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Pipsover

Overview

Pipsover is a momentum-reversal strategy that reacts to strong extremes of the Chaikin oscillator. The original MetaTrader 5 Expert Advisor opens a new trade when the oscillator prints a pronounced spike while the previous candle retraces to the 20-period simple moving average. The C# port keeps the same idea by rebuilding the Chaikin oscillator with the accumulation/distribution line and two exponential moving averages. Each trade is protected with the same stop-loss and take-profit distances defined in the script so that risk control matches the reference implementation.

Indicators and Tools

  • Simple Moving Average (SMA 20) – provides the mean reversion anchor. The strategy requires the previous candle to touch or cross the average before it becomes eligible for a trade.
  • Chaikin Oscillator (EMA 3 – EMA 10 of ADL) – measures the pressure between price and volume. Extreme negative readings trigger long opportunities and extreme positive values trigger short opportunities.
  • Accumulation/Distribution Line (ADL) – feeds the Chaikin oscillator. The fast and slow EMAs run on this value stream to mimic the iChaikin indicator from MQL5.

Trading Logic

Long Entry

  1. Wait for a completed candle so that all indicator values are final.
  2. Check that the previous candle closed bullish (Close > Open).
  3. Confirm that the previous low dipped below the SMA20, signalling a pullback.
  4. Read the Chaikin oscillator value from the previous bar. It must be lower than -OpenLevel to reflect an oversold spike.
  5. When all conditions are met and no position is currently open, send a market buy order.

Short Entry

  1. Wait for a completed candle.
  2. Check that the previous candle closed bearish (Close < Open).
  3. Confirm that the previous high exceeded the SMA20.
  4. Ensure that the Chaikin oscillator on the previous bar is greater than OpenLevel.
  5. If there is no active position, place a market sell order.

Exit Logic

  • Long positions close when the next candle after the entry shows a bearish structure (close below open), its high remains above the SMA20 and the Chaikin oscillator rises above CloseLevel.
  • Short positions close when the next candle shows a bullish structure, its low moves below the SMA20 and the Chaikin oscillator falls below -CloseLevel.
  • Protective exits monitor every finished candle. A long closes if price trades at or below the calculated stop-loss or at or above the calculated take-profit. For shorts the comparison is inverted.

Position Management

  • Only one net position is allowed at any time. Pending orders are cancelled before opening a new trade to replicate the single-position behaviour from MQL5.
  • Stop-loss and take-profit values are computed from the current security price step. For longs the stop is set StopLossPoints * PriceStep below the execution price and the take-profit TakeProfitPoints * PriceStep above it. Shorts use symmetrical but inverted distances.

Parameters

Name Default Description
TradeVolume 0.1 Order size used for every market order.
MaLength 20 Period of the pullback SMA.
StopLossPoints 65 Stop-loss offset in price steps from the entry.
TakeProfitPoints 100 Take-profit offset in price steps from the entry.
OpenLevel 100 Absolute Chaikin threshold that enables new entries.
CloseLevel 125 Absolute Chaikin threshold that forces position exit.
ChaikinFastLength 3 Fast EMA length of the Chaikin oscillator.
ChaikinSlowLength 10 Slow EMA length of the Chaikin oscillator.
CandleType 1 hour Timeframe used for candle subscription; adjust it to match the trading session of interest.

Implementation Notes

  • The strategy binds the accumulation/distribution line and SMA to the candle feed through SubscribeCandles().Bind(...), ensuring that indicator values arrive already synchronised with each finished candle.
  • Chaikin values are reconstructed manually inside ProcessCandle to avoid low-level buffer access forbidden by the conversion guidelines.
  • The algorithm stores the latest completed candle, the SMA value and the Chaikin reading to reproduce the shift=1 logic (iClose(...,1), iLow(...,1), iChaikin(...,1)) used in the MQL5 script.
  • Protective target levels are tracked inside the strategy class instead of relying on broker-managed stops, so behaviour is consistent across simulations and live trading.
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>
/// Pipsover strategy rebuilt on the high level StockSharp API.
/// The strategy opens positions when a strong Chaikin oscillator spike aligns with a pullback to the 20-period SMA on the previous candle.
/// Protective stop-loss and take-profit levels are recreated using price step distances defined in the original Expert Advisor.
/// </summary>
public class PipsoverStrategy : Strategy
{
	private readonly StrategyParam<decimal> _tradeVolume;
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<decimal> _stopLossPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _openLevel;
	private readonly StrategyParam<decimal> _closeLevel;
	private readonly StrategyParam<int> _chaikinFastLength;
	private readonly StrategyParam<int> _chaikinSlowLength;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _sma;
	private AccumulationDistributionLine _accumulationDistribution;
	private ExponentialMovingAverage _chaikinFast;
	private ExponentialMovingAverage _chaikinSlow;

