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Color Schaff JCCX Trend Cycle MMRec Duplex Strategy

Overview

  • Recreates the dual-direction Expert Advisor "ColorSchaffJCCXTrendCycle_MMRec_Duplex" from MetaTrader within StockSharp.
  • Uses two independent Schaff trend cycle stacks built on Jurik moving averages to detect bullish and bearish reversals.
  • Implements a simplified MMRec (money management recommender) module that reduces size after repeated losses.
  • Applies separate parameter sets for long and short trades, enabling asymmetric configurations across timeframes and price sources.

Indicator Pipeline

  1. JCCX approximation – each price is processed by a Jurik moving average to obtain a detrended series. The detrended series and its absolute value are smoothed again with Jurik averages to approximate the original JCCX oscillator.
  2. MACD layer – the difference between fast and slow JCCX outputs provides the momentum base.
  3. Double stochastic transform – rolling min/max windows normalize the MACD momentum and produce the final Schaff trend cycle (STC) value in the range -100..+100.
  4. Phase control – the Phase parameter modulates an internal smoothing factor (0.05–0.95) applied after every stochastic step, emulating Jurik "phase" behaviour.

The indicator stack is executed twice: once for the long block and once for the short block. Each block can use different candle types and price inputs.

Trading Logic

Long Block

  • Entry: when the long STC crosses above zero (current value > 0 and the previous delayed value ≤ 0). Existing short positions are closed first.
  • Exit: when the long STC falls below zero and long exits are enabled.
  • Stops: optional stop-loss and take-profit distances (expressed in price steps) are evaluated on every completed candle using candle highs/lows.

Short Block

  • Entry: when the short STC crosses below zero (current value < 0 and the delayed value ≥ 0). Any existing long position is flattened before opening a short.
  • Exit: when the short STC climbs above zero and short exits are enabled.
  • Stops: symmetrical stop-loss and take-profit checks for short trades.

The SignalBar parameter defines how many fully closed candles are skipped before signals are evaluated. A value of 1 reproduces the MetaTrader behaviour of using the previous completed candle.

Money Management (MMRec)

  • Two queues track the most recent trade results for longs and shorts.
  • TotalTrigger limits the queue length; only the latest N results are considered.
  • LossTrigger defines how many losses within that queue switch the trade size to SmallVolume.
  • When the loss threshold is not breached, the strategy uses NormalVolume.

Parameters

Group Parameter Description Default
Long LongCandleType Candle type (timeframe) used for long calculations. 8 hour timeframe
Long LongFastLength Fast Jurik length inside the long JCCX approximation. 23
Long LongSlowLength Slow Jurik length for the long JCCX approximation. 50
Long LongSmoothLength Jurik smoothing length applied to the numerator/denominator. 8
Long LongPhase Phase parameter translated into a smoothing factor (0.05–0.95). 100
Long LongCycle Rolling window length for the stochastic transforms. 10
Long LongSignalBar Delay (in bars) before a signal is evaluated. 1
Long LongAppliedPrice Price source used for long calculations. Close
Long LongAllowOpen / LongAllowClose Enable/disable long entries or exits. true
Long LongTotalTrigger Number of recent long trades stored for the MMRec queue. 5
Long LongLossTrigger Losses required inside the queue to switch to small volume. 3
Long LongSmallVolume / LongNormalVolume Reduced and default long trade sizes. 0.01 / 0.1
Long LongStopLoss / LongTakeProfit Optional stop/take distances in price steps. 1000 / 2000
Short Same as long (prefixed with Short).

Risk Notes

  • Price steps are retrieved from the current Security. Ensure the instrument has a valid PriceStep or adjust parameters accordingly.
  • Stop-loss and take-profit checks are evaluated on completed candles; intrabar execution quality depends on candle resolution.
  • The MMRec module relies on comparing entry and exit prices. In live trading slippage may alter the effective result.

Usage Tips

  • Start with identical long/short settings to emulate the original duplex EA, then experiment with asymmetric timeframes.
  • Lower the SignalBar to zero for faster responses; increase it to filter noise.
  • Optimise LongPhase/ShortPhase together with the smoothing lengths to fine-tune responsiveness vs. smoothness.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

public class ColorSchaffJccxTrendCycleMmrecDuplexStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private decimal? _prevFast, _prevSlow;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }

	public ColorSchaffJccxTrendCycleMmrecDuplexStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_fastPeriod = Param(nameof(FastPeriod), 12).SetGreaterThanZero().SetDisplay("Fast EMA", "Fast period", "Indicators");
		_slowPeriod = Param(nameof(SlowPeriod), 26).SetGreaterThanZero().SetDisplay("Slow EMA", "Slow period", "Indicators");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = null; _prevSlow = null;
		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fast); DrawIndicator(area, slow); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevFast = fast; _prevSlow = slow; return; }
		if (_prevFast == null || _prevSlow == null) { _prevFast = fast; _prevSlow = slow; return; }
		var prevAbove = _prevFast.Value > _prevSlow.Value;
		var currAbove = fast > slow;
		_prevFast = fast; _prevSlow = slow;
		if (!prevAbove && currAbove && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (prevAbove && !currAbove && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
	}
}