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ComFracti Strategy

Overview

ComFracti is a directional strategy translated from the MT4 "ComFracti" expert advisor. The logic combines multi-timeframe fractal confirmation with RSI and stochastic filters, while optional moving average, parabolic SAR, channel and perceptron filters control trend alignment. The C# implementation trades a single position at a time and evaluates signals on completed candles using StockSharp high-level APIs.

Trading Logic

  • Primary signal
    • Confirms a bullish setup when both the current timeframe and the higher timeframe produce a bullish fractal signal.
    • Confirms a bearish setup when both timeframes produce a bearish fractal signal.
    • RSI (default 3-period on the higher timeframe) must sit below 50 - RsiLevelBuy for longs or above 50 + RsiLevelSell for shorts when the RSI filter is enabled.
    • The stochastic oscillator (default %K period 5 with %D smoothing 3/3) must be below 50 - StochasticLevelBuy for longs or above 50 + StochasticLevelSell for shorts when the stochastic filter is enabled.
  • Optional filters
    • EMA slope: the EMA on the filter timeframe must be rising for longs and falling for shorts.
    • Parabolic SAR: the SAR value must stay below the bar open for longs or above for shorts.
    • Channel breakout: compares the previous bar against an adaptive Donchian-style channel; previous lows must remain above the channel floor for longs, while previous highs must remain below the ceiling for shorts.
    • Perceptron: a weighted sum of recent high/low differences must be positive for longs and negative for shorts.
  • Position management
    • Only one position is active at a time; the strategy closes existing exposure before opening a new trade in the opposite direction.
    • Fixed stop-loss and take-profit distances are expressed in instrument points.
    • An optional trailing stop moves in the direction of profit once the trailing buffer is reached (when ProfitTrailing is true).
    • When CloseOnOppositeSignal is enabled the strategy exits early if the opposite primary signal appears.

Risk Management

  • Base position size equals the BaseVolume parameter (default 0.1 lots). When AccountMicro is enabled the volume is divided by ten.
  • If UseMoneyManagement is enabled the strategy risks RiskPercent of the account value per trade, using the configured stop-loss distance and the instrument step value to approximate position size. The computed volume is clamped by MinimumVolume.

Parameters

Name Description
TakeProfitPoints, StopLossPoints Take-profit and stop-loss distances in instrument points.
UseTrailingStop, TrailingStopPoints, ProfitTrailing Trailing stop controls (distance and whether trailing requires open profit).
BaseVolume, UseMoneyManagement, RiskPercent, AccountMicro, MinimumVolume Position sizing configuration.
UseFractals, FractalShift* Enables fractal confirmation and defines the bar offsets to inspect on the current and higher timeframes.
UseRsi, RsiLevelBuy, RsiLevelSell, RsiType RSI filter offsets and timeframe.
UseStochastic, StochasticPeriod*, StochasticLevel* Stochastic oscillator periods and thresholds.
UseMaFilter, MaPeriod EMA filter configuration on the filter timeframe.
UsePsarFilter, PsarStep Parabolic SAR filter configuration.
UseChannelFilter, ChannelLookback, ChannelK Channel breakout filter parameters.
UsePerceptronFilter, PerceptronV1–PerceptronV4 Perceptron filter weights (0–100, centred around 50).
CandleType, HigherFractalType, FilterType Data timeframes used by the strategy.

Notes

  • The strategy processes finished candles only, so behaviour may differ slightly from the original tick-driven expert advisor.
  • The fractal tracker reproduces the MT4 five-bar fractal logic and allows the user to shift which historical bar is evaluated, matching the MT4 sh1/ sh2 parameters.
  • Money management relies on available portfolio valuation within StockSharp; when no valuation is available the strategy falls back to the fixed base volume.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ComFracti: Fractal detection with RSI confirmation and ATR stops.
/// </summary>
public class ComFractiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _entryPrice;
	private decimal _h1, _h2, _h3, _h4, _h5;
	private decimal _l1, _l2, _l3, _l4, _l5;
	private int _barCount;

	public ComFractiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period.", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetDisplay("EMA Length", "Trend filter.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");
	}

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

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

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

		_entryPrice = 0;
		_barCount = 0;
		_h1 = _h2 = _h3 = _h4 = _h5 = 0;
		_l1 = _l2 = _l3 = _l4 = _l5 = 0;
	}

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

		_entryPrice = 0;
		_barCount = 0;
		_h1 = _h2 = _h3 = _h4 = _h5 = 0;
		_l1 = _l2 = _l3 = _l4 = _l5 = 0;

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, ema, atr, ProcessCandle)
			.Start();

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

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

		_h5 = _h4; _h4 = _h3; _h3 = _h2; _h2 = _h1;
		_h1 = candle.HighPrice;
		_l5 = _l4; _l4 = _l3; _l3 = _l2; _l2 = _l1;
		_l1 = candle.LowPrice;
		_barCount++;

		if (_barCount < 5 || atrVal <= 0)
			return;

		var close = candle.ClosePrice;

		var fractalUp = _h3 > _h1 && _h3 > _h2 && _h3 > _h4 && _h3 > _h5;
		var fractalDown = _l3 < _l1 && _l3 < _l2 && _l3 < _l4 && _l3 < _l5;

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 3m || close <= _entryPrice - atrVal * 2m || (fractalUp && rsiVal > 65))
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 3m || close >= _entryPrice + atrVal * 2m || (fractalDown && rsiVal < 35))
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (fractalDown && rsiVal < 55)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (fractalUp && rsiVal > 45)
			{
				_entryPrice = close;
				SellMarket();
			}
		}
	}
}