	private decimal _prevOpen;
	private decimal _prevHigh;
	private decimal _prevLow;
	private decimal _prevClose;
	private decimal _prevSma;
	private decimal _prevChaikin;
	private bool _hasPrevCandle;

	private decimal _stopPrice;
	private decimal _takeProfitPrice;
	private bool _hasTargets;

	/// <summary>
	/// Trading volume used for market orders.
	/// </summary>
	public decimal TradeVolume
	{
		get => _tradeVolume.Value;
		set => _tradeVolume.Value = value;
	}

	/// <summary>
	/// Period of the simple moving average that acts as a pullback filter.
	/// </summary>
	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

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

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

	/// <summary>
	/// Chaikin oscillator level required to allow new entries.
	/// </summary>
	public decimal OpenLevel
	{
		get => _openLevel.Value;
		set => _openLevel.Value = value;
	}

	/// <summary>
	/// Chaikin oscillator level that closes existing positions.
	/// </summary>
	public decimal CloseLevel
	{
		get => _closeLevel.Value;
		set => _closeLevel.Value = value;
	}

	/// <summary>
	/// Fast EMA period for Chaikin oscillator reconstruction.
	/// </summary>
	public int ChaikinFastLength
	{
		get => _chaikinFastLength.Value;
		set => _chaikinFastLength.Value = value;
	}

	/// <summary>
	/// Slow EMA period for Chaikin oscillator reconstruction.
	/// </summary>
	public int ChaikinSlowLength
	{
		get => _chaikinSlowLength.Value;
		set => _chaikinSlowLength.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="PipsoverStrategy"/> class.
	/// </summary>
	public PipsoverStrategy()
	{
		_tradeVolume = Param(nameof(TradeVolume), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Trade Volume", "Order size used for market entries", "Trading");

		_maLength = Param(nameof(MaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("SMA Length", "Simple moving average length", "Indicators");

		_stopLossPoints = Param(nameof(StopLossPoints), 65m)
			.SetGreaterThanZero()
			.SetDisplay("Stop-Loss Points", "Stop-loss distance expressed in price steps", "Risk");

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 100m)
			.SetGreaterThanZero()
			.SetDisplay("Take-Profit Points", "Take-profit distance expressed in price steps", "Risk");

		_openLevel = Param(nameof(OpenLevel), 20m)
			.SetGreaterThanZero()
			.SetDisplay("Open Level", "Chaikin oscillator threshold for entries", "Chaikin");

		_closeLevel = Param(nameof(CloseLevel), 30m)
			.SetGreaterThanZero()
			.SetDisplay("Close Level", "Chaikin oscillator threshold for exits", "Chaikin");

		_chaikinFastLength = Param(nameof(ChaikinFastLength), 3)
			.SetGreaterThanZero()
			.SetDisplay("Chaikin Fast Length", "Fast EMA length for Chaikin oscillator", "Chaikin");

		_chaikinSlowLength = Param(nameof(ChaikinSlowLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Chaikin Slow Length", "Slow EMA length for Chaikin oscillator", "Chaikin");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe used for calculations", "Data");
	}

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

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

		// Reset cached candle and indicator state.
		_hasPrevCandle = false;
		_prevOpen = 0m;
		_prevHigh = 0m;
		_prevLow = 0m;
		_prevClose = 0m;
		_prevSma = 0m;
		_prevChaikin = 0m;

		// Reset protective price levels.
		_stopPrice = 0m;
		_takeProfitPrice = 0m;
		_hasTargets = false;
	}

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

		// Apply configured trading volume to base strategy.
		Volume = TradeVolume;

