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Candle Shadow Percent Strategy

Overview

The Candle Shadow Percent Strategy is a direct port of the MetaTrader expert advisor Candle shadow percent. It searches for candles where the upper or lower wick reaches a configurable percentage of the candle body. When a tall upper wick appears the strategy opens a short position; when a deep lower wick appears it opens a long position. The trade direction is aligned with the original algorithm and keeps the risk management workflow intact.

Conversion Notes

  • The original expert depended on a custom indicator. In the StockSharp version the wick and body proportions are calculated directly from finished candles, so there are no external indicator dependencies.
  • Pip values are derived from Security.PriceStep. Adjust StopLossPips, TakeProfitPips, and MinBodyPips to match the instrument tick size.
  • Risk-based position sizing mirrors the MetaTrader CMoneyFixedMargin logic by risking a percentage of the current portfolio value against the configured stop-loss distance.

Candle Qualification

A candle is considered for trading when:

  1. Its absolute body size is at least MinBodyPips * Security.PriceStep.
  2. The corresponding wick is positive.
  3. The wick-to-body ratio satisfies the selected threshold logic:
    • Upper wick (sell setup): (High − max(Open, Close)) / Body * 100 is greater than or equal to TopShadowPercent when TopShadowIsMinimum = true, otherwise it must be less than or equal to that value.
    • Lower wick (buy setup): (min(Open, Close) − Low) / Body * 100 is greater than or equal to LowerShadowPercent when LowerShadowIsMinimum = true, otherwise it must be less than or equal to that value.
  4. When both wicks satisfy their thresholds in the same candle, the strategy keeps only the side with the larger wick ratio to avoid double signals.

Entry Rules

  • Short entry – triggered on a valid upper wick signal while the strategy is flat or long. The strategy reverses existing long exposure if required and sets the protective orders immediately.
  • Long entry – triggered on a valid lower wick signal while the strategy is flat or short. Existing short exposure is closed automatically before establishing the new long position.

Exit Rules

  • Stop-loss – placed at StopLossPips * Security.PriceStep away from the entry price. Long positions use entry − stopDistance; short positions use entry + stopDistance.
  • Take-profit – optional target located at TakeProfitPips * Security.PriceStep from entry. When TakeProfitPips = 0 the target is disabled and positions rely solely on the stop-loss or opposite signal to exit.
  • The strategy monitors completed candles. If a candle range touches the stop or target, the position is closed on the next processing cycle.

Position Sizing

  • Risk per trade is calculated as Portfolio.CurrentValue * (RiskPercent / 100). If the portfolio value is unavailable the strategy falls back to the configured strategy volume.
  • Quantity equals the risk amount divided by the stop-loss distance. When reversing, the algorithm adds the absolute size of the current exposure to ensure a full reversal, matching the behaviour of the original MetaTrader expert.

Parameters

Parameter Description
CandleType Timeframe or data type used for candle subscriptions.
StopLossPips Stop-loss distance expressed in pips/ticks relative to the instrument. Must be greater than zero.
TakeProfitPips Take-profit distance in pips/ticks. Use zero to disable the target.
RiskPercent Percentage of portfolio value risked per trade.
MinBodyPips Minimum candle body size (in pips/ticks) required before evaluating wick ratios.
EnableTopShadow Enables short signals based on upper shadow length.
TopShadowPercent Threshold percentage for the upper wick-to-body ratio.
TopShadowIsMinimum When true, the ratio must be greater than or equal to the threshold; when false, it must be less than or equal to it.
EnableLowerShadow Enables long signals based on lower shadow length.
LowerShadowPercent Threshold percentage for the lower wick-to-body ratio.
LowerShadowIsMinimum Controls whether the lower wick threshold is treated as a minimum or maximum condition.

Usage Tips

  • Start with a timeframe similar to the original EA (e.g., 5-minute candles) and adjust pip distances for your instrument.
  • Increase MinBodyPips if noise produces too many signals; decrease it to catch smaller reversals.
  • Combine the strategy with additional filters (such as trend indicators) by extending the class—bindings for extra indicators can be added inside OnStarted.
  • Always validate tick size interpretation on a demo portfolio before deploying to production.
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>
/// Candle shadow percent strategy converted from MetaTrader.
/// Trades when a candle shows an extended wick compared to its body.
/// Position size is derived from risk percentage and stop distance.
/// </summary>
public class CandleShadowPercentStrategy : Strategy
{
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<decimal> _riskPercent;
	private readonly StrategyParam<int> _minBodyPips;
	private readonly StrategyParam<bool> _enableTopShadow;
	private readonly StrategyParam<decimal> _topShadowPercent;
	private readonly StrategyParam<bool> _topShadowIsMinimum;
	private readonly StrategyParam<bool> _enableLowerShadow;
	private readonly StrategyParam<decimal> _lowerShadowPercent;
	private readonly StrategyParam<bool> _lowerShadowIsMinimum;
	private readonly StrategyParam<DataType> _candleType;
	
	private decimal? _longStop;
	private decimal? _longTake;
	private decimal? _shortStop;
	private decimal? _shortTake;
	private decimal? _entryPrice;
	
