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Fractured Fractals Strategy

Port of the classic MetaTrader "Fractured Fractals" expert advisor. The strategy tracks confirmed Williams fractals, places stop orders on fresh breakout levels, and trails a protective stop on the opposite fractal.

Details

  • Source: Converted from MQL/20127/Fractured Fractals.mq5.
  • Market Regime: Breakout continuation on any instrument supported by StockSharp.
  • Order Types: Uses stop orders for entries and protective stop orders for exits.
  • Position Sizing: Risk-based, controlled by MaximumRiskPercent and the adaptive DecreaseFactor streak logic.
  • Default Parameters:
    • MaximumRiskPercent = 2%
    • DecreaseFactor = 10
    • ExpirationHours = 1 hour
    • CandleType = 1-hour time frame
  • Core Indicators: Native five-bar Williams fractals calculated on the fly.
  • Strategy Type: Long/short breakout with dynamic stop management.

Strategy Logic

Fractal sequence tracking

  • Maintains queues of the last five candle highs and lows to mimic the iFractals buffer in MT5.
  • Each confirmed fractal shifts three rolling slots: youngest, middle, and old. Duplicate values are ignored using the instrument price step for tolerance.
  • Long signals require the newest up fractal to exceed the middle fractal; short signals require the newest down fractal to be lower than the previous one.

Entry orders and expiration

  • When no long position or pending buy stop exists, the strategy places a buy stop at the most recent up fractal with a stop loss at the latest down fractal.
  • Symmetrically, short entries place a sell stop at the most recent down fractal with a protective stop at the latest up fractal.
  • Pending orders inherit an expiration defined by ExpirationHours. If the candle time surpasses the expiry or the fractal hierarchy invalidates the setup (new lower up fractal for longs or higher down fractal for shorts), the order is cancelled.
  • The bot keeps the book clean by cancelling opposite orders once a position opens.

Protective trailing stops

  • Every confirmed opposite fractal updates the protective stop order: long positions trail the newest down fractal, short positions trail the newest up fractal.
  • Stops are only tightened—new levels must improve over the existing order price before a replacement occurs.
  • When the position is closed, any remaining stop orders are cancelled immediately.

Risk management and streak control

  • CalculateOrderVolume replicates the MT5 risk calculation: risk per unit = entry price minus stop price (or vice versa for shorts).
  • Target monetary risk equals Portfolio.CurrentValue * MaximumRiskPercent / 100 with a fallback to the Volume property when portfolio valuation is unavailable.
  • The resulting volume is normalised by lot size, volume step, minimum volume, and maximum volume constraints exposed by Security.
  • After a losing trade the streak counter increments; profitable or flat trades reset the counter. If more than one consecutive loss occurs, the size is scaled down by losses / DecreaseFactor.

Trade outcome tracking

  • OnOwnTradeReceived aggregates fills to determine when a position cycle completes and whether it ended positive, negative, or flat.
  • The streak counter and the last profitable time stamp mirror the original logic, allowing further extensions (e.g., analytics) if desired.

Usage Notes

  1. Attach the strategy to any security/portfolio pair, adjust CandleType to the desired resolution, and set the risk parameters according to account size.
  2. Ensure the adapter/broker supports stop orders; otherwise replace the protective orders with manual exits in UpdateTrailingStops.
  3. Because the implementation processes only finished candles, intra-bar spikes smaller than the candle resolution will not trigger orders exactly as in tick-based MT5 tests.
  4. Consider enabling logging to review comment messages produced by the C# port, mirroring the original expert's feedback.
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>
/// Port of the "Fractured Fractals" MetaTrader strategy using high-level StockSharp API.
/// Places stop orders on newly confirmed fractals and trails the stop with the opposite fractal.
/// </summary>
public class FracturedFractalsStrategy : Strategy
{
	private readonly StrategyParam<decimal> _maximumRiskPercent;
	private readonly StrategyParam<decimal> _decreaseFactor;
	private readonly StrategyParam<int> _expirationHours;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _highBuffer = new();
	private readonly List<decimal> _lowBuffer = new();

	private decimal? _lastUpFractal;
	private decimal? _lastDownFractal;
	private decimal? _upYoungest;
	private decimal? _upMiddle;
	private decimal? _upOld;
	private decimal? _downYoungest;
	private decimal? _downMiddle;
	private decimal? _downOld;

	private decimal? _buyStopLevel;
	private decimal? _sellStopLevel;
	private decimal? _longStopLevel;
	private decimal? _shortStopLevel;
	private DateTimeOffset? _buyStopExpiry;
	private DateTimeOffset? _sellStopExpiry;
	private decimal _buyStopVolume;
	private decimal _sellStopVolume;

	private decimal _entryPrice;
	private int _consecutiveLosses;

	/// <summary>
	/// Maximum risk per trade expressed as percentage of portfolio value.
	/// </summary>
	public decimal MaximumRiskPercent
	{
		get => _maximumRiskPercent.Value;
		set => _maximumRiskPercent.Value = value;
	}

