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Exp Spearman Rank Correlation Histogram Strategy

This StockSharp strategy ports the MetaTrader expert Exp_SpearmanRankCorrelation_Histogram. It subscribes to a configurable candle series, calculates the Spearman rank correlation histogram for each completed bar, and reacts when the color-coded state changes. Depending on the trade mode the algorithm can close opposite positions, reverse into a new trade, or wait for extreme values before acting.

Indicator pipeline

  1. A RankCorrelationIndex indicator (Spearman rank correlation scaled to ±100) is fed with candle closing prices. The lookback window is bounded by MaxRange and defaults to 14 bars.
  2. The raw correlation is normalised to the [-1, 1] interval. When InvertCorrelation is enabled the sign is flipped to emulate the MQL direction flag.
  3. The normalised value is compared with HighLevel and LowLevel to assign a colour state:
    • 4 – strong bullish zone (value > HighLevel).
    • 3 – moderate bullish zone (0 < value ≤ HighLevel).
    • 2 – neutral (value == 0).
    • 1 – moderate bearish zone (LowLevel ≤ value < 0).
    • 0 – strong bearish zone (value < LowLevel).
  4. The latest colours are stored in a series-style buffer so that index 0 represents the most recent closed candle, index 1 the previous one, and so on.

Trading workflow

  • Signals are evaluated only on finished candles (CandleStates.Finished).
  • The SignalBar parameter defines which completed bar is inspected (default one bar back). The strategy also looks at the immediately older bar, replicating the double-buffer lookup from the expert advisor.
  • Order toggles (AllowBuyEntries, AllowSellEntries, AllowBuyExits, AllowSellExits) decide whether long/short positions may be opened or closed.
  • Trade modes reproduce the MetaTrader switch:
    • Mode 1 – close the opposite position whenever the older colour is bullish/bearish (> 2 or < 2). If allowed, open in the new direction when the recent colour leaves the bullish (< 3) or bearish (> 1) zone.
    • Mode 2 – react only to extreme colours. Bullish extreme (4) lets the strategy close shorts and optionally open longs when the newer bar drops below 4. Bearish extreme (0) closes longs and can open shorts when the newer bar rises above 0.
    • Mode 3 – a stricter version of Mode 2: shorts are closed immediately on 4, longs on 0, and new trades are allowed under the same conditions as Mode 2.
  • CancelActiveOrders() is executed before sending new market orders to avoid stale requests.
  • Position reversals use the configured Volume plus the absolute current position so that the trade fully flips to the opposite side.
  • Optional StopLossPoints and TakeProfitPoints (price units) enable StartProtection based risk management; when left at 0 no protective orders are spawned.

Parameters

Parameter Description
CandleType Timeframe used for the indicator and trading decisions.
RangeLength Nominal Spearman lookback period (capped by MaxRange).
MaxRange Upper bound for the effective lookback length; falls back to 10 if set to 0.
HighLevel, LowLevel Thresholds that separate bullish and bearish histogram zones.
SignalBar Number of closed bars to skip before analysing the histogram.
InvertCorrelation Flips the histogram sign to match the MQL direction=false behaviour.
AllowBuyEntries, AllowSellEntries Enable opening long/short positions.
AllowBuyExits, AllowSellExits Enable automatic closure of existing long/short positions.
TradeMode Selects Mode 1, Mode 2, or Mode 3 logic from the original expert.
StopLossPoints, TakeProfitPoints Optional protective distances in absolute price units for StartProtection.
Volume (built-in) Base order size used when opening or reversing positions.

Differences from the MetaTrader expert

  • Money-management inputs (MM, MMMode) and slippage (Deviation_) are not replicated; position sizing relies on the standard Volume property and the broker configuration.
  • The MQL helper functions from TradeAlgorithms.mqh are replaced with direct BuyMarket/SellMarket calls after cancelling pending orders.
  • The CalculatedBars performance hint is unnecessary in StockSharp and has been omitted.
  • The direction flag is represented by InvertCorrelation, which simply mirrors the histogram sign.
  • Stop-loss and take-profit distances (StopLoss_, TakeProfit_) are interpreted as absolute price offsets when enabling StartProtection; no automatic point-to-price conversion is performed.
  • Signal times are handled at the candle close; there is no deferred scheduling to the next bar opening.

These adjustments follow the high-level StockSharp strategy guidelines while preserving the original signal logic.

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;

public class ExpSpearmanRankCorrelationHistogramStrategy : 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 ExpSpearmanRankCorrelationHistogramStrategy()
	{
		_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;
	}
}