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SilverTrend V3 Strategy (C#)

Overview

The SilverTrend V3 strategy is a momentum-following system that originates from the MetaTrader 5 expert advisor "SilverTrend v3". The StockSharp port reproduces the original logic while adapting it to the high-level strategy API. The core idea is to detect bullish or bearish momentum using a SilverTrend channel calculation, confirm it with the J_TPO market profile oscillator, and manage the resulting positions with protective stops, trailing logic, and a Friday session filter.

Signal Engine

  1. SilverTrend direction

    • Uses a rolling 350-bar window with a 9-bar smoothing parameter to compute dynamic support (smin) and resistance (smax).
    • When the current close falls below smin, the system flags a bearish regime; a close above smax flips the regime to bullish.
    • The calculation iterates from the oldest bar to the most recent one to replicate the recursive nature of the original MQL code.

  2. J_TPO confirmation

    • Implements the original 14-period J_TPO oscillator that measures how prices cluster within a short-term distribution.
    • Only allows long entries when the oscillator is positive and short entries when it is negative, filtering out weak momentum shifts.

  3. Signal change detection

    • A trade is initiated only when the newly computed SilverTrend direction differs from the previous value, ensuring that the strategy reacts to genuine regime shifts instead of noise.

Trade Management

  • Market entries – The strategy trades the configured Volume. If an opposite position is open, it is closed and reversed in one market order.
  • Initial stop loss – Optional. Defined in price steps relative to the fill price (converted with the instrument's PriceStep).
  • Take profit – Optional. Also defined in price steps and evaluated against candle extremes to mimic the original order-modification behaviour.
  • Trailing stop – Activates once price moves in favour by the configured trailing distance. For long positions the stop ratchets upward, for shorts it ratchets downward, matching the MetaTrader logic.
  • Exit on opposite signal – When the previous regime points in the opposite direction, any existing position is liquidated on the next candle close.
  • Friday trading block – New positions are skipped after the specified hour on Fridays to avoid weekend gaps, exactly as in the source EA.

Parameters

Name Default Description
TrailingStopPoints 50 Trailing stop distance measured in price steps. Set to zero to disable trailing.
TakeProfitPoints 50 Take profit distance in price steps. Zero disables the target.
InitialStopLossPoints 0 Initial protective stop in price steps. Zero leaves the position without an initial stop.
FridayCutoffHour 16 Exchange hour after which no new entries are permitted on Friday. Use 0 to allow trading all day.
CandleType 1-hour candles Data series that feeds the indicators. Any supported timeframe can be used.
Volume 1 lot Trading size for each position (StockSharp Volume property).

All distances are multiplied by PriceStep during runtime, which automatically adapts the strategy to the security's tick size (including 3/5 digit forex symbols).

Data and Environment Requirements

  • Requires at least 360 completed candles before live signals are produced so that both SilverTrend and J_TPO buffers are fully formed.
  • Designed for single-instrument trading via SubscribeCandles. The GetWorkingSecurities override ensures the strategy subscribes only to the configured security and timeframe.
  • Uses StartProtection() to enable the standard StockSharp position-protection service once at start-up.

Usage Notes

  • The algorithm expects trending instruments such as major forex pairs or liquid futures; adapt the timeframe to the market's volatility.
  • Because the SilverTrend calculation is recursive, restarting the strategy with insufficient historical candles will delay signal formation until enough data is collected.
  • The high-level API implementation uses candle extremes to simulate order management (stop loss, take profit, trailing). In live trading consider pairing the logic with actual stop/limit orders if your infrastructure requires it.
  • The port stores internal state (_previousSignal, _entryPrice, trailing stops) exactly once per finished candle, matching the "one trade per bar" behaviour of the original EA.

