = FastSmaLength };
		var slowSma = new SimpleMovingAverage { Length = SlowSmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

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

		if (_prevFast == 0 || _prevSlow == 0 || atrVal <= 0)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			return;
		}

		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if (fastVal < slowVal && _prevFast >= _prevSlow)
			{
				SellMarket();
				_entryPrice = 0;
			}
			else if (close <= _entryPrice - atrVal * 2m)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (fastVal > slowVal && _prevFast <= _prevSlow)
			{
				BuyMarket();
				_entryPrice = 0;
			}
			else if (close >= _entryPrice + atrVal * 2m)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (fastVal > slowVal && _prevFast <= _prevSlow)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (fastVal < slowVal && _prevFast >= _prevSlow)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}