日本語 JA
GitHub で見る

ROC Strategy

Overview

The ROC strategy is a StockSharp port of the MetaTrader expert advisor stored in MQL/26938/ROC.mq4. It operates on a single symbol and evaluates price action using a chain of linear weighted moving averages (LWMA), a custom rate-of-change (ROC) model, higher timeframe momentum and a monthly MACD filter. The original money management features such as break-even, pip-based trailing stops, equity protection and money denominated profit targets are preserved.

Entry logic

  1. The strategy subscribes to three data streams:
    • Primary trading candles defined by the CandleType property.
    • A higher timeframe for the 14-period momentum oscillator (selected automatically according to the trading timeframe).
    • Monthly candles for the MACD confirmation filter.
  2. On each finished trading candle the following conditions must be satisfied to open a position:
    • The custom ROC model must report an uptrend (Line4 < Line5) for buys or a downtrend (Line4 > Line5) for sells.
    • The fast LWMA calculated on typical price must trade above the slow LWMA for buys and below for sells.
    • Any of the last three momentum readings taken from the higher timeframe must exceed the configured buy or sell threshold (absolute deviation from 100).
    • The monthly MACD main line must stay above its signal line for buys and below for sells.
    • Position sizing respects the MaxTrades limit and optionally scales the next trade volume after consecutive losses when IncreaseFactor is greater than zero.

Exit logic

  • Classic stop-loss and take-profit orders are projected in MetaTrader points as soon as the position size changes.
  • The optional break-even block moves the protective stop to the entry price plus the configured offset once the trigger distance in points is reached.
  • Pip-based trailing stops tighten the stop value on every candle close.
  • Money management checks close the position when a currency target or percentage target is reached, and can trail floating profit by detecting pullbacks larger than StopLossMoney after the profit exceeds TakeProfitMoney.
  • An equity stop compares the floating drawdown with the highest recorded equity and liquidates the position when the allowed percentage is exceeded.
  • Setting ExitStrategy to true performs the emergency exit routine and closes the current position at market.

Parameters

Name Description
LotSize Base trade volume opened on each signal.
IncreaseFactor Recalculates the next volume after consecutive losing trades.
FastMaPeriod / SlowMaPeriod Length of the LWMA trend filters.
PeriodMa0, PeriodMa1, BarsV, AverBars, KCoefficient Define the custom ROC trend model.
MomentumBuyThreshold, MomentumSellThreshold Minimum absolute deviation from 100 used by the higher timeframe momentum filter.
StopLossSteps, TakeProfitSteps Initial protective distances expressed in MetaTrader points.
TrailingStopSteps Pip-based trailing stop.
UseBreakEven, BreakEvenTriggerSteps, BreakEvenOffsetSteps Configure the break-even module.
UseTpInMoney, TpInMoney, UseTpInPercent, TpInPercent Money and percent based take profit targets.
EnableMoneyTrailing, TakeProfitMoney, StopLossMoney Money trailing module parameters.
UseEquityStop, TotalEquityRisk Equity protection settings.
MaxTrades Maximum number of scale-ins per direction.
ExitStrategy Forces an immediate flat position when enabled.

Notes

  • The higher timeframe for the momentum indicator is automatically derived from the trading timeframe to match the original switch statement in the MetaTrader code.
  • All indicator calculations use the high level Bind API, therefore no manual data requests are required.
  • The strategy is netting-only: when a new long signal appears while holding shorts, the short exposure is closed first before entering long, mirroring the behaviour of the original EA on non-hedging accounts.
namespace StockSharp.Samples.Strategies;

using System;

using Ecng.Common;

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

/// <summary>
/// Rate of Change strategy: uses ROC indicator with WMA trend filter.
/// Buys when ROC crosses above zero and fast WMA > slow WMA.
/// Sells when ROC crosses below zero and fast WMA less than slow WMA.
/// </summary>
public class RocStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rocPeriod;
	private readonly StrategyParam<int> _fastMaPeriod;
	private readonly StrategyParam<int> _slowMaPeriod;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int RocPeriod
	{
		get => _rocPeriod.Value;
		set => _rocPeriod.Value = value;
	}

	public int FastMaPeriod
	{
		get => _fastMaPeriod.Value;
		set => _fastMaPeriod.Value = value;
	}

	public int SlowMaPeriod
	{
		get => _slowMaPeriod.Value;
		set => _slowMaPeriod.Value = value;
	}

	public RocStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_rocPeriod = Param(nameof(RocPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("ROC Period", "Rate of Change period", "Indicators");

		_fastMaPeriod = Param(nameof(FastMaPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast WMA", "Fast WMA period", "Indicators");

		_slowMaPeriod = Param(nameof(SlowMaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slow WMA", "Slow WMA period", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var roc = new RateOfChange { Length = RocPeriod };
		var fastMa = new WeightedMovingAverage { Length = FastMaPeriod };
		var slowMa = new WeightedMovingAverage { Length = SlowMaPeriod };

		decimal? prevRoc = null;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(roc, fastMa, slowMa, (candle, rocVal, fastMaVal, slowMaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!IsFormedAndOnlineAndAllowTrading())
					return;

				if (prevRoc.HasValue)
				{
					if (prevRoc.Value <= 0 && rocVal > 0 && fastMaVal > slowMaVal && Position <= 0)
						BuyMarket();
					else if (prevRoc.Value >= 0 && rocVal < 0 && fastMaVal < slowMaVal && Position >= 0)
						SellMarket();
				}

				prevRoc = rocVal;
			})
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, fastMa);
			DrawIndicator(area, slowMa);
			DrawOwnTrades(area);
		}
	}
}