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Time-Based Range Breakout Strategy

Overview

This strategy is a direct port of the MetaTrader 4 expert advisor Tttttt_www_forex-instruments_info.mq4. It builds intraday breakout levels once per day at a configurable time. Whenever price closes beyond those levels, the strategy opens a position in the breakout direction. Exits are managed by dynamic profit and loss distances that are derived from an average of historical day ranges.

Core Logic

  1. Daily snapshot time – At CheckHour:CheckMinute the strategy freezes the current day's high and low and closes any open positions.
  2. Average range calculation – The algorithm aggregates the last DaysToCheck statistics:
    • CheckMode = 1: uses the full high/low range of each completed day.
    • CheckMode = 2: uses the absolute difference between the check-time closes of consecutive days.
  3. Level construction – The average value is divided by OffsetFactor to create an upper and lower breakout band around the current day's high/low. The same average is divided by ProfitFactor and LossFactor to derive dynamic take-profit and stop distances.
  4. Entry window – After the daily snapshot the strategy watches the candle closes until 23:00. If a close price pierces the upper band and no position is open, it buys; if the lower band is broken, it sells. The number of entries per day is limited by TradesPerDay.
  5. Exit management – While in a position, the strategy compares the close price with the average entry price (Strategy.PositionPrice). Once the move in favor or against reaches the configured profit or loss distances, the position is closed at market. If CloseMode = 2, any leftover position is also closed at the start of the next trading day.

Parameters

Name Description Default
CheckHour Hour (0-23) when the daily range snapshot is taken. 8
CheckMinute Minute (0-59) when the snapshot is taken. 0
DaysToCheck Number of historical days used for averaging. 7
CheckMode 1 = use daily high/low range, 2 = use absolute difference between consecutive check-time closes. 1
ProfitFactor Divides the averaged value to obtain the profit target distance. 2
LossFactor Divides the averaged value to obtain the loss distance. 2
OffsetFactor Divides the averaged value to obtain the breakout offset around high/low. 2
CloseMode 1 = keep positions overnight, 2 = flatten when the calendar day changes. 1
TradesPerDay Maximum number of entries allowed per day. 1
CandleType Candle series used for all calculations (defaults to 15-minute candles). 15m time frame

All parameters are created through Strategy.Param so they support optimization out of the box.

Differences from the MQL Version

  • MetaTrader tracks floating profit directly; the StockSharp port reconstructs it from Position and PositionPrice when evaluating exits.
  • MT4 code counted active orders via ticket loops. The port uses TradesPerDay together with the aggregate position to keep the number of same-day trades under control.
  • The original script relied on historical buffers (e.g., Highest, Lowest). The StockSharp version stores daily statistics internally, avoiding explicit indicator buffers while respecting the high-level API guidelines.
  • Protective stop-loss and take-profit orders were sent together with the market entry in MT4. The port performs equivalent risk control by monitoring candle closes and sending market exit orders when thresholds are reached.

Usage Notes

  • Use a candle series that matches the bar size of the original MQL setup (15-minute bars were used in the reference file).
  • Provide at least DaysToCheck completed days of historical data before starting the strategy, otherwise breakout levels will remain inactive.
  • When optimizing, keep the factors positive to maintain meaningful breakout and risk thresholds.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Breakout strategy that prepares daily buy/sell levels at a specified time.
/// The offset and profit targets are derived from the average range of previous days.
/// </summary>
public class TimeBasedRangeBreakoutStrategy : Strategy
{

	private readonly StrategyParam<int> _checkHour;
	private readonly StrategyParam<int> _checkMinute;
	private readonly StrategyParam<int> _daysToCheck;
	private readonly StrategyParam<int> _checkMode;
	private readonly StrategyParam<decimal> _profitFactor;
	private readonly StrategyParam<decimal> _lossFactor;
	private readonly StrategyParam<decimal> _offsetFactor;
	private readonly StrategyParam<int> _closeMode;
	private readonly StrategyParam<int> _tradesPerDay;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _lastOpenHour;

	private Queue<decimal> _rangeHistory;
	private Queue<decimal> _closeDiffHistory;

	private DateTime? _currentDay;
	private DateTime? _levelsDay;
	private decimal _dayHigh;
	private decimal _dayLow;
	private decimal _buyBreakout;
	private decimal _sellBreakout;
	private decimal _profitDistance;
	private decimal _lossDistance;
	private decimal? _previousCheckClose;
	private decimal? _currentCheckClose;
	private int _tradesOpenedToday;
	private bool _levelsReady;
	private decimal _entryPrice;

	/// <summary>
	/// Hour of the day when the reference range is calculated.
	/// </summary>
	public int CheckHour
	{
		get => _checkHour.Value;
		set => _checkHour.Value = value;
	}

	/// <summary>
	/// Minute of the hour when the reference range is calculated.
	/// </summary>
	public int CheckMinute
	{
		get => _checkMinute.Value;
		set => _checkMinute.Value = value;
	}