Conversion Details

  • Faithfully reproduces the mathematical routines from SilverTrend v3.mq5, including the nested-array J_TPO algorithm.
  • Applies C# best practices: parameters are exposed via StrategyParam<T>, all comments are in English, and indentation uses tabs as mandated by the repository guidelines.
  • No Python version is provided in this release per the task requirements.
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>
/// SilverTrend v3 momentum strategy ported from MetaTrader 5.
/// </summary>
public class SilverTrendV3Strategy : Strategy
{
	private readonly StrategyParam<int> _countBars;
	private readonly StrategyParam<int> _ssp;
	private readonly StrategyParam<int> _jtpoLength;
	private readonly StrategyParam<int> _historyCapacity;
	private readonly StrategyParam<int> _risk;

	private readonly StrategyParam<decimal> _trailingStopPoints;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _initialStopLossPoints;
	private readonly StrategyParam<int> _fridayCutoffHour;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _closeHistory = new();
	private readonly List<decimal> _highHistory = new();
	private readonly List<decimal> _lowHistory = new();

	private decimal? _longTrailingStop;
	private decimal? _shortTrailingStop;
	private decimal _entryPrice;
	private int _previousSignal;
	private decimal _pointValue;

	/// <summary>
	/// Trailing stop distance expressed in price steps.
	/// </summary>
	public decimal TrailingStopPoints
	{
		get => _trailingStopPoints.Value;
		set => _trailingStopPoints.Value = value;
	}

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

	/// <summary>
	/// Initial stop loss distance expressed in price steps.
	/// </summary>
	public decimal InitialStopLossPoints
	{
		get => _initialStopLossPoints.Value;
		set => _initialStopLossPoints.Value = value;
	}

	/// <summary>
	/// Hour after which no new trades are allowed on Friday (exchange time).
	/// </summary>
	public int FridayCutoffHour
	{
		get => _fridayCutoffHour.Value;
		set => _fridayCutoffHour.Value = value;
	}

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

	/// <summary>
	/// Number of bars used in the indicator history.
	/// </summary>
	public int CountBars
	{
		get => _countBars.Value;
		set => _countBars.Value = value;
	}

	/// <summary>
	/// Sliding window length for the signal filter.
	/// </summary>
	public int Ssp
	{
		get => _ssp.Value;
		set => _ssp.Value = value;
	}

	/// <summary>
	/// Length used when smoothing JTPO indicator.
	/// </summary>
	public int JtpoLength
	{
		get => _jtpoLength.Value;
		set => _jtpoLength.Value = value;
	}

	/// <summary>
	/// Maximum number of candles stored in history.
	/// </summary>
	public int HistoryCapacity
	{
		get => _historyCapacity.Value;
		set => _historyCapacity.Value = value;
	}

	/// <summary>
	/// Risk coefficient used in signal calculations.
	/// </summary>
	public int Risk
	{
		get => _risk.Value;
		set => _risk.Value = value;
	}

	/// <summary>
	/// Initialize default parameters.
	/// </summary>
	public SilverTrendV3Strategy()
	{
		_countBars = Param(nameof(CountBars), 150)
			.SetGreaterThanZero()
			.SetDisplay("Count Bars", "Number of candles required before trading", "Indicator");

		_ssp = Param(nameof(Ssp), 9)
			.SetGreaterThanZero()
			.SetDisplay("SSP", "Sliding window length", "Indicator");

		_jtpoLength = Param(nameof(JtpoLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("JTPO Length", "JTPO smoothing length", "Indicator");

		_historyCapacity = Param(nameof(HistoryCapacity), 220)
			.SetGreaterThanZero()
			.SetDisplay("History Capacity", "Maximum stored candles", "Indicator");

		_risk = Param(nameof(Risk), 3)
			.SetGreaterThanZero()
			.SetDisplay("Risk", "Risk coefficient", "Trading");

		_trailingStopPoints = Param(nameof(TrailingStopPoints), 50m)
			.SetDisplay("Trailing Stop", "Trailing distance in price steps", "Risk")
			.SetNotNegative();

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 50m)
			.SetDisplay("Take Profit", "Take profit distance in price steps", "Risk")
			.SetNotNegative();

		_initialStopLossPoints = Param(nameof(InitialStopLossPoints), 0m)
			.SetDisplay("Initial Stop Loss", "Initial stop loss in price steps", "Risk")
			.SetNotNegative();