	/// <summary>
	/// Stop loss in pips.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}
	
	/// <summary>
	/// Take profit in pips.
	/// </summary>
	public int TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}
	
	/// <summary>
	/// Risk percentage per trade.
	/// </summary>
	public decimal RiskPercent
	{
		get => _riskPercent.Value;
		set => _riskPercent.Value = value;
	}
	
	/// <summary>
	/// Minimum body size in pips to evaluate shadows.
	/// </summary>
	public int MinBodyPips
	{
		get => _minBodyPips.Value;
		set => _minBodyPips.Value = value;
	}
	
	/// <summary>
	/// Enables signals based on the top shadow.
	/// </summary>
	public bool EnableTopShadow
	{
		get => _enableTopShadow.Value;
		set => _enableTopShadow.Value = value;
	}
	
	/// <summary>
	/// Threshold for the top shadow as a percentage of the body.
	/// </summary>
	public decimal TopShadowPercent
	{
		get => _topShadowPercent.Value;
		set => _topShadowPercent.Value = value;
	}
	
	/// <summary>
	/// If true the top shadow percentage acts as a minimum threshold.
	/// </summary>
	public bool TopShadowIsMinimum
	{
		get => _topShadowIsMinimum.Value;
		set => _topShadowIsMinimum.Value = value;
	}
	
	/// <summary>
	/// Enables signals based on the lower shadow.
	/// </summary>
	public bool EnableLowerShadow
	{
		get => _enableLowerShadow.Value;
		set => _enableLowerShadow.Value = value;
	}
	
	/// <summary>
	/// Threshold for the lower shadow as a percentage of the body.
	/// </summary>
	public decimal LowerShadowPercent
	{
		get => _lowerShadowPercent.Value;
		set => _lowerShadowPercent.Value = value;
	}
	
	/// <summary>
	/// If true the lower shadow percentage acts as a minimum threshold.
	/// </summary>
	public bool LowerShadowIsMinimum
	{
		get => _lowerShadowIsMinimum.Value;
		set => _lowerShadowIsMinimum.Value = value;
	}
	
	/// <summary>
	/// Candle type used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Initializes a new instance of the <see cref="CandleShadowPercentStrategy"/>.
	/// </summary>
	public CandleShadowPercentStrategy()
	{
		_stopLossPips = Param(nameof(StopLossPips), 50)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop loss distance in pips", "Risk")
			;
		
		_takeProfitPips = Param(nameof(TakeProfitPips), 50)
			.SetNotNegative()
			.SetDisplay("Take Profit", "Take profit distance in pips", "Risk")
			;
		
		_riskPercent = Param(nameof(RiskPercent), 5m)
			.SetGreaterThanZero()
			.SetDisplay("Risk %", "Risk percentage per trade", "Risk")
			;
		
		_minBodyPips = Param(nameof(MinBodyPips), 300)
			.SetGreaterThanZero()
			.SetDisplay("Minimum Body", "Minimum candle body size in pips", "Pattern")
			;
		
		_enableTopShadow = Param(nameof(EnableTopShadow), true)
			.SetDisplay("Use Top Shadow", "Enable sell signals from upper wicks", "Pattern");
		
		_topShadowPercent = Param(nameof(TopShadowPercent), 30m)
			.SetNotNegative()
			.SetDisplay("Top Shadow %", "Upper wick percentage threshold", "Pattern")
			;
		
		_topShadowIsMinimum = Param(nameof(TopShadowIsMinimum), true)
			.SetDisplay("Top Shadow Uses Min", "If true the threshold is treated as a minimum", "Pattern");
		
		_enableLowerShadow = Param(nameof(EnableLowerShadow), true)
			.SetDisplay("Use Lower Shadow", "Enable buy signals from lower wicks", "Pattern");
		
		_lowerShadowPercent = Param(nameof(LowerShadowPercent), 80m)
			.SetNotNegative()
			.SetDisplay("Lower Shadow %", "Lower wick percentage threshold", "Pattern")
			;
		
		_lowerShadowIsMinimum = Param(nameof(LowerShadowIsMinimum), true)
			.SetDisplay("Lower Shadow Uses Min", "If true the threshold is treated as a minimum", "Pattern");
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for pattern detection", "Data");
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		
		_longStop = null;
		_longTake = null;
		_shortStop = null;
		_shortTake = null;
		_entryPrice = null;
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();
		
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;
		
		ManageOpenPosition(candle);
		
		var pipSize = GetPipSize();
		var minBody = MinBodyPips * pipSize;
		
