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Flat Channel Breakout Strategy

The Flat Channel Strategy is a C# translation of the MetaTrader 5 expert advisor Flat Channel (barabashkakvn's edition). It keeps the original workflow: a smoothed standard deviation highlights volatility squeezes, the highest and lowest prices inside the squeeze define a horizontal channel, and pending stop orders are placed just outside of that range. When the market breaks out the strategy joins the move with predefined stop-loss and take-profit levels and can optionally trail the stop as the position gains profit.

How it works

  1. Volatility squeeze detection – A StandardDeviation indicator with length StdDevPeriod is smoothed by a short SimpleMovingAverage of SmoothingLength. Whenever the smoothed series prints FlatBars consecutive non-increasing values the market is treated as flat and the order flags are re-armed.
  2. Channel construction – Once a flat is confirmed, the strategy requests the highest high and lowest low over the last max(ChannelLookback, FlatBars + 1) candles using the built-in Highest/Lowest indicators. The channel height is filtered by ChannelMinPips/ChannelMaxPips after converting pips into price units through PipSize (or the detected tick size when the parameter is left at zero).
  3. Pending orders – If the current position is flat and trading is allowed, the strategy submits a buy stop at high + IndentPips and a sell stop at low − IndentPips. Each order remembers the protective levels that were calculated at submission time.
  4. Breakout execution – When a pending order fills, the opposite pending order is cancelled automatically. The filled price becomes the entry anchor for trailing-stop logic and the memorised stop-loss / take-profit distances are activated.
  5. Position management – The active position is supervised on every completed candle. If price touches the stop-loss or take-profit level the strategy issues a market exit. When TrailingStopPips is greater than zero the stop is pulled forward once the close price moves at least TrailingStopPips + TrailingStepPips away from the fill price.
  6. Session filter – When UseTradingHours is enabled the breakout logic only runs between StartHour (inclusive) and EndHour (exclusive). Overnight sessions are supported by allowing StartHour > EndHour.

Risk management

  • Dynamic or fixed protection – Set StopLossPips / TakeProfitPips to positive values to use fixed distances (in pips). Keeping them at zero switches to dynamic sizing based on the channel height and the DynamicStopMultiplier / DynamicTakeMultiplier coefficients.
  • Trailing stop – Enable TrailingStopPips to follow the move once the trade is in profit. The trailing logic respects TrailingStepPips to avoid micro adjustments.
  • Position cap – MaxPositions limits the aggregated exposure to MaxPositions × TradeVolume. If that threshold is reached no new pending orders are submitted until the exposure decreases.
  • Directional filters – UseBuy and UseSell allow the strategy to operate in breakout-only, breakdown-only or bi-directional modes.

Parameters

Parameter Default Description
TradeVolume 1 Volume submitted with every pending order.
PipSize 0.0001 Manual pip size override. Leave at zero to use the security tick size (with automatic 3/5-digit adjustment).
StdDevPeriod 46 Lookback for the base StandardDeviation.
SmoothingLength 3 Moving average length applied to the volatility series.
FlatBars 3 Number of consecutive non-increasing smoothed volatility values required to re-arm breakout orders.
ChannelLookback 5 Candles used to measure the highest high and lowest low once a flat is detected. Automatically compared with FlatBars + 1.
ChannelMinPips 15 Minimum channel height (in pips). Set to 0 to disable the lower bound.
ChannelMaxPips 105 Maximum channel height (in pips). Set to 0 to disable the upper bound.
DynamicStopMultiplier 1 Channel-height multiplier used for dynamic stop-loss calculation when StopLossPips = 0.
DynamicTakeMultiplier 1 Channel-height multiplier used for dynamic take-profit calculation when TakeProfitPips = 0.
StopLossPips 0 Fixed stop-loss distance in pips. Overrides the dynamic formula when positive.
TakeProfitPips 0 Fixed take-profit distance in pips. Overrides the dynamic formula when positive.
IndentPips 0 Additional offset (in pips) added beyond the channel boundaries for pending orders.
TrailingStopPips 5 Trailing stop distance in pips. Set to 0 to disable trailing.
TrailingStepPips 5 Minimum step (in pips) required to move the trailing stop.
UseBuy true Enable long (buy stop) breakouts.
UseSell true Enable short (sell stop) breakouts.
MaxPositions 5 Maximum number of base volumes allowed in the aggregated position.
UseTradingHours true Enable the trading session filter.
StartHour 0 Session start hour (inclusive).
EndHour 23 Session end hour (exclusive).
CandleType H1 Candle series used for calculations (defaults to 1-hour time frame).

Notes

  • The strategy operates exclusively on completed candles via the high-level SubscribeCandles().Bind(...) API, matching the deterministic behaviour expected from the original EA.
  • Protective prices are normalised through Security.ShrinkPrice to respect exchange tick sizes.
  • When both pending orders are active and one of them fills, the opposite order is cancelled immediately so that only one breakout position can be open at a time.
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Flat Channel Breakout strategy using EMA crossover.
/// Buys when fast EMA crosses above slow EMA, sells on reverse.
/// </summary>
public class FlatChannelBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public FlatChannelBreakoutStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}