		_fridayCutoffHour = Param(nameof(FridayCutoffHour), 16)
			.SetDisplay("Friday Cutoff Hour", "Disable new entries after this hour on Friday", "Sessions")
			.SetNotNegative();

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for signal calculations", "General");

		Volume = 1m;
	}

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

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

		_closeHistory.Clear();
		_highHistory.Clear();
		_lowHistory.Clear();
		_longTrailingStop = null;
		_shortTrailingStop = null;
		_entryPrice = 0m;
		_previousSignal = 0;
		_pointValue = 0m;
	}

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

		_pointValue = Security?.PriceStep ?? 1m;
		if (_pointValue <= 0m)
		{
			_pointValue = 1m;
		}

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

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

		// protection handled manually via trailing/TP/SL
	}

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

		UpdateHistory(candle);

		// indicators are processed manually

		if (_closeHistory.Count < CountBars + Ssp + 1)
		{
			return;
		}

		var jtpo = CalculateJtpo(JtpoLength);
		var signal = CalculateSilverTrendSignal();

		var longSignal = _previousSignal != signal && signal > 0 && jtpo > 0m;
		var shortSignal = _previousSignal != signal && signal < 0 && jtpo < 0m;

		var exitLong = _previousSignal < 0;
		var exitShort = _previousSignal > 0;

		ManageOpenPosition(candle, exitLong, exitShort);

		if (Position <= 0 && longSignal && !IsFridayBlocked(candle))
		{
			EnterLong(candle);
		}
		else if (Position >= 0 && shortSignal && !IsFridayBlocked(candle))
		{
			EnterShort(candle);
		}

		_previousSignal = signal;
	}

	private void UpdateHistory(ICandleMessage candle)
	{
		_closeHistory.Add(candle.ClosePrice);
		_highHistory.Add(candle.HighPrice);
		_lowHistory.Add(candle.LowPrice);

		if (_closeHistory.Count > HistoryCapacity)
		{
			_closeHistory.RemoveAt(0);
			_highHistory.RemoveAt(0);
			_lowHistory.RemoveAt(0);
		}
	}

	private void ManageOpenPosition(ICandleMessage candle, bool exitLongSignal, bool exitShortSignal)
	{
		if (Position > 0)
		{
			UpdateLongTrailing(candle);

			var initialStop = InitialStopLossPoints > 0m ? _entryPrice - GetDistance(InitialStopLossPoints) : (decimal?)null;
			var trailingStop = _longTrailingStop;
			var stop = CombineLongStops(initialStop, trailingStop);
			var takeProfit = TakeProfitPoints > 0m ? _entryPrice + GetDistance(TakeProfitPoints) : (decimal?)null;

			if (exitLongSignal ||
				(takeProfit.HasValue && candle.HighPrice >= takeProfit.Value) ||
				(stop.HasValue && candle.LowPrice <= stop.Value))
			{
				SellMarket();
				ResetStops();
			}
		}
		else if (Position < 0)
		{
			UpdateShortTrailing(candle);

			var initialStop = InitialStopLossPoints > 0m ? _entryPrice + GetDistance(InitialStopLossPoints) : (decimal?)null;
			var trailingStop = _shortTrailingStop;
			var stop = CombineShortStops(initialStop, trailingStop);
			var takeProfit = TakeProfitPoints > 0m ? _entryPrice - GetDistance(TakeProfitPoints) : (decimal?)null;

			if (exitShortSignal ||
				(takeProfit.HasValue && candle.LowPrice <= takeProfit.Value) ||
				(stop.HasValue && candle.HighPrice >= stop.Value))
			{
				BuyMarket();
				ResetStops();
			}
		}
		else
		{
			ResetStops();
		}
	}

	private void EnterLong(ICandleMessage candle)
	{
		var volume = Volume;
		if (Position < 0)
		{
			volume += Math.Abs(Position);
		}

		BuyMarket(volume);

