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Exp Slow Stoch Duplex Strategy

This strategy is a StockSharp high-level port of the MetaTrader 5 expert advisor Exp_Slow-Stoch_Duplex. It combines two slow stochastic oscillators that work on independent timeframes to generate coordinated long and short signals. Each oscillator delivers its own crossover signals, allowing the strategy to open or close directional positions while the protective orders emulate the original stop-loss and take-profit management.

Trading rules

  • Long module
    • Evaluate the long stochastic on the LongCandleType timeframe.
    • Apply the configured smoothing method to the %K and %D values and shift them by LongSignalBar bars.
    • Open a long position when %K crosses above %D (previousK <= previousD and currentK > currentD).
    • Close an existing long position when %K moves back below %D (currentK < currentD).
  • Short module
    • Evaluate the short stochastic on the ShortCandleType timeframe.
    • Open a short position when %K crosses below %D (previousK >= previousD and currentK < currentD).
    • Close an existing short position when %K moves back above %D (currentK > currentD).
  • Orders are executed with market orders. The submitted volume equals TradeVolume plus the absolute value of the current position so that reversals flatten the previous exposure first.
  • A protective take-profit and stop-loss in price points are attached via StartProtection to mimic MT5 order parameters.

Parameters

Parameter Type Default Description
LongCandleType DataType 8-hour candles Timeframe for the long stochastic oscillator.
LongKPeriod int 5 %K calculation period for the long stochastic.
LongDPeriod int 3 %D smoothing period for the long stochastic.
LongSlowing int 3 Additional slowing applied inside the stochastic calculation.
LongSignalBar int 1 Number of closed bars used to evaluate the crossover.
LongSmoothingMethod SmoothingMethod Smoothed Secondary smoothing applied to %K and %D (None, Simple, Exponential, Smoothed, Weighted).
LongSmoothingLength int 5 Length of the secondary smoothing filter for the long oscillator.
LongEnableOpen bool true Allow the strategy to open long positions.
LongEnableClose bool true Allow the strategy to close long positions.
ShortCandleType DataType 8-hour candles Timeframe for the short stochastic oscillator.
ShortKPeriod int 5 %K calculation period for the short stochastic.
ShortDPeriod int 3 %D smoothing period for the short stochastic.
ShortSlowing int 3 Additional slowing applied inside the stochastic calculation.
ShortSignalBar int 1 Number of closed bars used to evaluate the short crossover.
ShortSmoothingMethod SmoothingMethod Smoothed Secondary smoothing applied to the short %K and %D values.
ShortSmoothingLength int 5 Length of the secondary smoothing filter for the short oscillator.
ShortEnableOpen bool true Allow the strategy to open short positions.
ShortEnableClose bool true Allow the strategy to close short positions.
TradeVolume decimal 0.1 Base volume for position entries.
TakeProfitPoints decimal 2000 Take-profit distance expressed in price points.
StopLossPoints decimal 1000 Stop-loss distance expressed in price points.

Notes

  • The additional SmoothingMethod mimics the optional JJMA-based smoothing from the original indicator using the standard moving averages available in StockSharp. Choose None to disable this stage if exact replication is not required.
  • The long and short modules are independent; you can enable or disable either side using the corresponding boolean flags.
  • Because StockSharp operates with net positions, the strategy always closes the opposite exposure when a new signal reverses the direction.
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>
/// Slow Stochastic Duplex strategy using EMA crossover.
/// Buys when fast EMA crosses above slow EMA, sells on reverse.
/// </summary>
public class ExpSlowStochDuplexStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public ExpSlowStochDuplexStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}