		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		if (body < minBody || body <= 0m)
			return;
		
		var upperShadow = candle.HighPrice - Math.Max(candle.OpenPrice, candle.ClosePrice);
		var lowerShadow = Math.Min(candle.OpenPrice, candle.ClosePrice) - candle.LowPrice;
		
		var topRatio = body > 0m ? upperShadow / body * 100m : 0m;
		var lowerRatio = body > 0m ? lowerShadow / body * 100m : 0m;
		
		var topSignal = EnableTopShadow && upperShadow > 0m && CheckThreshold(topRatio, TopShadowPercent, TopShadowIsMinimum);
		var lowerSignal = EnableLowerShadow && lowerShadow > 0m && CheckThreshold(lowerRatio, LowerShadowPercent, LowerShadowIsMinimum);
		
		if (topSignal && lowerSignal)
		{
			if (topRatio > lowerRatio)
				lowerSignal = false;
			else
				topSignal = false;
		}
		
		if (topSignal && Position <= 0)
		{
			EnterShort(candle, pipSize);
		}
		else if (lowerSignal && Position >= 0)
		{
			EnterLong(candle, pipSize);
		}
	}
	
	private void ManageOpenPosition(ICandleMessage candle)
	{
		if (Position > 0)
		{
			var stopHit = _longStop.HasValue && candle.LowPrice <= _longStop.Value;
			var takeHit = _longTake.HasValue && candle.HighPrice >= _longTake.Value;
			
			if (stopHit || takeHit)
			{
				SellMarket();
				this.LogInfo($"Closing long at {candle.ClosePrice}. Stop hit: {stopHit}, Take hit: {takeHit}");
				_longStop = null;
				_longTake = null;
				_entryPrice = null;
			}
		}
		else if (Position < 0)
		{
			var stopHit = _shortStop.HasValue && candle.HighPrice >= _shortStop.Value;
			var takeHit = _shortTake.HasValue && candle.LowPrice <= _shortTake.Value;
			
			if (stopHit || takeHit)
			{
				BuyMarket();
				this.LogInfo($"Closing short at {candle.ClosePrice}. Stop hit: {stopHit}, Take hit: {takeHit}");
				_shortStop = null;
				_shortTake = null;
				_entryPrice = null;
			}
		}
	}
	
	private void EnterLong(ICandleMessage candle, decimal pipSize)
	{
		var stopDistance = StopLossPips * pipSize;
		if (stopDistance <= 0m)
			return;

		var takeDistance = TakeProfitPips * pipSize;

		var entryPrice = candle.ClosePrice;
		var stopPrice = entryPrice - stopDistance;
		var takePrice = takeDistance > 0m ? entryPrice + takeDistance : (decimal?)null;

		BuyMarket();

		_longStop = stopPrice;
		_longTake = takePrice;
		_shortStop = null;
		_shortTake = null;
		_entryPrice = entryPrice;

		this.LogInfo($"Entered long at {entryPrice}. Stop {stopPrice}, Take {(takePrice.HasValue ? takePrice.Value.ToString() : "n/a")}");
	}
	
	private void EnterShort(ICandleMessage candle, decimal pipSize)
	{
		var stopDistance = StopLossPips * pipSize;
		if (stopDistance <= 0m)
			return;

		var takeDistance = TakeProfitPips * pipSize;

		var entryPrice = candle.ClosePrice;
		var stopPrice = entryPrice + stopDistance;
		var takePrice = takeDistance > 0m ? entryPrice - takeDistance : (decimal?)null;

		SellMarket();

		_shortStop = stopPrice;
		_shortTake = takePrice;
		_longStop = null;
		_longTake = null;
		_entryPrice = entryPrice;

		this.LogInfo($"Entered short at {entryPrice}. Stop {stopPrice}, Take {(takePrice.HasValue ? takePrice.Value.ToString() : "n/a")}");
	}
	
	private decimal CalculatePositionSize(decimal stopDistance)
	{
		var defaultVolume = Volume > 0m ? Volume : 1m;
		
		var portfolioValue = Portfolio?.CurrentValue ?? Portfolio?.BeginValue ?? 0m;
		if (portfolioValue <= 0m)
			return defaultVolume;

		var riskAmount = portfolioValue * (RiskPercent / 100m);
		if (riskAmount <= 0m || stopDistance <= 0m)
			return defaultVolume;
		
		var size = riskAmount / stopDistance;
		return size > 0m ? size : defaultVolume;
	}
	
	private static bool CheckThreshold(decimal ratio, decimal threshold, bool isMinimum)
	{
		return isMinimum ? ratio >= threshold : ratio <= threshold;
	}
	
	private decimal GetPipSize()
	{
		return Security?.PriceStep ?? 1m;
	}
}