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Daily BreakPoint Strategy

Overview

The Daily BreakPoint Strategy is a StockSharp port of the MetaTrader 5 expert advisor "Daily BreakPoint" (build 19498). The algorithm monitors the distance between the current price and the daily open. When the move from the daily open exceeds a configurable threshold and the previous candle meets strict body-size requirements, the strategy either enters in the direction of the breakout or reverses the existing exposure depending on the CloseBySignal flag.

The strategy works with two data streams at the same time:

  1. Intraday candles defined by the CandleType parameter for signal generation.
  2. Daily candles used to track the most recent session open price.

Trading Logic

  1. When a new intraday candle finishes, the strategy reads the latest daily open price and calculates the breakout levels using BreakPointPips (converted into absolute prices via the instrument tick size).
  2. The body size of the recently closed candle must be within the range [LastBarSizeMinPips, LastBarSizeMaxPips].
  3. Bullish setup
    • The candle must close above its open (Close > Open).
    • The close must be at least BreakPointPips above the daily open.
    • The breakout price (daily open + breakpoint) must lie inside the candle body.
    • If CloseBySignal = false, the strategy opens a long position. Otherwise, it closes any open long exposure and establishes a short position.
  4. Bearish setup mirrors the bullish case: a bearish candle whose close is at least BreakPointPips below the daily open and whose body contains the breakout level triggers either a short entry (CloseBySignal = false) or a reversal into a long position (CloseBySignal = true).
  5. Orders are sent as market orders using the configured OrderVolume. Position size is cumulative, so multiple signals can scale the position in either direction.

Risk Management

  • Stop Loss / Take Profit: Optional fixed targets defined in pips (StopLossPips, TakeProfitPips). When set to zero the corresponding level is disabled. The strategy evaluates candle highs and lows to detect hits.
  • Trailing Stop: Enabled when TrailingStopPips > 0. Once the open profit exceeds TrailingStopPips + TrailingStepPips, the stop is trailed behind the price by TrailingStopPips. The step parameter prevents frequent stop adjustments in flat markets.
  • All price distances are converted from pips using the instrument PriceStep. For 3- or 5-decimal quoting the pip equals ten price steps, replicating the original expert advisor behaviour.

Parameters

Name Description
OrderVolume Base volume used for every market order.
CloseBySignal If true, the strategy closes existing positions and opens the opposite direction when a breakout signal appears.
BreakPointPips Distance from the daily open required to confirm a breakout.
LastBarSizeMinPips / LastBarSizeMaxPips Minimum and maximum body size of the trigger candle.
TrailingStopPips Trailing stop distance. Set to 0 to disable trailing.
TrailingStepPips Additional move required before each trailing adjustment.
StopLossPips Optional fixed stop loss. 0 disables it.
TakeProfitPips Optional fixed take profit. 0 disables it.
CandleType Intraday candle series used for signal generation.

Usage Notes

  • The strategy automatically subscribes to both intraday and daily candles. Ensure that the data provider supports the requested time frames.
  • Because the logic evaluates finished candles, orders are submitted at the close price of the signal bar.
  • The pip conversion assumes Forex-style pricing. Review the defaults when applying the strategy to instruments with unconventional tick sizes.
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>
/// Daily breakout strategy that reacts to the distance from the daily open.
/// Converted from the MetaTrader Daily BreakPoint expert advisor.
/// </summary>
public class DailyBreakPointStrategy : Strategy
{
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<bool> _closeBySignal;
	private readonly StrategyParam<decimal> _breakPointPips;
	private readonly StrategyParam<decimal> _lastBarSizeMinPips;
	private readonly StrategyParam<decimal> _lastBarSizeMaxPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _currentDayOpen;
	private decimal? _longStopPrice;
	private decimal? _longTakePrice;
	private decimal? _shortStopPrice;
	private decimal? _shortTakePrice;
	private decimal? _longEntryPrice;
	private decimal? _shortEntryPrice;
	private decimal _pipSize;

	/// <summary>
	/// Order volume.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// Reverse the position when the opposite signal appears.
	/// </summary>
	public bool CloseBySignal
	{
		get => _closeBySignal.Value;
		set => _closeBySignal.Value = value;
	}

	/// <summary>
	/// Break distance from the daily open expressed in pips.
	/// </summary>
	public decimal BreakPointPips
	{
		get => _breakPointPips.Value;
		set => _breakPointPips.Value = value;
	}

	/// <summary>
	/// Minimum size of the previous bar body in pips.
	/// </summary>
	public decimal LastBarSizeMinPips
	{
		get => _lastBarSizeMinPips.Value;
		set => _lastBarSizeMinPips.Value = value;
	}