		// Prepare indicators that replicate the MQL Expert Advisor logic.
		_sma = new SMA { Length = MaLength };
		_accumulationDistribution = new AccumulationDistributionLine();
		_chaikinFast = new EMA { Length = ChaikinFastLength };
		_chaikinSlow = new EMA { Length = ChaikinSlowLength };

		// Subscribe to candle data and bind indicators.
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_accumulationDistribution, _sma, ProcessCandle)
			.Start();

		// Optional charting for visual validation.
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _sma);
			DrawIndicator(area, _accumulationDistribution);
			DrawOwnTrades(area);
		}
	}

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

		// Rebuild Chaikin oscillator values via EMA of the ADL indicator.
		var fastResult = _chaikinFast.Process(new DecimalIndicatorValue(_chaikinFast, adlValue, candle.ServerTime) { IsFinal = true });
		var slowResult = _chaikinSlow.Process(new DecimalIndicatorValue(_chaikinSlow, adlValue, candle.ServerTime) { IsFinal = true });
		var chaikinValue = fastResult.ToDecimal() - slowResult.ToDecimal();

		// Wait for all indicators to be fully formed before trading.
		if (!_chaikinFast.IsFormed || !_chaikinSlow.IsFormed || !_sma.IsFormed)
		{
			UpdateState(candle, chaikinValue, smaValue);
			return;
		}

		if (!_hasPrevCandle)
		{
			UpdateState(candle, chaikinValue, smaValue);
			return;
		}

		var step = Security?.PriceStep ?? 1m;
		var stopLossDistance = StopLossPoints * step;
		var takeProfitDistance = TakeProfitPoints * step;

		// Check protective stop-loss and take-profit targets before new decisions.
		if (_hasTargets)
		{
			if (Position > 0)
			{
				if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takeProfitPrice)
				{
					SellMarket(Position);
					ResetTargets();
				}
			}
			else if (Position < 0)
			{
				if (candle.HighPrice >= _stopPrice || candle.LowPrice <= _takeProfitPrice)
				{
					BuyMarket(Math.Abs(Position));
					ResetTargets();
				}
			}
			else
			{
				ResetTargets();
			}
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			UpdateState(candle, chaikinValue, smaValue);
			return;
		}

		var prevBullish = _prevClose > _prevOpen;
		var prevBearish = _prevClose < _prevOpen;

		if (Position > 0)
		{
			var shouldExitLong = prevBearish && _prevHigh > _prevSma && _prevChaikin > CloseLevel;
			if (shouldExitLong)
			{
				SellMarket(Position);
				ResetTargets();
			}
		}
		else if (Position < 0)
		{
			var shouldExitShort = prevBullish && _prevLow < _prevSma && _prevChaikin < -CloseLevel;
			if (shouldExitShort)
			{
				BuyMarket(Math.Abs(Position));
				ResetTargets();
			}
		}
		else
		{
			// No position is open, evaluate entry signals.

			var allowLong = prevBullish && _prevLow < _prevSma && _prevChaikin < -OpenLevel;
			var allowShort = prevBearish && _prevHigh > _prevSma && _prevChaikin > OpenLevel;

			if (allowLong)
			{
				BuyMarket();

				var entryPrice = candle.ClosePrice;
				_stopPrice = entryPrice - stopLossDistance;
				_takeProfitPrice = entryPrice + takeProfitDistance;
				_hasTargets = true;
			}
			else if (allowShort)
			{
				SellMarket();

				var entryPrice = candle.ClosePrice;
				_stopPrice = entryPrice + stopLossDistance;
				_takeProfitPrice = entryPrice - takeProfitDistance;
				_hasTargets = true;
			}
		}

		UpdateState(candle, chaikinValue, smaValue);
	}

	private void UpdateState(ICandleMessage candle, decimal chaikinValue, decimal smaValue)
	{
		// Store previous candle data for next iteration checks.
		_prevOpen = candle.OpenPrice;
		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
		_prevClose = candle.ClosePrice;
		_prevSma = smaValue;
		_prevChaikin = chaikinValue;
		_hasPrevCandle = true;
	}

	private void ResetTargets()
	{
		// Clear stop-loss and take-profit levels once position is closed.
		_stopPrice = 0m;
		_takeProfitPrice = 0m;
		_hasTargets = false;
	}
}