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Trailing Stop Activation Strategy

Overview

The Trailing Stop Activation Strategy manages protective stop levels for existing positions. It does not generate entry signals; instead, it adjusts stops after a position is opened to lock in profits.

Parameters

  • TrailingStop – distance in price units that the market must move in favor of the position before a trailing stop is activated.
  • StopLoss – optional initial stop-loss distance in price units. Set to 0 to disable.
  • CandleType – type of candles used for price tracking.

Trading Rules

  1. When a position opens, an initial stop-loss is placed if StopLoss is greater than zero.
  2. Once profit exceeds TrailingStop, the stop level trails the price, maintaining the specified distance.
  3. The position is closed when price touches the trailing stop level.
  4. The strategy works for both long and short positions.

Notes

This strategy is designed to be used alongside another strategy that provides entry signals. It focuses solely on exit management through trailing stops.

using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy with EMA direction entries and trailing stop management.
/// Enters on EMA direction change, exits via trailing stop.
/// </summary>
public class TrailingStopActivationStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevEma;
	private decimal _prevPrevEma;
	private int _count;
	private decimal _entryPrice;
	private decimal _stopPrice;

	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public decimal TrailingStop { get => _trailingStop.Value; set => _trailingStop.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public TrailingStopActivationStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA period for entries", "Indicator");

		_trailingStop = Param(nameof(TrailingStop), 500m)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Stop", "Trailing stop distance", "Risk");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevEma = 0;
		_prevPrevEma = 0;
		_count = 0;
		_entryPrice = 0;
		_stopPrice = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		SubscribeCandles(CandleType)
			.Bind(ema, ProcessCandle)
			.Start();
	}

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

		var close = candle.ClosePrice;

		// Trailing stop check
		if (Position > 0)
		{
			var trail = close - TrailingStop;
			if (trail > _stopPrice)
				_stopPrice = trail;

			if (candle.LowPrice <= _stopPrice)
			{
				SellMarket();
				_entryPrice = 0;
				_stopPrice = 0;
			}
		}
		else if (Position < 0)
		{
			var trail = close + TrailingStop;
			if (_stopPrice == 0 || trail < _stopPrice)
				_stopPrice = trail;

			if (candle.HighPrice >= _stopPrice)
			{
				BuyMarket();
				_entryPrice = 0;
				_stopPrice = 0;
			}
		}

		_count++;

		if (_count < 3)
		{
			_prevPrevEma = _prevEma;
			_prevEma = emaValue;
			return;
		}

		// Entry on EMA direction change
		var turnUp = _prevEma < _prevPrevEma && emaValue > _prevEma;
		var turnDown = _prevEma > _prevPrevEma && emaValue < _prevEma;

		if (turnUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
			_entryPrice = close;
			_stopPrice = close - TrailingStop;
		}
		else if (turnDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
			_entryPrice = close;
			_stopPrice = close + TrailingStop;
		}

		_prevPrevEma = _prevEma;
		_prevEma = emaValue;
	}
}