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ATR Trailing Stops

ATR Trailing uses an average true range multiple to trail stops behind open positions. Entries occur when price crosses a moving average, and the trailing stop adjusts with volatility.

Testing indicates an average annual return of about 157%. It performs best in the crypto market.

As price advances, the stop ratchets up (or down) based on the latest ATR reading, never retreating. This locks in gains as the trend persists.

Exits happen when the trailing stop is triggered or when price crosses back through the moving average.

Details

  • Entry Criteria: Price above or below MA.
  • Long/Short: Both directions.
  • Exit Criteria: Trailing stop hit or price crosses MA.
  • Stops: Yes.
  • Default Values:
    • AtrPeriod = 14
    • AtrMultiplier = 3.0m
    • MAPeriod = 20
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: ATR, MA
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy that uses ATR for trailing stop management.
/// It enters positions using a simple moving average and manages exits with a dynamic
/// trailing stop calculated as a multiple of ATR.
/// </summary>
public class AtrTrailingStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _entryPrice;
	private decimal _trailingStopLevel;
	private int _cooldown;

	/// <summary>
	/// Period for ATR calculation.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for trailing stop calculation.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

	/// <summary>
	/// Period for Moving Average calculation for entry.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Type of candles used for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initialize the ATR Trailing strategy.
	/// </summary>
	public AtrTrailingStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators")
			.SetOptimize(7, 21, 7);

		_atrMultiplier = Param(nameof(AtrMultiplier), 3.0m)
			.SetDisplay("ATR Multiplier", "ATR multiplier for trailing stop", "Risk")
			.SetOptimize(2.0m, 4.0m, 0.5m);

		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetDisplay("MA Period", "Period for Moving Average calculation for entry", "Indicators")
			.SetOptimize(10, 50, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = default;
		_trailingStopLevel = default;
		_cooldown = default;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_entryPrice = 0;
		_trailingStopLevel = 0;
		_cooldown = 0;

		var atr = new AverageTrueRange { Length = AtrPeriod };
		var sma = new SimpleMovingAverage { Length = MAPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var trailingStopDistance = atrValue * AtrMultiplier;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		if (Position == 0)
		{
			if (candle.ClosePrice > smaValue)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_trailingStopLevel = _entryPrice - trailingStopDistance;
				_cooldown = CooldownBars;
			}
			else if (candle.ClosePrice < smaValue)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_trailingStopLevel = _entryPrice + trailingStopDistance;
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0)
		{
			var newTrailingStopLevel = candle.ClosePrice - trailingStopDistance;
			if (newTrailingStopLevel > _trailingStopLevel)
				_trailingStopLevel = newTrailingStopLevel;

			if (candle.LowPrice <= _trailingStopLevel)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			var newTrailingStopLevel = candle.ClosePrice + trailingStopDistance;
			if (newTrailingStopLevel < _trailingStopLevel || _trailingStopLevel == 0)
				_trailingStopLevel = newTrailingStopLevel;

			if (candle.HighPrice >= _trailingStopLevel)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}
	}
}