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SAW System 1 Strategy

This breakout strategy places stop orders at the start of each trading day. It measures the average daily range over a configurable number of days and uses that value to derive stop-loss and take-profit levels. Orders are positioned on both sides of the current price and only one side is expected to trigger.

At the specified OpenHour the strategy calculates buy and sell stop prices at half of the stop-loss distance from the current market price. The stop-loss and take-profit levels are defined as percentages of the average range. When one stop order is filled the opposite order can either be cancelled or kept for position reversal. An optional martingale feature multiplies the volume of the remaining order after a fill.

Any pending entry orders that remain unfilled by CloseHour are removed to avoid overnight exposure. After an entry the strategy immediately places protective stop-loss and take-profit orders relative to the fill price.

Details

  • Entry Criteria:
    • Calculate average daily range using an ATR over VolatilityDays days.
    • Compute stop-loss and take-profit distances as StopLossRate and TakeProfitRate percent of that range.
    • At OpenHour place buy and sell stop orders offset = stopLoss/2 away from market price.
  • Exit Criteria:
    • Protective stop-loss and take-profit orders close positions.
    • Pending entry orders are cancelled at CloseHour.
  • Reverse Mode:
    • If Reverse is true the opposite stop order remains to reverse the position.
    • If UseMartingale is also true the remaining order is re-registered with volume multiplied by MartingaleMultiplier.
  • Long/Short: Both directions.
  • Stops: Fixed stop-loss and take-profit based on daily range.
  • Default Values:
    • VolatilityDays = 5
    • OpenHour = 7
    • CloseHour = 10
    • StopLossRate = 15%
    • TakeProfitRate = 30%
    • Reverse = false
    • UseMartingale = false
    • MartingaleMultiplier = 2.0

This approach attempts to capture breakouts after quiet overnight sessions while limiting risk through volatility-adjusted targets.

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>
/// SAW System breakout strategy.
/// Uses ATR to calculate volatility range, then enters on breakout above/below
/// the open price offset by a fraction of ATR.
/// </summary>
public class SawSystem1Strategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _breakoutMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevAtr;
	private decimal _sessionOpen;
	private bool _traded;
	private DateTime _currentDate;

	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	public decimal BreakoutMultiplier
	{
		get => _breakoutMultiplier.Value;
		set => _breakoutMultiplier.Value = value;
	}

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

	public SawSystem1Strategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators");

		_breakoutMultiplier = Param(nameof(BreakoutMultiplier), 0.5m)
			.SetDisplay("Breakout Multiplier", "Fraction of ATR for breakout offset", "Parameters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevAtr = null;
		_sessionOpen = 0;
		_traded = false;
		_currentDate = default;
	}

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

		_prevAtr = null;
		_sessionOpen = 0;
		_traded = false;
		_currentDate = default;

		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(atr, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var date = candle.OpenTime.Date;

		// New day: record open price and reset
		if (date != _currentDate)
		{
			_currentDate = date;
			_sessionOpen = candle.OpenPrice;
			_traded = false;

			// Close any open position at start of new day
			if (Position > 0)
				SellMarket();
			else if (Position < 0)
				BuyMarket();

			_prevAtr = atrValue;
			return;
		}

		if (_traded || _prevAtr is null || _sessionOpen == 0)
		{
			_prevAtr = atrValue;
			return;
		}

		var offset = _prevAtr.Value * BreakoutMultiplier;
		var upperBreak = _sessionOpen + offset;
		var lowerBreak = _sessionOpen - offset;

		if (candle.ClosePrice > upperBreak && Position <= 0)
		{
			BuyMarket();
			_traded = true;
		}
		else if (candle.ClosePrice < lowerBreak && Position >= 0)
		{
			SellMarket();
			_traded = true;
		}

		_prevAtr = atrValue;
	}
}