日本語 JA
GitHub で見る

KlPrice Reversal Strategy

This strategy is a C# conversion of the original MQL5 expert exp_i-KlPrice.mq5. It implements a reversal system based on a normalized price oscillator. The oscillator compares the current price to a smoothed price band derived from a moving average and the average true range (ATR). Crossing predefined boundaries generates trading signals.

How It Works

  1. A simple moving average (SMA) smooths the closing price.

  2. An Average True Range (ATR) estimates market volatility.

  3. The oscillator is calculated as:

    jres = 100 * (Close - (SMA - ATR)) / (2 * ATR) - 50

  4. The oscillator value is mapped to five color zones:

    • 4 – above the upper level
    • 3 – between zero and the upper level
    • 2 – between the upper and lower levels
    • 1 – between the lower level and zero
    • 0 – below the lower level

  5. A long position opens when the oscillator leaves zone 4. A short position opens when it leaves zone 0. Existing positions close when the oscillator crosses zero.

Parameters

Name Description
CandleType Time frame for price data.
PriceMaLength SMA period for price smoothing.
AtrLength ATR period used to compute the price band.
UpLevel Upper threshold of the oscillator.
DownLevel Lower threshold of the oscillator.
EnableBuy Allow opening long positions.
EnableSell Allow opening short positions.

Usage

  1. Create an instance of KlPriceReversalStrategy.
  2. Set desired parameters.
  3. Attach the strategy to a portfolio and security.
  4. Start the strategy to receive signals and place orders.

The strategy uses market orders via BuyMarket and SellMarket. Position protection is activated through StartProtection().

Notes

  • The implementation approximates the original MQL indicator by using built-in StockSharp indicators (SimpleMovingAverage and AverageTrueRange).
  • All calculations are performed on finished candles only.
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>
/// KlPrice reversal strategy.
/// Calculates a normalized oscillator based on price position relative to EMA and ATR.
/// Buys when leaving overbought zone, sells when leaving oversold zone.
/// </summary>
public class KlPriceReversalStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _priceMaLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _upLevel;
	private readonly StrategyParam<decimal> _downLevel;

	private decimal _prevColor;
	private bool _isFirst;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int PriceMaLength { get => _priceMaLength.Value; set => _priceMaLength.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	public decimal UpLevel { get => _upLevel.Value; set => _upLevel.Value = value; }
	public decimal DownLevel { get => _downLevel.Value; set => _downLevel.Value = value; }

	public KlPriceReversalStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Time frame for calculations", "General");

		_priceMaLength = Param(nameof(PriceMaLength), 100)
			.SetGreaterThanZero()
			.SetDisplay("Price MA Length", "EMA period for price smoothing", "Parameters");

		_atrLength = Param(nameof(AtrLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period for range estimation", "Parameters");

		_upLevel = Param(nameof(UpLevel), 50m)
			.SetDisplay("Upper Level", "Upper threshold for signals", "Parameters");

		_downLevel = Param(nameof(DownLevel), -50m)
			.SetDisplay("Lower Level", "Lower threshold for signals", "Parameters");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevColor = 2m;
		_isFirst = true;
	}

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

		_isFirst = true;
		_prevColor = 2m;

		var priceMa = new ExponentialMovingAverage { Length = PriceMaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(priceMa, atr, ProcessCandle)
			.Start();
	}

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

		if (!maValue.IsFormed || !atrValue.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var ma = maValue.ToDecimal();
		var tr = atrValue.ToDecimal();
		if (tr == 0m)
			return;

		var dwband = ma - tr;
		var jres = 100m * (candle.ClosePrice - dwband) / (2m * tr) - 50m;

		var color = 2m;
		if (jres > UpLevel)
			color = 4m;
		else if (jres > 0m)
			color = 3m;

		if (jres < DownLevel)
			color = 0m;
		else if (jres < 0m)
			color = 1m;

		if (!_isFirst)
		{
			// Buy: leaving overbought (was 4, now < 4)
			if (_prevColor == 4m && color < 4m && Position <= 0)
			{
				if (Position < 0) BuyMarket();
				BuyMarket();
			}
			// Sell: leaving oversold (was 0, now > 0)
			else if (_prevColor == 0m && color > 0m && Position >= 0)
			{
				if (Position > 0) SellMarket();
				SellMarket();
			}
		}

		_prevColor = color;
		_isFirst = false;
	}
}