Português PT
Ver no GitHub

Syndicate Trader Strategy

This strategy is a StockSharp translation of the original MetaTrader script Syndicate_Trader_v_1_04.mq4 from folder MQL/12351.

It trades based on a crossover between fast and slow exponential moving averages with a volume spike confirmation. Optional session filters restrict trading to specific hours. Simple take profit and stop loss levels manage risk.

Details

  • Entry Criteria:
    • Long: Fast EMA crosses above slow EMA and volume exceeds the moving average multiplied by a configurable factor.
    • Short: Fast EMA crosses below slow EMA with the same volume confirmation.
  • Long/Short: Both.
  • Exit Criteria:
    • Opposite crossover.
    • Stop loss or take profit hit.
    • Outside allowed session window.
  • Stops: Fixed stop loss and take profit in price points.
  • Filters:
    • Volume spike filter.
    • Optional session time filter.

Parameters

Name Description
FastEmaLength Period of the fast EMA.
SlowEmaLength Period of the slow EMA.
VolumeMaLength Period for averaging volume.
VolumeMultiplier Multiplier applied to average volume to define a spike.
TakeProfitPoints Take profit in price points.
StopLossPoints Stop loss in price points.
UseSessionFilter Enable or disable the session filter.
SessionStartHour/SessionStartMinute Start time of trading session.
SessionEndHour/SessionEndMinute End time of trading session.
CandleType Candle type and timeframe. 
using System;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// EMA crossover strategy with volume spike confirmation.
/// </summary>
public class SyndicateTraderStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _volumeMaLength;
	private readonly StrategyParam<decimal> _volumeMultiplier;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<bool> _useSessionFilter;
	private readonly StrategyParam<int> _sessionStartHour;
	private readonly StrategyParam<int> _sessionStartMinute;
	private readonly StrategyParam<int> _sessionEndHour;
	private readonly StrategyParam<int> _sessionEndMinute;
	private readonly StrategyParam<DataType> _candleType;

	private readonly ExponentialMovingAverage _fastEma = new();
	private readonly ExponentialMovingAverage _slowEma = new();
	private readonly SimpleMovingAverage _volumeMa = new();
	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _isInitialized;
	private int _barsSinceTrade;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowEmaLength
	{
		get => _slowEmaLength.Value;
		set => _slowEmaLength.Value = value;
	}

	/// <summary>
	/// Volume moving average length.
	/// </summary>
	public int VolumeMaLength
	{
		get => _volumeMaLength.Value;
		set => _volumeMaLength.Value = value;
	}

	/// <summary>
	/// Multiplier applied to the volume average.
	/// </summary>
	public decimal VolumeMultiplier
	{
		get => _volumeMultiplier.Value;
		set => _volumeMultiplier.Value = value;
	}

	/// <summary>
	/// Take profit in price points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Stop loss in price points.
	/// </summary>
	public decimal StopLossPoints
	{
		get => _stopLossPoints.Value;
		set => _stopLossPoints.Value = value;
	}

	/// <summary>
	/// Bars to wait after a completed trade.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Enable session filtering.
	/// </summary>
	public bool UseSessionFilter
	{
		get => _useSessionFilter.Value;
		set => _useSessionFilter.Value = value;
	}

	/// <summary>
	/// Session start hour.
	/// </summary>
	public int SessionStartHour
	{
		get => _sessionStartHour.Value;
		set => _sessionStartHour.Value = value;
	}

	/// <summary>
	/// Session start minute.
	/// </summary>
	public int SessionStartMinute
	{
		get => _sessionStartMinute.Value;
		set => _sessionStartMinute.Value = value;
	}

	/// <summary>
	/// Session end hour.
	/// </summary>
	public int SessionEndHour
	{
		get => _sessionEndHour.Value;
		set => _sessionEndHour.Value = value;
	}