	/// <summary>
	/// Number of previous days used for averaging.
	/// </summary>
	public int DaysToCheck
	{
		get => _daysToCheck.Value;
		set => _daysToCheck.Value = value;
	}

	/// <summary>
	/// Mode of averaging: 1 - daily range, 2 - absolute close-to-close difference.
	/// </summary>
	public int CheckMode
	{
		get => _checkMode.Value;
		set => _checkMode.Value = value;
	}

	/// <summary>
	/// Divisor applied to convert the average range into a take-profit distance.
	/// </summary>
	public decimal ProfitFactor
	{
		get => _profitFactor.Value;
		set => _profitFactor.Value = value;
	}

	/// <summary>
	/// Divisor applied to convert the average range into a stop-loss distance.
	/// </summary>
	public decimal LossFactor
	{
		get => _lossFactor.Value;
		set => _lossFactor.Value = value;
	}

	/// <summary>
	/// Divisor applied to convert the average range into the breakout offset.
	/// </summary>
	public decimal OffsetFactor
	{
		get => _offsetFactor.Value;
		set => _offsetFactor.Value = value;
	}

	/// <summary>
	/// Defines whether to flatten at the daily boundary (2 = close on new day).
	/// </summary>
	public int CloseMode
	{
		get => _closeMode.Value;
		set => _closeMode.Value = value;
	}

	/// <summary>
	/// Maximum number of trades allowed per day.
	/// </summary>
	public int TradesPerDay
	{
		get => _tradesPerDay.Value;
		set => _tradesPerDay.Value = value;
	}

	/// <summary>
	/// Candle type used by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	/// <summary>
	/// Last hour of the day when breakout orders are allowed to remain open.
	/// </summary>
	public int LastOpenHour
	{
		get => _lastOpenHour.Value;
		set => _lastOpenHour.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public TimeBasedRangeBreakoutStrategy()
	{
		_checkHour = Param(nameof(CheckHour), 8)
		.SetDisplay("Check Hour", "Hour of the day used for daily calculations", "Schedule")
		.SetRange(0, 23);

		_checkMinute = Param(nameof(CheckMinute), 0)
		.SetDisplay("Check Minute", "Minute of the hour used for daily calculations", "Schedule")
		.SetRange(0, 59);

		_daysToCheck = Param(nameof(DaysToCheck), 7)
		.SetGreaterThanZero()
		.SetDisplay("Days To Check", "Number of previous days used in averaging", "Averaging")
		
		.SetOptimize(3, 15, 1);

		_checkMode = Param(nameof(CheckMode), 1)
		.SetDisplay("Check Mode", "1 - use daily range, 2 - use absolute close difference", "Averaging")
		.SetRange(1, 2);

		_profitFactor = Param(nameof(ProfitFactor), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Profit Factor", "Divisor applied to average range for take-profit", "Risk")
		
		.SetOptimize(1m, 4m, 0.5m);

		_lossFactor = Param(nameof(LossFactor), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Loss Factor", "Divisor applied to average range for stop-loss", "Risk")
		
		.SetOptimize(1m, 4m, 0.5m);

		_offsetFactor = Param(nameof(OffsetFactor), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Offset Factor", "Divisor applied to average range for breakout levels", "Entries")
		
		.SetOptimize(1m, 4m, 0.5m);

		_closeMode = Param(nameof(CloseMode), 1)
		.SetDisplay("Close Mode", "1 - keep positions overnight, 2 - close on new day", "Risk")
		.SetRange(1, 2);

		_tradesPerDay = Param(nameof(TradesPerDay), 1)
		.SetGreaterThanZero()
		.SetDisplay("Trades Per Day", "Maximum entries allowed within one day", "Risk")
		
		.SetOptimize(1, 3, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Primary candle series used by the strategy", "Data");
		_lastOpenHour = Param(nameof(LastOpenHour), 23)
			.SetDisplay("Last Open Hour", "Hour after which new trades are not opened", "Schedule")
			.SetRange(0, 23);
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_rangeHistory = null;
		_closeDiffHistory = null;
		_currentDay = null;
		_levelsDay = null;
		_dayHigh = 0m;
		_dayLow = 0m;
		_buyBreakout = 0m;
		_sellBreakout = 0m;
		_profitDistance = 0m;
		_lossDistance = 0m;
		_previousCheckClose = null;
		_currentCheckClose = null;
		_tradesOpenedToday = 0;
		_levelsReady = false;
		_entryPrice = 0m;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_rangeHistory = new();
		_closeDiffHistory = new();

		StartProtection(null, null);

		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(ProcessCandle)
		.Start();

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

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

		UpdateDailyState(candle);
		TryCalculateLevels(candle);

		

