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TCPivot Stop Strategy

This strategy trades breakouts through the daily pivot line. It calculates classical floor-trader pivot levels from the previous day's high, low and close. A long position is opened when the closing price crosses above the pivot. A short position is opened when the closing price crosses below the pivot.

After entry the system uses one of the support or resistance levels as both the profit target and stop loss. The level is selected by the Target Level parameter:

  • 1 – uses Support1/Resistance1.
  • 2 – uses Support2/Resistance2.
  • 3 – uses Support3/Resistance3.

If Intraday Only is enabled every open position is closed at 23:00 platform time.

Details

  • Entry Criteria
    • Long: previous close ≤ pivot and current close > pivot.
    • Short: previous close ≥ pivot and current close < pivot.
  • Exit Criteria
    • Long: close ≥ selected resistance level or close ≤ selected support level.
    • Short: close ≤ selected support level or close ≥ selected resistance level.
    • If Intraday Only is true, all positions are closed at 23:00.
  • Indicators: classical pivot calculation only.
  • Timeframe: configurable; default 5-minute candles.
  • Stops: stop-loss and take-profit from chosen pivot level.
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>
/// Pivot-based breakout strategy.
/// Buys when close crosses above calculated pivot, sells when it crosses below.
/// Uses support/resistance levels for exits.
/// </summary>
public class TcpPivotStopStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;

	private decimal _pivot;
	private decimal _res1, _sup1;
	private decimal _prevClose;
	private decimal _prevHigh;
	private decimal _prevLow;
	private int _barCount;

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

	public TcpPivotStopStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time frame", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_pivot = _res1 = _sup1 = 0;
		_prevClose = _prevHigh = _prevLow = 0;
		_barCount = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		SubscribeCandles(CandleType).Bind(ProcessCandle).Start();
	}

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

		_barCount++;

		// Recalculate pivot every 12 bars (~2 days for 4h candles)
		if (_barCount % 12 == 0 && _prevHigh > 0)
		{
			_pivot = (_prevHigh + _prevLow + _prevClose) / 3m;
			_res1 = 2m * _pivot - _prevLow;
			_sup1 = 2m * _pivot - _prevHigh;
		}

		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;

		var close = candle.ClosePrice;

		if (_pivot > 0 && _prevClose > 0)
		{
			// Cross above pivot => long
			if (_prevClose <= _pivot && close > _pivot && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			// Cross below pivot => short
			else if (_prevClose >= _pivot && close < _pivot && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
			// Exit long at resistance or support
			else if (Position > 0 && (close >= _res1 || close <= _sup1))
			{
				SellMarket();
			}
			// Exit short at support or resistance
			else if (Position < 0 && (close <= _sup1 || close >= _res1))
			{
				BuyMarket();
			}
		}

		_prevClose = close;
	}
}