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Rawstocks 15 Minute Model Strategy

Rawstocks 15 Minute Model uses swing order blocks and Fibonacci retracement levels to trade within a daily session.

How it works

  • Detects swing highs and lows with an ATR filter.
  • Builds bullish and bearish order blocks and computes 61.8% and 79% Fibonacci levels.
  • Enters long when price touches a bullish order block and closes above a Fibonacci level before the entry cutoff time.
  • Enters short when price tests a bearish order block and closes below a Fibonacci level.
  • Closes all positions at 16:30 ET.

Parameters

  • Start Hour
  • Start Minute
  • Last Entry Hour
  • Last Entry Minute
  • Force Close Hour
  • Force Close Minute
  • Fib Level (%)
  • Min Swing Size (%)
  • Risk/Reward

Indicators

  • Average True Range
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>
/// Rawstocks 15 minute model strategy using EMA crossover.
/// </summary>
public class Rawstocks15MinuteModelStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

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

	public Rawstocks15MinuteModelStrategy()
	{
		_slowLength = Param(nameof(SlowLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

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

		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = SlowLength };

		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, (candle, f, s) =>
			{
				if (candle.State != CandleStates.Finished)
					return;
				if (!fast.IsFormed || !slow.IsFormed)
					return;
				if (!init) { prevF = f; prevS = s; init = true; return; }
				if (candle.OpenTime - lastSignal >= cooldown)
				{
					if (prevF <= prevS && f > s && Position <= 0) { BuyMarket(); lastSignal = candle.OpenTime; }
					else if (prevF >= prevS && f < s && Position >= 0) { SellMarket(); lastSignal = candle.OpenTime; }
				}
				prevF = f; prevS = s;
			})
			.Start();

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