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LotScalp Strategy

This strategy opens a single trade each day at a specified hour based on the difference between past candle opens.

How It Works

  1. Waiting for Trade Time: The strategy monitors candle open times. Once the hour is greater than TradeTime, trading is allowed for the next occurrence of that hour.
  2. Signal Generation:
    • When the current hour equals TradeTime, the strategy compares the open price from t1 bars ago with the open price from t2 bars ago.
    • If the difference Open[t1] - Open[t2] exceeds DeltaShort points, a short position is opened.
    • If the difference Open[t2] - Open[t1] exceeds DeltaLong points, a long position is opened.
  3. Position Management:
    • For long positions, the strategy exits when price reaches TakeProfitLong above the entry or StopLossLong below it.
    • For short positions, it exits when price moves TakeProfitShort below or StopLossShort above the entry.
    • Positions are also closed if they remain open longer than MaxOpenTime hours.

The strategy trades with a fixed volume and does not enter new trades until the next day.

Parameters

Name Description
CandleType Candle source for the strategy.
Volume Order volume.
TakeProfitLong Take profit in points for long trades.
StopLossLong Stop loss in points for long trades.
TakeProfitShort Take profit in points for short trades.
StopLossShort Stop loss in points for short trades.
TradeTime Hour of the day when signals are evaluated.
T1 Number of bars back for the first open price.
T2 Number of bars back for the second open price.
DeltaLong Minimum difference (in points) between Open[t2] and Open[t1] to open a long trade.
DeltaShort Minimum difference (in points) between Open[t1] and Open[t2] to open a short trade.
MaxOpenTime Maximum holding time in hours.

Notes

  • Only finished candles are processed.
  • The strategy uses the instrument price step to convert point-based thresholds into absolute prices.
  • No additional indicators are used.
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>
/// Scalping strategy comparing past open prices with EMA trend filter.
/// </summary>
public class LotScalpStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevOpen;
	private decimal _prevPrevOpen;
	private int _barCount;

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

	public LotScalpStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period for trend", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle source", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevOpen = 0;
		_prevPrevOpen = 0;
		_barCount = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		SubscribeCandles(CandleType).Bind(ema, ProcessCandle).Start();
	}

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

		_barCount++;
		var close = candle.ClosePrice;
		var open = candle.OpenPrice;

		if (_barCount >= 3)
		{
			var diff = _prevPrevOpen - _prevOpen;

			// Open prices diverging downward + close above EMA => buy
			if (diff > 0 && close > emaValue && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			// Open prices diverging upward + close below EMA => sell
			else if (diff < 0 && close < emaValue && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}

		_prevPrevOpen = _prevOpen;
		_prevOpen = open;
	}
}