	/// <summary>
	/// Session end minute.
	/// </summary>
	public int SessionEndMinute
	{
		get => _sessionEndMinute.Value;
		set => _sessionEndMinute.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public SyndicateTraderStrategy()
	{
		_fastEmaLength = Param(nameof(FastEmaLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA length", "General");

		_slowEmaLength = Param(nameof(SlowEmaLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA length", "General");

		_volumeMaLength = Param(nameof(VolumeMaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume MA", "Volume MA length", "General");

		_volumeMultiplier = Param(nameof(VolumeMultiplier), 1.8m)
			.SetGreaterThanZero()
			.SetDisplay("Volume Mult", "Volume spike multiplier", "General");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 1200m)
			.SetDisplay("Take Profit", "Take profit in price points", "Risk");

		_stopLossPoints = Param(nameof(StopLossPoints), 700m)
			.SetDisplay("Stop Loss", "Stop loss in price points", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 2)
			.SetDisplay("Cooldown Bars", "Bars to wait after a completed trade", "Risk");

		_useSessionFilter = Param(nameof(UseSessionFilter), false)
			.SetDisplay("Use Session", "Enable session filter", "Session");

		_sessionStartHour = Param(nameof(SessionStartHour), 0)
			.SetDisplay("Start Hour", "Session start hour", "Session");

		_sessionStartMinute = Param(nameof(SessionStartMinute), 0)
			.SetDisplay("Start Minute", "Session start minute", "Session");

		_sessionEndHour = Param(nameof(SessionEndHour), 23)
			.SetDisplay("End Hour", "Session end hour", "Session");

		_sessionEndMinute = Param(nameof(SessionEndMinute), 59)
			.SetDisplay("End Minute", "Session end minute", "Session");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

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

		_fastEma.Length = FastEmaLength;
		_slowEma.Length = SlowEmaLength;
		_volumeMa.Length = VolumeMaLength;
		_fastEma.Reset();
		_slowEma.Reset();
		_volumeMa.Reset();
		_prevFast = 0m;
		_prevSlow = 0m;
		_isInitialized = false;
		_barsSinceTrade = CooldownBars;
	}

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

		_fastEma.Length = FastEmaLength;
		_slowEma.Length = SlowEmaLength;
		_volumeMa.Length = VolumeMaLength;

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

		StartProtection(
			takeProfit: new Unit(TakeProfitPoints, UnitTypes.Absolute),
			stopLoss: new Unit(StopLossPoints, UnitTypes.Absolute));

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (UseSessionFilter)
		{
			var time = candle.OpenTime.TimeOfDay;
			var start = new TimeSpan(SessionStartHour, SessionStartMinute, 0);
			var end = new TimeSpan(SessionEndHour, SessionEndMinute, 0);

			if (time < start || time > end)
				return;
		}

		var fast = _fastEma.Process(new DecimalIndicatorValue(_fastEma, candle.ClosePrice, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var slow = _slowEma.Process(new DecimalIndicatorValue(_slowEma, candle.ClosePrice, candle.OpenTime) { IsFinal = true }).ToDecimal();
		var volumeAvg = _volumeMa.Process(new DecimalIndicatorValue(_volumeMa, candle.TotalVolume, candle.OpenTime) { IsFinal = true }).ToDecimal();

		if (!_fastEma.IsFormed || !_slowEma.IsFormed || !_volumeMa.IsFormed)
			return;

		if (_barsSinceTrade < CooldownBars)
			_barsSinceTrade++;

		if (!_isInitialized)
		{
			_prevFast = fast;
			_prevSlow = slow;
			_isInitialized = true;
			return;
		}

		var crossUp = fast > slow && _prevFast <= _prevSlow;
		var crossDown = fast < slow && _prevFast >= _prevSlow;
		var hasVolumeSpike = candle.TotalVolume >= volumeAvg * VolumeMultiplier;

		if (_barsSinceTrade >= CooldownBars && hasVolumeSpike)
		{
			if (crossUp && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				_barsSinceTrade = 0;
			}
			else if (crossDown && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				_barsSinceTrade = 0;
			}
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}