	/// <summary>
	/// Maximum size of the previous bar body in pips.
	/// </summary>
	public decimal LastBarSizeMaxPips
	{
		get => _lastBarSizeMaxPips.Value;
		set => _lastBarSizeMaxPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in pips.
	/// </summary>
	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Trailing stop step in pips.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Fixed stop loss in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Fixed take profit in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Intraday candle type used for signal calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="DailyBreakPointStrategy"/> class.
	/// </summary>
	public DailyBreakPointStrategy()
	{
		_orderVolume = Param(nameof(OrderVolume), 1m)
		.SetGreaterThanZero()
		.SetDisplay("Volume", "Default order volume", "General");

		_closeBySignal = Param(nameof(CloseBySignal), true)
		.SetDisplay("Close By Signal", "Reverse existing position on opposite signal", "General");

		_breakPointPips = Param(nameof(BreakPointPips), 5m)
		.SetGreaterThanZero()
		.SetDisplay("Break Point (pips)", "Distance from the daily open", "Signals");

		_lastBarSizeMinPips = Param(nameof(LastBarSizeMinPips), 1m)
		.SetGreaterThanZero()
		.SetDisplay("Last Bar Min (pips)", "Minimum body size of the previous bar", "Signals");

		_lastBarSizeMaxPips = Param(nameof(LastBarSizeMaxPips), 5000m)
		.SetGreaterThanZero()
		.SetDisplay("Last Bar Max (pips)", "Maximum body size of the previous bar", "Signals");

		_trailingStopPips = Param(nameof(TrailingStopPips), 2m)
		.SetDisplay("Trailing Stop (pips)", "Trailing stop distance", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 2m)
		.SetDisplay("Trailing Step (pips)", "Minimum move before trailing", "Risk");

		_stopLossPips = Param(nameof(StopLossPips), 0m)
		.SetDisplay("Stop Loss (pips)", "Fixed stop loss distance", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 30m)
		.SetDisplay("Take Profit (pips)", "Fixed take profit distance", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
		.SetDisplay("Candle Type", "Intraday candle series", "Data");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, TimeSpan.FromMinutes(5).TimeFrame())];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_currentDayOpen = null;
		_longStopPrice = null;
		_longTakePrice = null;
		_shortStopPrice = null;
		_shortTakePrice = null;
		_longEntryPrice = null;
		_shortEntryPrice = null;
		_pipSize = 0m;
	}

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

		Volume = OrderVolume;
		_pipSize = CalculatePipSize();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

		var intradaySubscription = SubscribeCandles(CandleType);
		intradaySubscription.Bind(ProcessCandle).Start();

		var dailySubscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		dailySubscription.Bind(ProcessDailyCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, intradaySubscription);
			DrawOwnTrades(area);
		}
	}

	private decimal CalculatePipSize()
	{
		var step = Security?.PriceStep ?? 0.0001m;
		if (step <= 0m)
		step = 0.0001m;

		var decimals = Security?.Decimals;
		if (decimals == 3 || decimals == 5)
		return step * 10m;

		return step;
	}

	private decimal NormalizePrice(decimal price)
	{
		var step = Security?.PriceStep;
		if (step is null || step.Value <= 0m)
		return price;

		var value = price / step.Value;
		var rounded = Math.Round(value, 0, MidpointRounding.AwayFromZero);
		return rounded * step.Value;
	}

	private void ProcessDailyCandle(ICandleMessage candle)
	{
		if (candle.State == CandleStates.Finished || candle.State == CandleStates.Active)
		_currentDayOpen = candle.OpenPrice;
	}

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

		Volume = OrderVolume;


		if (_pipSize <= 0m)
		_pipSize = CalculatePipSize();

		var dayOpen = _currentDayOpen;
		if (dayOpen is null)
		return;

		var breakOffset = BreakPointPips * _pipSize;
		var minBody = LastBarSizeMinPips * _pipSize;
		var maxBody = LastBarSizeMaxPips * _pipSize;
		var trailingStop = TrailingStopPips * _pipSize;
		var trailingStep = TrailingStepPips * _pipSize;
		var stopLossOffset = StopLossPips > 0m ? StopLossPips * _pipSize : 0m;
		var takeProfitOffset = TakeProfitPips > 0m ? TakeProfitPips * _pipSize : 0m;

		UpdateTrailing(candle, trailingStop, trailingStep);
		HandleRiskExits(candle);

		var bodySize = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		var minPrice = Math.Min(candle.OpenPrice, candle.ClosePrice);
		var maxPrice = Math.Max(candle.OpenPrice, candle.ClosePrice);

		var breakBuy = dayOpen.Value + breakOffset;
		var breakSell = dayOpen.Value - breakOffset;

		var bullishBody = candle.ClosePrice > candle.OpenPrice;
		var bearishBody = candle.ClosePrice < candle.OpenPrice;

		var bullishSignal = bullishBody && breakOffset > 0m &&
		candle.ClosePrice - dayOpen.Value >= breakOffset &&
		bodySize >= minBody &&
		(maxBody <= 0m || bodySize <= maxBody);