	/// <summary>
	/// Factor that reduces position size after consecutive losing trades.
	/// </summary>
	public decimal DecreaseFactor
	{
		get => _decreaseFactor.Value;
		set => _decreaseFactor.Value = value;
	}

	/// <summary>
	/// Pending order lifetime in hours.
	/// </summary>
	public int ExpirationHours
	{
		get => _expirationHours.Value;
		set => _expirationHours.Value = value;
	}

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

	/// <summary>
	/// Initialize <see cref="FracturedFractalsStrategy"/> with default parameters.
	/// </summary>
	public FracturedFractalsStrategy()
	{
		_maximumRiskPercent = Param(nameof(MaximumRiskPercent), 2m)
		.SetRange(0.0001m, 100m)
		.SetDisplay("Max Risk %", "Maximum risk per trade", "Risk");

		_decreaseFactor = Param(nameof(DecreaseFactor), 10m)
		.SetRange(0m, 1000m)
		.SetDisplay("Decrease Factor", "Loss streak position size dampener", "Risk");

		_expirationHours = Param(nameof(ExpirationHours), 1)
		.SetRange(0, 240)
		.SetDisplay("Expiration", "Pending order lifetime (hours)", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
		.SetDisplay("Candle Type", "Primary timeframe", "General");
	}

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

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

		_highBuffer.Clear();
		_lowBuffer.Clear();

		_lastUpFractal = null;
		_lastDownFractal = null;
		_upYoungest = null;
		_upMiddle = null;
		_upOld = null;
		_downYoungest = null;
		_downMiddle = null;
		_downOld = null;

		_buyStopLevel = null;
		_sellStopLevel = null;
		_longStopLevel = null;
		_shortStopLevel = null;
		_buyStopExpiry = null;
		_sellStopExpiry = null;
		_buyStopVolume = 0m;
		_sellStopVolume = 0m;

		_entryPrice = 0m;
		_consecutiveLosses = 0;
	}

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

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

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

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

		_highBuffer.Add(candle.HighPrice);
		_lowBuffer.Add(candle.LowPrice);

		if (_highBuffer.Count > 5)
			_highBuffer.RemoveAt(0);
		if (_lowBuffer.Count > 5)
			_lowBuffer.RemoveAt(0);

		if (_highBuffer.Count < 5 || _lowBuffer.Count < 5)
			return;

		DetectFractals();

		// Check protective stop levels
		CheckProtectiveStops(candle);

		// Validate pending levels
		ValidatePendingLevels(candle.CloseTime);

		// Check if pending buy/sell stop levels are triggered
		CheckPendingTriggers(candle);

		// Update trailing stops
		UpdateTrailingStops();

		// Try to set new pending levels
		if (Position == 0)
		{
			if (!TrySetBuyStopLevel(candle.CloseTime))
				TrySetSellStopLevel(candle.CloseTime);
		}
	}

	private void DetectFractals()
	{
		var highs = _highBuffer.ToArray();
		var lows = _lowBuffer.ToArray();

		decimal? upFractal = null;
		decimal? downFractal = null;

		if (highs[2] > highs[0] && highs[2] > highs[1] && highs[2] > highs[3] && highs[2] > highs[4])
			upFractal = highs[2];

		if (lows[2] < lows[0] && lows[2] < lows[1] && lows[2] < lows[3] && lows[2] < lows[4])
			downFractal = lows[2];

		if (upFractal is decimal up && !AreEqual(_lastUpFractal, up))
		{
			_lastUpFractal = up;
			_upOld = _upMiddle;
			_upMiddle = _upYoungest;
			_upYoungest = up;
		}

		if (downFractal is decimal down && !AreEqual(_lastDownFractal, down))
		{
			_lastDownFractal = down;
			_downOld = _downMiddle;
			_downMiddle = _downYoungest;
			_downYoungest = down;
		}
	}

	private void CheckProtectiveStops(ICandleMessage candle)
	{
		if (Position > 0 && _longStopLevel.HasValue)
		{
			if (candle.LowPrice <= _longStopLevel.Value)
			{
				SellMarket(Math.Abs(Position));
				_longStopLevel = null;
				_consecutiveLosses++;
				return;
			}
		}

		if (Position < 0 && _shortStopLevel.HasValue)
		{
			if (candle.HighPrice >= _shortStopLevel.Value)
			{
				BuyMarket(Math.Abs(Position));
				_shortStopLevel = null;
				_consecutiveLosses++;
				return;
			}
		}
	}

	private void UpdateTrailingStops()
	{
		if (Position > 0 && _downYoungest.HasValue)
		{
			if (!_longStopLevel.HasValue || _downYoungest.Value > _longStopLevel.Value)
				_longStopLevel = _downYoungest.Value;
		}
		else if (Position <= 0)
		{
			_longStopLevel = null;
		}

		if (Position < 0 && _upYoungest.HasValue)
		{
			if (!_shortStopLevel.HasValue || _upYoungest.Value < _shortStopLevel.Value)
				_shortStopLevel = _upYoungest.Value;
		}
		else if (Position >= 0)
		{
			_shortStopLevel = null;
		}
	}

