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ABE BE Stochastic Engulfing Strategy

This strategy ports the MetaTrader Expert Advisor Expert_ABE_BE_Stoch to the StockSharp high-level API. It mixes Japanese candlestick analysis with momentum confirmation to time reversals around oversold and overbought zones. The primary signal looks for a bullish engulfing candle backed by a deeply oversold stochastic oscillator, or a bearish engulfing candle confirmed by an overbought oscillator reading. Once a position is open, the strategy relies on stochastic threshold crosses to manage exits, replicating the "vote" mechanics of the original expert.

The tactic is designed for both long and short participation. It evaluates only completed candles and therefore stays immune to intrabar noise. Trade sizing remains under the control of the framework's Volume property, while optional stop-loss and take-profit protections convert the original point-based risk settings into StockSharp Unit objects.

How it works

  1. Data subscription – The strategy subscribes to the configured candle type and builds a StochasticOscillator with three tunable parameters (%K, %D, and the slowing factor).
  2. Pattern detection – On every finished candle the algorithm checks whether the latest bar engulfs the body of the previous one. Two helper methods reproduce bullish and bearish engulfing definitions used in MetaTrader.
  3. Momentum confirmation – The %D line of the stochastic serves as the confirmation filter. Values below the oversold threshold (default 30) are required for bullish engulfing trades, while values above the overbought threshold (default 70) are required for bearish signals.
  4. Position management – The previous %D value is cached. If the new reading crosses upward through either 20 or 80, any short exposure is closed. Conversely, downward crosses through 80 or 20 liquidate long exposure. These thresholds mirror the additional "close" votes produced by the MQL logic.
  5. Risk handling – When positive stop-loss or take-profit distances (expressed in price steps) are supplied, the strategy converts them to UnitTypes.Price and enables StartProtection. Otherwise the default StockSharp protection is activated with StartProtection().

Trading rules

  • Long entry: Previous candle is bearish, current candle is bullish, and the current candle's body engulfs the previous body. The stochastic %D value must be below the EntryOversoldLevel (default 30). Any existing short is closed and a new long is opened via BuyMarket.
  • Short entry: Previous candle is bullish, current candle is bearish, and the current candle's body engulfs the previous body. The stochastic %D value must exceed the EntryOverboughtLevel (default 70). Any existing long is closed and a new short is opened via SellMarket.
  • Long exit: With an open long, if %D crosses downward through either ExitUpperLevel (default 80) or ExitLowerLevel (default 20), the position is closed with SellMarket.
  • Short exit: With an open short, if %D crosses upward through either ExitLowerLevel or ExitUpperLevel, the position is covered using BuyMarket.
  • Stops/targets: Optional StopLossPoints and TakeProfitPoints convert point-based distances to absolute price offsets when the instrument exposes a non-zero PriceStep.

Parameters

Name Type Default Description
CandleType DataType TimeSpan.FromHours(1).TimeFrame() Candle source used for pattern detection.
StochasticPeriodK int 47 Lookback period for the fast %K calculation.
StochasticPeriodD int 9 Smoothing period for the %D signal line.
StochasticPeriodSlow int 13 Additional smoothing applied to %K before it becomes %D.
EntryOversoldLevel decimal 30 Upper bound for %D that allows bullish engulfing trades.
EntryOverboughtLevel decimal 70 Lower bound for %D that allows bearish engulfing trades.
ExitLowerLevel decimal 20 Level that, when crossed upward, forces short exits; when crossed downward, it closes longs.
ExitUpperLevel decimal 80 Upper boundary used in the same way as the lower level but for overbought territory.
TakeProfitPoints decimal 0 Distance in price steps for the take-profit order (0 disables it).
StopLossPoints decimal 0 Distance in price steps for the stop-loss order (0 disables it).

Notes

  • Works on any instrument that supplies OHLC candles; defaults assume hourly bars.
  • All calculations rely on closed candles to stay aligned with the MQL expert's timeframe logic.
  • Position size should be configured through the base strategy Volume property or higher-level portfolio management.
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// ABE BE Stoch strategy: Engulfing pattern with Stochastic confirmation.
/// Bullish engulfing + oversold stochastic for long, bearish engulfing + overbought for short.
/// </summary>
public class AbeBeStochStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<decimal> _oversold;
	private readonly StrategyParam<decimal> _overbought;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private readonly List<ICandleMessage> _candles = new();
	private decimal _prevK;
	private bool _hasPrevK;
	private int _candlesSinceTrade;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int StochPeriod { get => _stochPeriod.Value; set => _stochPeriod.Value = value; }
	public decimal Oversold { get => _oversold.Value; set => _oversold.Value = value; }
	public decimal Overbought { get => _overbought.Value; set => _overbought.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public AbeBeStochStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stoch Period", "Stochastic K period", "Indicators");
		_oversold = Param(nameof(Oversold), 30m)
			.SetDisplay("Oversold", "Stochastic oversold level", "Signals");
		_overbought = Param(nameof(Overbought), 70m)
			.SetDisplay("Overbought", "Stochastic overbought level", "Signals");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 6)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_candles.Clear();
		_prevK = 0m;
		_hasPrevK = false;
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_candles.Clear();
		_hasPrevK = false;
		_candlesSinceTrade = SignalCooldownCandles;
		var stoch = new StochasticOscillator { K = { Length = StochPeriod }, D = { Length = 3 } };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(stoch, ProcessCandle).Start();
	}

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

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		var stochTyped = stochValue as StochasticOscillatorValue;
		if (stochTyped?.K is not decimal kValue) return;

		_candles.Add(candle);
		if (_candles.Count > 5)
			_candles.RemoveAt(0);

		if (_candles.Count >= 2)
		{
			var curr = _candles[^1];
			var prev = _candles[^2];

			// Bullish engulfing: prev bearish, curr bullish, curr body engulfs prev body
			var bullishEngulfing = prev.OpenPrice > prev.ClosePrice
				&& curr.ClosePrice > curr.OpenPrice
				&& curr.OpenPrice <= prev.ClosePrice
				&& curr.ClosePrice >= prev.OpenPrice;

			// Bearish engulfing: prev bullish, curr bearish, curr body engulfs prev body
			var bearishEngulfing = prev.ClosePrice > prev.OpenPrice
				&& curr.OpenPrice > curr.ClosePrice
				&& curr.OpenPrice >= prev.ClosePrice
				&& curr.ClosePrice <= prev.OpenPrice;

			if (bullishEngulfing && kValue < Oversold && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				BuyMarket();
				_candlesSinceTrade = 0;
			}
			else if (bearishEngulfing && kValue > Overbought && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				SellMarket();
				_candlesSinceTrade = 0;
			}
		}

		// Exit on stochastic cross
		if (_hasPrevK)
		{
			if (Position > 0 && _prevK >= Overbought && kValue < Overbought && _candlesSinceTrade >= SignalCooldownCandles)
			{
				SellMarket();
				_candlesSinceTrade = 0;
			}
			else if (Position < 0 && _prevK <= Oversold && kValue > Oversold && _candlesSinceTrade >= SignalCooldownCandles)
			{
				BuyMarket();
				_candlesSinceTrade = 0;
			}
		}

		_prevK = kValue;
		_hasPrevK = true;
	}
}