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Labouchere EA Strategy

This strategy combines a Stochastic Oscillator crossover with a Labouchere money management sequence. The Stochastic indicator generates signals when %K crosses %D. The Labouchere system adjusts trade volume after each closed position: losses append a new element equal to the sum of the first and last numbers in the sequence, while profits remove these elements.

Trades are taken only on finished candles. The sequence can optionally restart when all numbers are removed. A time filter allows trading within a specific intraday window, and opposite signals can close existing positions. Fixed stop-loss and take-profit levels (in price steps) are supported.

Details

  • Entry Criteria:
    • Long: %K crosses above %D.
    • Short: %K crosses below %D.
  • Long/Short: Both sides.
  • Exit Criteria:
    • Optional opposite signal exit.
    • Fixed stop-loss and take-profit (if set).
  • Stops: Yes.
  • Money Management: Labouchere sequence.
  • Default Values:
    • LotSequence = "0.01,0.02,0.01,0.02,0.01,0.01,0.01,0.01"
    • NewRecycle = true
    • StopLoss = 40
    • TakeProfit = 50
    • IsReversed = false
    • UseOppositeExit = false
    • UseWorkTime = false
    • StartTime = 00:00
    • StopTime = 24:00
    • KPeriod = 10
    • DPeriod = 190
  • Filters:
    • Category: Mixed
    • Direction: Both
    • Indicators: Stochastic Oscillator
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Labouchere betting system strategy using Stochastic oscillator for signals.
/// Adjusts position sizing based on the Labouchere sequence.
/// </summary>
public class LabouchereEaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;

	private decimal? _prevK;
	private decimal? _prevD;
	private decimal _entryPrice;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int KPeriod { get => _kPeriod.Value; set => _kPeriod.Value = value; }
	public int DPeriod { get => _dPeriod.Value; set => _dPeriod.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }

	public LabouchereEaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles used", "General");

		_kPeriod = Param(nameof(KPeriod), 10)
			.SetDisplay("K Period", "Stochastic %K period", "Indicator")
			.SetGreaterThanZero();

		_dPeriod = Param(nameof(DPeriod), 3)
			.SetDisplay("D Period", "Stochastic %D period", "Indicator")
			.SetGreaterThanZero();

		_stopLossPct = Param(nameof(StopLossPct), 1m)
			.SetDisplay("Stop Loss %", "Stop loss percent", "Risk")
			.SetGreaterThanZero();

		_takeProfitPct = Param(nameof(TakeProfitPct), 1.5m)
			.SetDisplay("Take Profit %", "Take profit percent", "Risk")
			.SetGreaterThanZero();
	}

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

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

		var stoch = new StochasticOscillator
		{
			K = { Length = KPeriod },
			D = { Length = DPeriod }
		};

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent));

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

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

		if (!stochValue.IsFinal || !stochValue.IsFormed)
			return;

		var stoch = (IStochasticOscillatorValue)stochValue;

		if (stoch.K is not decimal k || stoch.D is not decimal d)
			return;

		var signal = 0;

		if (_prevK.HasValue && _prevD.HasValue)
		{
			if (_prevK <= _prevD && k > d)
				signal = 1;
			else if (_prevK >= _prevD && k < d)
				signal = -1;
		}

		_prevK = k;
		_prevD = d;

		if (signal == 0)
			return;

		if (signal > 0 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_entryPrice = candle.ClosePrice;
		}
		else if (signal < 0 && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_entryPrice = candle.ClosePrice;
		}
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevK = null;
		_prevD = null;
		_entryPrice = 0m;
	}
}