		_entryPrice = candle.ClosePrice;
		_longTrailingStop = null;
		_shortTrailingStop = null;
	}

	private void EnterShort(ICandleMessage candle)
	{
		var volume = Volume;
		if (Position > 0)
		{
			volume += Position;
		}

		SellMarket(volume);

		_entryPrice = candle.ClosePrice;
		_longTrailingStop = null;
		_shortTrailingStop = null;
	}

	private void UpdateLongTrailing(ICandleMessage candle)
	{
		if (TrailingStopPoints <= 0m)
		{
			return;
		}

		var distance = GetDistance(TrailingStopPoints);
		var trigger = _entryPrice + distance;

		if (candle.ClosePrice > trigger)
		{
			var newStop = candle.ClosePrice - distance;
			if (!_longTrailingStop.HasValue || newStop > _longTrailingStop.Value)
			{
				_longTrailingStop = newStop;
			}
		}
	}

	private void UpdateShortTrailing(ICandleMessage candle)
	{
		if (TrailingStopPoints <= 0m)
		{
			return;
		}

		var distance = GetDistance(TrailingStopPoints);
		var trigger = _entryPrice - distance;

		if (candle.ClosePrice < trigger)
		{
			var newStop = candle.ClosePrice + distance;
			if (!_shortTrailingStop.HasValue || newStop < _shortTrailingStop.Value)
			{
				_shortTrailingStop = newStop;
			}
		}
	}

	private decimal? CombineLongStops(decimal? initialStop, decimal? trailingStop)
	{
		if (initialStop == null && trailingStop == null)
		{
			return null;
		}

		if (initialStop == null)
		{
			return trailingStop;
		}

		if (trailingStop == null)
		{
			return initialStop;
		}

		return Math.Max(initialStop.Value, trailingStop.Value);
	}

	private decimal? CombineShortStops(decimal? initialStop, decimal? trailingStop)
	{
		if (initialStop == null && trailingStop == null)
		{
			return null;
		}

		if (initialStop == null)
		{
			return trailingStop;
		}

		if (trailingStop == null)
		{
			return initialStop;
		}

		return Math.Min(initialStop.Value, trailingStop.Value);
	}

	private void ResetStops()
	{
		if (Position == 0)
		{
			_entryPrice = 0m;
		}

		_longTrailingStop = null;
		_shortTrailingStop = null;
	}

	private bool IsFridayBlocked(ICandleMessage candle)
	{
		if (FridayCutoffHour <= 0)
		{
			return false;
		}

		var time = candle.OpenTime;
		return time.DayOfWeek == DayOfWeek.Friday && time.Hour > FridayCutoffHour;
	}

	private int CalculateSilverTrendSignal()
	{
		var k = 33 - Risk;
		var uptrend = false;
		var val = 0;

		for (var i = CountBars - Ssp; i >= 0; i--)
		{
			var ssMax = GetHigh(i);
			var ssMin = GetLow(i);

			for (var i2 = i; i2 <= i + Ssp - 1; i2++)
			{
				var priceHigh = GetHigh(i2);
				if (ssMax < priceHigh)
				{
					ssMax = priceHigh;
				}

				var priceLow = GetLow(i2);
				if (ssMin >= priceLow)
				{
					ssMin = priceLow;
				}
			}

			var smin = ssMin + (ssMax - ssMin) * k / 100m;
			var smax = ssMax - (ssMax - ssMin) * k / 100m;

			if (GetClose(i) < smin)
			{
				uptrend = false;
			}

			if (GetClose(i) > smax)
			{
				uptrend = true;
			}

			val = uptrend ? 1 : -1;
		}

		return val;
	}

	private decimal CalculateJtpo(int len)
	{
		if (_closeHistory.Count < 200)
		{
			return 0m;
		}

