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Noah 10 Pips 2006 Strategy

Summary

  • Recreates the breakout and reversal logic from the original Noah10pips2006 MetaTrader 4 expert advisor.
  • Builds previous-session price channels and places stop orders around the mid-point.
  • Applies secure-profit trailing, optional dynamic position sizing, and an optional reversal trade after the first position closes.

Trading Logic

  1. Session Range Calculation
    At the start of every new trading day (after applying the configured time-zone offset) the strategy records the previous session high and low. These levels are used to compute:
    • The mid-point between high and low.
    • A "pass" buffer positioned 20 pips above/below the range.
    • An entry channel obtained by subtracting/adding 40 pips (or 25% of the range if the range is larger than 160 pips).
  2. Initial Pending Order
    When the market enters the trading window, the strategy checks the latest close:
    • If the close is between the mid-point and the upper buffer, a sell stop is placed at the mid-point.
    • If the close is between the lower buffer and the mid-point, a buy stop is placed at the mid-point.
      The range width must exceed the configured minimum before any orders are placed.
  3. Second Pending Order
    If only one stop order remains active, the system adds the opposite-direction order at the corresponding buffer (upper buffer for a buy stop, lower buffer for a sell stop). This mirrors the original EA behaviour and prepares the strategy for breakouts on both sides of the range.
  4. Position Management
    • Protective stop-loss and take-profit orders are created after an entry fills.
    • Once floating profit reaches the secure trigger threshold, the stop-loss is moved to lock in the configured secure profit.
    • When the secure lock is active, an optional trailing stop keeps following price with the specified distance.
  5. Daily Shutdown
    All pending orders and open positions are closed when the trading window ends or when the Friday cut-off is reached.
  6. Reversal Trade
    The first completed position can trigger an opposite-direction market order, reproducing the "reverse after stop" behaviour from the original code. The reversal is skipped if the secure-profit adjustment already locked in gains.

Parameters

Parameter Description
CandleType Candle series used to drive calculations and timing. Default: 1-hour candles.
TimeZoneOffset Shift (in hours) applied to exchange timestamps before daily calculations.
StartHour, StartMinute Opening time of the trading window in the shifted time-zone.
EndHour, EndMinute Closing time of the trading window. New entries are not placed afterwards.
FridayEndHour Hour on Friday when positions are force-closed.
TradeFriday Enables or disables opening new positions on Friday.
StopLossPips, TakeProfitPips Distance (in pips) of protective orders created after entry.
TrailingStopPips Trailing-stop distance used after the secure-profit step. Set to 0 to disable trailing.
SecureProfitPips Profit locked when the secure trigger activates.
TrailSecureProfitPips Profit threshold required before moving the stop to the secure level.
MinimumRangePips Minimum width of the entry channel required to place orders.
StartYear, StartMonth Ignore market data that is older than this date.
MinVolume, MaxVolume Bounds applied to the computed order volume.
MaximumRiskPercent Percentage of portfolio value risked per trade when dynamic sizing is enabled.
FixedVolume When true, the strategy uses the Volume property instead of the risk model.

Practical Notes

  • The instrument must provide valid PriceStep and StepPrice values when the risk-based position sizing mode is used.
  • Trailing and secure-profit adjustments rely on completed candles, so intrabar fills are processed on the next finished candle.
  • The strategy cancels and replaces protective orders whenever the trailing logic updates the stop price.
  • Ensure the time-zone offset matches the source of historical data; otherwise, the previous-day range can differ from the original MT4 expert.

Conversion Caveats

  • Visual drawing objects from the MT4 version were omitted; use the supplied levels or add custom chart annotations if needed.
  • The algorithm assumes four-digit Forex quoting when converting the fixed 20/40 pip buffers; adjust parameters for different asset classes.
  • Reverse trades execute at market with the current volume model, matching the behaviour of the original EA after deleting opposite pending orders.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Noah 10 Pips 2006 - session breakout strategy.
/// Tracks the previous session's high/low range.
/// Buys on breakout above the midpoint, sells on breakout below.
/// Uses Highest/Lowest indicators as channel reference.
/// </summary>
public class Noah10Pips2006Strategy : Strategy
{
	private readonly StrategyParam<int> _channelPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevHigh;
	private decimal _prevLow;
	private decimal _prevMid;
	private decimal _prevClose;
	private bool _hasPrev;

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

	public Noah10Pips2006Strategy()
	{
		_channelPeriod = Param(nameof(ChannelPeriod), 24)
			.SetDisplay("Channel Period", "Lookback for high/low channel", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

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

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

		_prevHigh = 0m;
		_prevLow = 0m;
		_prevMid = 0m;
		_prevClose = 0m;
		_hasPrev = false;
	}

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

		_hasPrev = false;

		var highest = new Highest { Length = ChannelPeriod };
		var lowest = new Lowest { Length = ChannelPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(highest, lowest, ProcessCandle)
			.Start();
	}

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

		var close = candle.ClosePrice;
		var mid = (high + low) / 2m;

		if (!_hasPrev)
		{
			_prevHigh = high;
			_prevLow = low;
			_prevMid = mid;
			_prevClose = close;
			_hasPrev = true;
			return;
		}

		// Breakout above channel high - buy
		if (_prevClose <= _prevHigh && close > high && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Breakout below channel low - sell
		else if (_prevClose >= _prevLow && close < low && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}
		// Cross above midpoint from below - buy signal
		else if (_prevClose <= _prevMid && close > mid && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Cross below midpoint from above - sell signal
		else if (_prevClose >= _prevMid && close < mid && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevHigh = high;
		_prevLow = low;
		_prevMid = mid;
		_prevClose = close;
	}
}