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JS MA SAR Trades Strategy

JS MA SAR Trades converts the MetaTrader 5 expert "JS MA SAR Trades" into the StockSharp high-level API. The strategy looks for higher swing lows or lower swing highs detected via a ZigZag-style filter, confirms momentum with two moving averages, and then enters in the direction of a Parabolic SAR breakout. Positions are protected with classic stops, optional trailing stops and an explicit trading session filter.

Logic Overview

  1. Swing structure – Highest/Lowest indicators with the configured depth approximate the original ZigZag. The two most recent swing lows and highs are tracked. A long setup requires the latest low to be higher than the previous one (ascending structure), while a short setup requires the latest high to be lower than the previous one (descending structure). A deviation filter (in pips) and a minimum backstep (bars between pivots) prevent noise pivots from being accepted.
  2. Moving average confirmation – Both moving averages use the same smoothing type and applied price as the MT5 version, including optional positive shifts (bars to the right). A long signal needs the shifted fast MA to stay above the shifted slow MA; a short signal requires the opposite relation.
  3. Parabolic SAR trigger – Once the swing and moving average conditions are satisfied, the trade is executed only if the candle closes beyond the Parabolic SAR level: close above SAR for longs and close below for shorts. SAR flips to the other side close all existing positions even outside the entry window.
  4. Risk management – Stop-loss and take-profit levels are computed in pips (converted through the instrument price step). The optional trailing stop mimics the MT5 logic: the stop is shifted only after the price has moved by the configured trailing stop plus trailing step distance from the entry price.
  5. Session filter – When enabled, orders are allowed only between the specified start and end hours (inclusive). Protective exits (stop/take/trailing and SAR reversal) are still evaluated on every finished candle.

Entry and Exit Rules

  • Long entry: higher swing low, Parabolic SAR below the close, fast MA (with shift) above slow MA, and close within the trading window. The strategy buys OrderVolume + |Position| to close shorts and open the long position.
  • Short entry: lower swing high, Parabolic SAR above the close, fast MA (with shift) below slow MA, and time filter satisfied.
  • Long exit:
    • Close price crosses below Parabolic SAR;
    • Stop-loss, trailing stop, or take-profit level is hit.
  • Short exit:
    • Close price crosses above Parabolic SAR;
    • Stop-loss, trailing stop, or take-profit level is hit.

Parameters

Parameter Default Description
OrderVolume 1 Base order size used for new entries; the strategy adds the absolute current position to reverse instantly.
StopLossPips 50 Distance in pips between entry price and stop-loss. Set to 0 to disable.
TakeProfitPips 50 Distance in pips between entry price and take-profit. Set to 0 to disable.
TrailingStopPips 5 Trailing stop distance in pips. Works together with TrailingStepPips.
TrailingStepPips 5 Extra distance the price must travel (in pips) before the trailing stop is tightened. Must be positive when trailing is enabled.
UseTimeFilter true Enable the start/end hour filter for new entries.
StartHour 19 Beginning of the trading window (inclusive, exchange time).
EndHour 22 End of the trading window (inclusive).
FastMaPeriod 55 Period of the fast moving average.
FastMaShift 3 Forward shift (in bars) applied to the fast moving average values.
SlowMaPeriod 120 Period of the slow moving average.
SlowMaShift 0 Forward shift (in bars) for the slow moving average.
MaType Smoothed Moving average smoothing method (Simple, Exponential, Smoothed, Weighted).
AppliedPrice Median Price source for both moving averages (Close, Open, High, Low, Median, Typical, Weighted).
SarStep 0.02 Initial acceleration factor of the Parabolic SAR.
SarMax 0.2 Maximum acceleration factor of the Parabolic SAR.
ZigZagDepth 12 Lookback window (bars) for swing detection.
ZigZagDeviation 5 Minimum swing size measured in pips to accept a new pivot.
ZigZagBackstep 3 Minimum number of bars between consecutive pivots of the same type.
CandleType H1 Trading timeframe for candle subscription.

Notes

  • The strategy keeps the protective logic active even outside the entry window, ensuring stops and SAR flips are honoured.
  • The trailing stop reproduces the MT5 implementation: once price advances by TrailingStop + TrailingStep, the stop is moved to Close - TrailingStop for longs (mirrored for shorts).
  • Moving averages are evaluated on the selected applied price; shifting emulates the MT5 indicator offset.
  • Make sure the instrument has a valid PriceStep, otherwise pip-based distances are skipped.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// JS MA SAR Trades strategy. Uses EMA crossover (8/21).
/// </summary>
public class JsMaSarTradesStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private decimal? _prevFast;
	private decimal? _prevSlow;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }

	public JsMaSarTradesStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_fastPeriod = Param(nameof(FastPeriod), 8).SetGreaterThanZero().SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowPeriod = Param(nameof(SlowPeriod), 21).SetGreaterThanZero().SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = null;
		_prevSlow = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = null; _prevSlow = null;
		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fast); DrawIndicator(area, slow); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevFast = fast; _prevSlow = slow; return; }
		if (_prevFast == null || _prevSlow == null) { _prevFast = fast; _prevSlow = slow; return; }
		var prevAbove = _prevFast.Value > _prevSlow.Value;
		var currAbove = fast > slow;
		_prevFast = fast; _prevSlow = slow;
		if (!prevAbove && currAbove && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (prevAbove && !currAbove && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
	}
}