		ManageOpenPosition(candle);
		TryEnterPosition(candle);
	}

	private void UpdateDailyState(ICandleMessage candle)
	{
		var candleDate = candle.OpenTime.Date;

		if (_currentDay is null || candleDate != _currentDay.Value)
		{
			if (_currentDay is not null)
			FinalizePreviousDay();

			if (CloseMode == 2 && Position != 0m)
			ClosePosition();

			_currentDay = candleDate;
			_dayHigh = candle.HighPrice;
			_dayLow = candle.LowPrice;
			_levelsReady = false;
			_levelsDay = null;
			_currentCheckClose = null;
			_tradesOpenedToday = 0;
		}
		else
		{
			if (candle.HighPrice > _dayHigh)
			_dayHigh = candle.HighPrice;

			if (candle.LowPrice < _dayLow)
			_dayLow = candle.LowPrice;
		}
	}

	private void FinalizePreviousDay()
	{
		var dayRange = _dayHigh - _dayLow;
		if (dayRange > 0m)
		if (_rangeHistory != null)
		EnqueueWithLimit(_rangeHistory, dayRange, DaysToCheck);

		if (_currentCheckClose is decimal checkClose)
		{
			if (_previousCheckClose is decimal previousClose)
			{
				var difference = Math.Abs(checkClose - previousClose);
				if (difference > 0m)
				if (_closeDiffHistory != null)
				EnqueueWithLimit(_closeDiffHistory, difference, DaysToCheck);
			}

			_previousCheckClose = checkClose;
		}

		_currentCheckClose = null;
	}

	private void TryCalculateLevels(ICandleMessage candle)
	{
		if (candle.OpenTime.Hour != CheckHour || candle.OpenTime.Minute != CheckMinute)
		return;

		_currentCheckClose = candle.ClosePrice;

		if (Position != 0m)
		ClosePosition();

		if (!TryGetAverage(out var average))
		{
			_levelsReady = false;
			_levelsDay = null;
			return;
		}

		var offset = OffsetFactor > 0m ? average / OffsetFactor : 0m;
		_profitDistance = ProfitFactor > 0m ? average / ProfitFactor : 0m;
		_lossDistance = LossFactor > 0m ? average / LossFactor : 0m;

		_buyBreakout = _dayHigh + offset;
		_sellBreakout = _dayLow - offset;
		_levelsReady = true;
		_levelsDay = _currentDay;

		LogInfo($"Levels prepared for {candle.OpenTime:yyyy-MM-dd}. High={_dayHigh}, Low={_dayLow}, Avg={average}, BuyLevel={_buyBreakout}, SellLevel={_sellBreakout}.");
	}

	private void ManageOpenPosition(ICandleMessage candle)
	{
		if (Position == 0m)
		return;

		var entryPrice = _entryPrice;
		if (entryPrice == 0m)
		return;

		if (Position > 0m)
		{
			var reachedProfit = _profitDistance > 0m && candle.ClosePrice - entryPrice >= _profitDistance;
			var reachedLoss = _lossDistance > 0m && entryPrice - candle.ClosePrice >= _lossDistance;

			if (reachedProfit || reachedLoss)
			SellMarket();
		}
		else if (Position < 0m)
		{
			var reachedProfit = _profitDistance > 0m && entryPrice - candle.ClosePrice >= _profitDistance;
			var reachedLoss = _lossDistance > 0m && candle.ClosePrice - entryPrice >= _lossDistance;

			if (reachedProfit || reachedLoss)
			BuyMarket();
		}
	}

	private void TryEnterPosition(ICandleMessage candle)
	{
		if (!_levelsReady || _levelsDay is null || _currentDay is null)
		return;

		if (_levelsDay != _currentDay)
		return;

		if (_tradesOpenedToday >= TradesPerDay)
		return;

		if (candle.OpenTime.Hour > LastOpenHour)
		return;

		if (Position != 0m)
		return;

		if (candle.ClosePrice >= _buyBreakout)
		{
			BuyMarket();
			_entryPrice = candle.ClosePrice;
			_tradesOpenedToday++;
		}
		else if (candle.ClosePrice <= _sellBreakout)
		{
			SellMarket();
			_entryPrice = candle.ClosePrice;
			_tradesOpenedToday++;
		}
	}

	private bool TryGetAverage(out decimal average)
	{
		average = 0m;
		var source = CheckMode == 2 ? _closeDiffHistory : _rangeHistory;
		if (source == null)
		return false;

		var sum = 0m;
		var count = 0;

		foreach (var value in source)
		{
			sum += value;
			count++;
		}

		if (count == 0)
		return false;

		average = sum / count;
		return true;
	}

	private static void EnqueueWithLimit(Queue<decimal> queue, decimal value, int limit)
	{
		queue.Enqueue(value);

		while (queue.Count > limit)
		queue.Dequeue();
	}

	private void ClosePosition()
	{
		if (Position > 0m)
		{
			SellMarket();
		}
		else if (Position < 0m)
		{
			BuyMarket();
		}
	}
}