	private void ValidatePendingLevels(DateTimeOffset currentTime)
	{
		if (_buyStopLevel.HasValue && _upYoungest.HasValue)
		{
			if (_upYoungest.Value < _buyStopLevel.Value && !AreEqual(_upYoungest, _buyStopLevel.Value))
			{
				_buyStopLevel = null;
				_buyStopExpiry = null;
			}
		}

		if (_sellStopLevel.HasValue && _downYoungest.HasValue)
		{
			if (_downYoungest.Value > _sellStopLevel.Value && !AreEqual(_downYoungest, _sellStopLevel.Value))
			{
				_sellStopLevel = null;
				_sellStopExpiry = null;
			}
		}

		if (_buyStopLevel.HasValue && _buyStopExpiry.HasValue && currentTime >= _buyStopExpiry.Value)
		{
			_buyStopLevel = null;
			_buyStopExpiry = null;
		}

		if (_sellStopLevel.HasValue && _sellStopExpiry.HasValue && currentTime >= _sellStopExpiry.Value)
		{
			_sellStopLevel = null;
			_sellStopExpiry = null;
		}

		if (Position != 0)
		{
			_buyStopLevel = null;
			_sellStopLevel = null;
			_buyStopExpiry = null;
			_sellStopExpiry = null;
		}
	}

	private void CheckPendingTriggers(ICandleMessage candle)
	{
		if (_buyStopLevel.HasValue && candle.HighPrice >= _buyStopLevel.Value && Position <= 0)
		{
			var buyLevel = _buyStopLevel.Value;
			var vol = _buyStopVolume > 0m ? _buyStopVolume : Volume;
			if (vol > 0m)
			{
				if (Position < 0)
					BuyMarket(Math.Abs(Position));
				BuyMarket(vol);
				_entryPrice = buyLevel;
				_longStopLevel = _downYoungest;
			}
			_buyStopLevel = null;
			_buyStopExpiry = null;
		}

		if (_sellStopLevel.HasValue && candle.LowPrice <= _sellStopLevel.Value && Position >= 0)
		{
			var sellLevel = _sellStopLevel.Value;
			var vol = _sellStopVolume > 0m ? _sellStopVolume : Volume;
			if (vol > 0m)
			{
				if (Position > 0)
					SellMarket(Math.Abs(Position));
				SellMarket(vol);
				_entryPrice = sellLevel;
				_shortStopLevel = _upYoungest;
			}
			_sellStopLevel = null;
			_sellStopExpiry = null;
		}
	}

	private bool TrySetBuyStopLevel(DateTimeOffset time)
	{
		if (Position > 0 || _buyStopLevel.HasValue)
			return false;

		if (_upYoungest is not decimal up || _upMiddle is not decimal middle || _downYoungest is not decimal stop)
			return false;

		if (up <= middle || stop >= up)
			return false;

		var volume = CalculateOrderVolume(up, stop, Sides.Buy);
		if (volume <= 0m)
			return false;

		_buyStopLevel = up;
		_buyStopVolume = volume;
		_buyStopExpiry = ExpirationHours > 0 ? time + TimeSpan.FromHours(ExpirationHours) : null;
		return true;
	}

	private void TrySetSellStopLevel(DateTimeOffset time)
	{
		if (Position < 0 || _sellStopLevel.HasValue)
			return;

		if (_downYoungest is not decimal down || _downMiddle is not decimal middle || _upYoungest is not decimal stop)
			return;

		if (down >= middle || stop <= down)
			return;

		var volume = CalculateOrderVolume(down, stop, Sides.Sell);
		if (volume <= 0m)
			return;

		_sellStopLevel = down;
		_sellStopVolume = volume;
		_sellStopExpiry = ExpirationHours > 0 ? time + TimeSpan.FromHours(ExpirationHours) : null;
	}

	private decimal CalculateOrderVolume(decimal entryPrice, decimal stopPrice, Sides direction)
	{
		var riskPerUnit = direction == Sides.Buy ? entryPrice - stopPrice : stopPrice - entryPrice;
		if (riskPerUnit <= 0m)
			return 0m;

		var portfolioValue = Portfolio?.CurrentValue ?? 0m;
		if (portfolioValue <= 0m)
			portfolioValue = Volume > 0m ? Volume * entryPrice : 0m;

		var riskAmount = portfolioValue * (MaximumRiskPercent / 100m);
		if (riskAmount <= 0m)
			return 0m;

		var volume = riskAmount / riskPerUnit;

		if (DecreaseFactor > 0m && _consecutiveLosses > 1)
			volume -= volume * (_consecutiveLosses / DecreaseFactor);

		if (volume <= 0m)
			return 0m;

		return Math.Max(volume, Volume > 0 ? Volume : 1m);
	}

	private bool AreEqual(decimal? first, decimal second)
	{
		if (first is not decimal value)
			return false;

		var step = Security?.PriceStep ?? 0.00000001m;
		return Math.Abs(value - second) <= step / 2m;
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);
		if (trade?.Trade == null) return;
		if (Position != 0m && _entryPrice == 0m)
			_entryPrice = trade.Trade.Price;
		if (Position == 0m)
			_entryPrice = 0m;
	}
}