		decimal f8 = 0m;
		decimal f10 = 0m;
		decimal f18 = 0m;
		decimal f20 = 0m;
		decimal f30 = 0m;
		decimal f40 = 0m;
		decimal k = 0m;
		decimal var14 = 0m;
		decimal var18 = 0m;
		decimal var1C = 0m;
		decimal var20 = 0m;
		decimal var24 = 0m;
		decimal value = 0m;
		var f38 = 0;
		var f48 = 0;
		var arr0 = new decimal[400];
		var arr1 = new decimal[400];
		var arr2 = new decimal[400];
		var arr3 = new decimal[400];

		for (var i = 200 - len - 100; i >= 0; i--)
		{
			var14 = 0m;
			var1C = 0m;

			if (f38 == 0)
			{
				f38 = 1;
				f40 = 0m;
				f30 = len - 1 >= 2 ? len - 1 : 2;
				f48 = (int)f30 + 1;
				f10 = GetClose(i);
				arr0[f38] = f10;
				k = f48;
				f18 = 12m / (k * (k - 1) * (k + 1));
				f20 = (f48 + 1) * 0.5m;
			}
			else
			{
				if (f38 <= f48)
				{
					f38 += 1;
				}
				else
				{
					f38 = f48 + 1;
				}

				f8 = f10;
				f10 = GetClose(i);

				if (f38 > f48)
				{
					for (var var6 = 2; var6 <= f48; var6++)
					{
						arr0[var6 - 1] = arr0[var6];
					}

					arr0[f48] = f10;
				}
				else
				{
					arr0[f38] = f10;
				}

				if (f30 >= f38 && f8 != f10)
				{
					f40 = 1m;
				}

				if (f30 == f38 && f40 == 0m)
				{
					f38 = 0;
				}
			}

			if (f38 >= f48)
			{
				for (var varA = 1; varA <= f48; varA++)
				{
					arr2[varA] = varA;
					arr3[varA] = varA;
					arr1[varA] = arr0[varA];
				}

				for (var varA = 1; varA <= f48 - 1; varA++)
				{
					var24 = arr1[varA];
					var var12 = varA;

					for (var var6 = varA + 1; var6 <= f48; var6++)
					{
						if (arr1[var6] < var24)
						{
							var24 = arr1[var6];
							var12 = var6;
						}
					}

					var20 = arr1[varA];
					arr1[varA] = arr1[var12];
					arr1[var12] = var20;

					var20 = arr2[varA];
					arr2[varA] = arr2[var12];
					arr2[var12] = var20;
				}

				var varIndex = 1;
				while (f48 > varIndex)
				{
					var var6 = varIndex + 1;
					var14 = 1m;
					var1C = arr3[varIndex];

					while (var14 != 0m && var6 < arr3.Length)
					{
						if (arr1[varIndex] != arr1[var6])
						{
							if ((var6 - varIndex) > 1)
							{
								var1C /= (var6 - varIndex);

								for (var varE = varIndex; varE <= var6 - 1; varE++)
								{
									arr3[varE] = var1C;
								}
							}

							var14 = 0m;
						}
						else
						{
							var1C += arr3[var6];
							var6 += 1;

							if (var6 > f48 + 1)
							{
								break;
							}
						}
					}

					varIndex = var6;
				}

				var1C = 0m;
				for (var varA = 1; varA <= f48; varA++)
				{
					var1C += (arr3[varA] - f20) * (arr2[varA] - f20);
				}

				var18 = f18 * var1C;
			}
			else
			{
				var18 = 0m;
			}

			value = var18;

			if (value == 0m)
			{
				value = 0.00001m;
			}
		}

		return value;
	}

	private decimal GetClose(int shift)
	{
		var index = _closeHistory.Count - 1 - shift;
		if (index < 0)
		{
			index = 0;
		}

		return _closeHistory[index];
	}

	private decimal GetHigh(int shift)
	{
		var index = _highHistory.Count - 1 - shift;
		if (index < 0)
		{
			index = 0;
		}

		return _highHistory[index];
	}

	private decimal GetLow(int shift)
	{
		var index = _lowHistory.Count - 1 - shift;
		if (index < 0)
		{
			index = 0;
		}

		return _lowHistory[index];
	}

	private decimal GetDistance(decimal points)
	{
		return points * _pointValue;
	}
}