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Fibonacci Potential Entries Strategy

Overview

This strategy reproduces the behaviour of the original EA_PUB_FibonacciPotentialEntries expert advisor. It places two limit orders at the 50% and 61% Fibonacci retracement levels and manages their lifecycle using the high-level StockSharp API.

Trading Logic

  1. Initial placement

    • As soon as bid/ask quotes are available the strategy calculates the current spread and submits two limit orders:
      • Order #1: placed at the 50% level with a protective stop below (or above for shorts) the 61% level.
      • Order #2: placed at the 61% level with a protective stop placed half way towards the 100% level.
    • Volumes are sized so that the first trade risks 0.7% of the portfolio and the second trade risks the remaining part of the RiskPercent parameter.

  2. Target handling

    • When price reaches the TargetPrice level the strategy closes half of each filled position using market orders.
    • After partial exit the remaining volume is protected at break-even (entry price). If the market returns to that level the rest of the position is closed automatically.

  3. Direction

    • IsBullish = true creates buy limits (original bullish template).
    • IsBullish = false mirrors the behaviour with sell limits and inverted stop/target checks.

Parameters

Name Description
PriceOn50Level Price level for the first limit order.
PriceOn61Level Price level for the second limit order.
PriceOn100Level Reference level used to compute the second trade stop.
TargetPrice Shared profit target for both positions.
RiskPercent Total percentage of portfolio equity risked across both entries.
IsBullish Chooses between long and short setups.

Conversion Notes

  • Only high-level helpers (SubscribeLevel1, BuyLimit, SellLimit, BuyMarket, SellMarket) are used, exactly as required by the repository guidelines.
  • Partial exits and break-even stop adjustments are reproduced with market orders, matching the MQL robot behaviour without relying on low-level order modification calls.
  • Position volumes are normalised to the instrument volume step to stay consistent with StockSharp conventions.
namespace StockSharp.Samples.Strategies;

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

/// <summary>
/// Fibonacci Potential Entries strategy: Two-candle reversal with RSI filter.
/// Uses price swing highs/lows as fibonacci reference points.
/// </summary>
public class FibonacciPotentialEntriesStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private decimal _highestHigh;
	private decimal _lowestLow;
	private decimal _prevClose;
	private int _barCount;
	private int _candlesSinceTrade;
	private bool _hasPrevClose;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public FibonacciPotentialEntriesStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 6)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highestHigh = 0;
		_lowestLow = decimal.MaxValue;
		_prevClose = 0;
		_barCount = 0;
		_candlesSinceTrade = SignalCooldownCandles;
		_hasPrevClose = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_highestHigh = 0;
		_lowestLow = decimal.MaxValue;
		_prevClose = 0;
		_barCount = 0;
		_candlesSinceTrade = SignalCooldownCandles;
		_hasPrevClose = false;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
	}

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

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		if (candle.HighPrice > _highestHigh) _highestHigh = candle.HighPrice;
		if (candle.LowPrice < _lowestLow) _lowestLow = candle.LowPrice;
		_barCount++;

		if (_barCount < 20) return;

		var range = _highestHigh - _lowestLow;
		if (range <= 0) return;

		var fib382 = _highestHigh - range * 0.382m;
		var fib618 = _highestHigh - range * 0.618m;
		var close = candle.ClosePrice;
		var crossedIntoBuyZone = _hasPrevClose && _prevClose > fib618 && close <= fib618;
		var crossedIntoSellZone = _hasPrevClose && _prevClose < fib382 && close >= fib382;

		if (crossedIntoBuyZone && rsiValue < 40 && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			BuyMarket();
			_candlesSinceTrade = 0;
		}
		else if (crossedIntoSellZone && rsiValue > 60 && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			SellMarket();
			_candlesSinceTrade = 0;
		}

		_prevClose = close;
		_hasPrevClose = true;
	}
}