		var bearishSignal = bearishBody && breakOffset > 0m &&
		dayOpen.Value - candle.ClosePrice >= breakOffset &&
		bodySize >= minBody &&
		(maxBody <= 0m || bodySize <= maxBody);

		if (bullishSignal)
		{
			ExecuteBullishSignal(candle.ClosePrice, stopLossOffset, takeProfitOffset);
		}
		else if (bearishSignal)
		{
			ExecuteBearishSignal(candle.ClosePrice, stopLossOffset, takeProfitOffset);
		}
	}

	private void UpdateTrailing(ICandleMessage candle, decimal trailingStop, decimal trailingStep)
	{
		if (trailingStop <= 0m)
		return;

		if (Position > 0 && _longEntryPrice.HasValue)
		{
			var profit = candle.ClosePrice - _longEntryPrice.Value;
			if (profit > trailingStop + trailingStep)
			{
				var threshold = candle.ClosePrice - (trailingStop + trailingStep);
				if (!_longStopPrice.HasValue || _longStopPrice.Value < threshold)
				_longStopPrice = NormalizePrice(candle.ClosePrice - trailingStop);
			}
		}
		else if (Position < 0 && _shortEntryPrice.HasValue)
		{
			var profit = _shortEntryPrice.Value - candle.ClosePrice;
			if (profit > trailingStop + trailingStep)
			{
				var threshold = candle.ClosePrice + (trailingStop + trailingStep);
				if (!_shortStopPrice.HasValue || _shortStopPrice.Value > threshold || _shortStopPrice.Value == 0m)
				_shortStopPrice = NormalizePrice(candle.ClosePrice + trailingStop);
			}
		}
	}

	private void HandleRiskExits(ICandleMessage candle)
	{
		if (Position > 0)
		{
			var volume = Math.Abs(Position);
			if (volume > 0m && _longStopPrice.HasValue && candle.LowPrice <= _longStopPrice.Value)
			{
				SellMarket();
				ResetLongState();
				return;
			}

			if (volume > 0m && _longTakePrice.HasValue && candle.HighPrice >= _longTakePrice.Value)
			{
				SellMarket();
				ResetLongState();
			}
		}
		else if (Position < 0)
		{
			var volume = Math.Abs(Position);
			if (volume > 0m && _shortStopPrice.HasValue && candle.HighPrice >= _shortStopPrice.Value)
			{
				BuyMarket();
				ResetShortState();
				return;
			}

			if (volume > 0m && _shortTakePrice.HasValue && candle.LowPrice <= _shortTakePrice.Value)
			{
				BuyMarket();
				ResetShortState();
			}
		}
		else
		{
			ResetLongState();
			ResetShortState();
		}
	}

	private void ExecuteBullishSignal(decimal entryPrice, decimal stopLossOffset, decimal takeProfitOffset)
	{
		if (CloseBySignal)
		{
			if (Position > 0)
			{
				var volume = Math.Abs(Position);
				SellMarket();
			}

			ResetLongState();

			SellMarket();

			_shortEntryPrice = entryPrice;
			_shortStopPrice = stopLossOffset > 0m ? NormalizePrice(entryPrice + stopLossOffset) : null;
			_shortTakePrice = takeProfitOffset > 0m ? NormalizePrice(entryPrice - takeProfitOffset) : null;
		}
		else
		{
			BuyMarket();

			_longEntryPrice = entryPrice;
			_longStopPrice = stopLossOffset > 0m ? NormalizePrice(entryPrice - stopLossOffset) : null;
			_longTakePrice = takeProfitOffset > 0m ? NormalizePrice(entryPrice + takeProfitOffset) : null;
			ResetShortState();
		}
	}

	private void ExecuteBearishSignal(decimal entryPrice, decimal stopLossOffset, decimal takeProfitOffset)
	{
		if (CloseBySignal)
		{
			if (Position < 0)
			{
				var volume = Math.Abs(Position);
				BuyMarket();
			}

			ResetShortState();

			BuyMarket();

			_longEntryPrice = entryPrice;
			_longStopPrice = stopLossOffset > 0m ? NormalizePrice(entryPrice - stopLossOffset) : null;
			_longTakePrice = takeProfitOffset > 0m ? NormalizePrice(entryPrice + takeProfitOffset) : null;
		}
		else
		{
			SellMarket();

			_shortEntryPrice = entryPrice;
			_shortStopPrice = stopLossOffset > 0m ? NormalizePrice(entryPrice + stopLossOffset) : null;
			_shortTakePrice = takeProfitOffset > 0m ? NormalizePrice(entryPrice - takeProfitOffset) : null;
			ResetLongState();
		}
	}

	private void ResetLongState()
	{
		_longEntryPrice = null;
		_longStopPrice = null;
		_longTakePrice = null;
	}

	private void ResetShortState()
	{
		_shortEntryPrice = null;
		_shortStopPrice = null;
		_shortTakePrice = null;
	}
}