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Roman Direction Flip

This strategy recreates the original MQL expert advisor that was published as roman.mq5. It always keeps a position open and alternates the trade direction only after the previous trade is closed. While the position remains profitable it repeats the same direction; after a stop-loss the strategy flips to the opposite side. The StockSharp version works with level 1 data and uses best bid/ask quotes to emulate the pip-based exits from MetaTrader.

Strategy logic

  1. Initial direction – at start-up the StartWithBuy parameter defines whether the very first order is a buy or a sell. The decision is stored in _nextTradeBuy so it persists between deals.
  2. Entering the market – when the strategy is flat and there are no pending orders, it submits a market order in the predefined direction. For buy orders the current best ask is stored as the reference entry price, and for sell orders the current best bid is used. This mirrors the MetaTrader implementation where buys execute at the ask and sells at the bid.
  3. Monitoring the open position – after the order is filled, the strategy listens to level 1 updates. Each update provides the latest bid/ask so the algorithm can calculate the unrealized profit expressed in price steps (pips). The security PriceStep is used as the denominator, and a fallback of 1 is applied if the step is unknown.
  4. Take-profit rule – when the unrealized gain reaches or exceeds TakeProfitSteps, the position is closed with ClosePosition(). The _nextTradeBuy flag keeps the same value so the next order will follow the direction that just succeeded.
  5. Stop-loss rule – when the unrealized loss reaches or exceeds StopLossSteps, the position is closed and _nextTradeBuy is toggled. The following trade therefore enters in the opposite direction, matching the original EA behavior where the bs boolean flips on a loss.
  6. Order throttling – _orderPending prevents the algorithm from submitting multiple orders while a previous request is still being processed. The flag is reset in OnPositionChanged after the position size is updated.

This simple sequence keeps the strategy invested at all times and alternates direction only after a losing trade. As a result the system resembles a trend-following toggle: after a stop-loss it assumes the trend has changed and follows the new side.

Parameters

  • OrderVolume (decimal, default = 0.1) – quantity sent with each market order. Set this to the contract size you need for live trading or simulations.
  • TakeProfitSteps (int, default = 46) – positive number of price steps required to trigger the take-profit. Steps correspond to Security.PriceStep, so on a symbol with a 0.01 tick size the default equals 0.46 price units.
  • StopLossSteps (int, default = 31) – maximum adverse price movement (in steps) before the position is closed and the direction is flipped.
  • StartWithBuy (bool, default = true) – determines whether the very first trade is long (true) or short (false). Subsequent trades depend on the results of prior positions.

Every parameter is exposed through StrategyParam<T>, supports optimization (except the boolean switch), and is visible in the UI thanks to SetDisplay metadata.

Data and execution details

  • Subscribes to SubscribeLevel1() to receive best bid/ask quotes. No candle or indicator data is required.
  • Uses BuyMarket/SellMarket for entries and ClosePosition() for exits, ensuring the logic remains close to the MQL version that relied on immediate market orders.
  • Stores the last known bid/ask locally to mimic the _Point-based profit calculation from MetaTrader.

Risk management

  • Fixed take-profit and stop-loss in price steps guarantee that every trade has pre-defined exit levels.
  • The direction flip after a loss can lead to rapid alternation in choppy markets, so position size (OrderVolume) should be calibrated according to account risk tolerance.
  • Because the strategy almost always holds a position, it is sensitive to overnight gaps and sudden quote jumps; consider external safeguards if that is a concern.

Default values

  • OrderVolume = 0.1
  • TakeProfitSteps = 46
  • StopLossSteps = 31
  • StartWithBuy = true

Filters

  • Category: Trend following / direction toggle
  • Direction: Both (long & short)
  • Indicators: None
  • Stops: Yes (fixed step take-profit and stop-loss)
  • Complexity: Basic
  • Timeframe: Tick / Level1 quotes
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk level: High (always in market)

Notes

  • The original EA stored the next direction in a boolean named bs. The StockSharp port keeps the same idea via _nextTradeBuy while adding order throttling to avoid duplicate submissions.
  • Price step granularity matters: if your instrument uses fractional pips, adjust the defaults so that profit/loss targets reflect the desired monetary amounts.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Roman Direction Flip strategy. Alternates direction on momentum reversals.
/// Uses Momentum indicator zero-line crossover.
/// </summary>
public class RomanDirectionFlipStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _momPeriod;
	private decimal? _prevMom;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int MomPeriod { get => _momPeriod.Value; set => _momPeriod.Value = value; }

	public RomanDirectionFlipStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_momPeriod = Param(nameof(MomPeriod), 12).SetGreaterThanZero().SetDisplay("Momentum Period", "Momentum lookback", "Indicators");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMom = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevMom = null;
		var mom = new Momentum { Length = MomPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(mom, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal momVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevMom = momVal; return; }
		if (_prevMom == null) { _prevMom = momVal; return; }
		if (_prevMom.Value < 100m && momVal >= 100m && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (_prevMom.Value > 100m && momVal <= 100m && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevMom = momVal;
	}
}