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Fibo Arc Momentum Strategy

Overview

This strategy is a StockSharp port of the MetaTrader expert advisor "FiboArc" (folder MQL/24924). The original EA combines multiple momentum filters with Fibonacci arc breakouts. The StockSharp implementation keeps the same idea while adapting it to the high-level candle API:

  • Two linear weighted moving averages (FastMaPeriod, SlowMaPeriod) define the trend direction.
  • A momentum oscillator measured against the neutral 100 level filters out weak setups.
  • A MACD histogram confirms trend strength and detects fresh crossovers.
  • A simplified Fibonacci arc is rebuilt every bar using the open prices of two anchor candles selected by TrendAnchorLength and ArcAnchorLength. A breakout through this dynamic level replaces the object-based checks from the MetaTrader version.

The strategy works on any symbol/timeframe pair supported by StockSharp. All calculations run on fully finished candles to mirror the EA behaviour and avoid lookahead bias.

Indicators and data flow

The strategy subscribes to a single candle stream configured by CandleType. Each new finished candle is fed into the following indicators via SubscribeCandles(...).BindEx(...):

Indicator Purpose Default settings
LinearWeightedMovingAverage (fast) Short-term trend and entry timing FastMaPeriod = 6, typical price
LinearWeightedMovingAverage (slow) Higher level trend filter SlowMaPeriod = 85, typical price
Momentum Distance from 100 is used to confirm strong moves MomentumPeriod = 14
MovingAverageConvergenceDivergenceSignal Confirms the trend and spots crossovers MacdFastPeriod = 12, MacdSlowPeriod = 26, MacdSignalPeriod = 9

Indicator outputs are received as IIndicatorValue instances; only final values are processed. No manual GetValue() calls are required, which keeps the implementation compliant with repository guidelines.

Fibonacci arc reconstruction

MetaTrader draws an actual arc object and reads its values with ObjectGetValueByShift. StockSharp does not rely on chart objects, so the arc is emulated numerically:

  1. The strategy keeps a rolling list of finished candles (_history).
  2. TrendAnchorLength selects the index of the base anchor, and ArcAnchorLength selects the second anchor.
  3. The arc level for the current candle is computed as a linear interpolation between the anchor opens using FibonacciRatio (default 0.618).
  4. For breakout detection we compare the previous candle open with the previous arc level and the current candle open with the newly calculated level. A cross from below (fibCrossUp) or from above (fibCrossDown) recreates the original EA checks.

This approach keeps the trading logic intact while avoiding graphical objects.

Trading rules

Long entries

A long position is opened when all conditions below are satisfied:

  1. The previous bar opened below the previous arc level and the current bar opens above the new level (fibCrossUp).
  2. The fast LWMA is above the slow LWMA (bullishTrend).
  3. The absolute distance between momentum and 100 is at least MomentumThreshold.
  4. The MACD main line is above its signal line, or it has just crossed above (macdAboveSignal or macdCrossUp).
  5. The current position size is less than or equal to zero (no existing long exposure).

The strategy buys Volume plus the absolute value of any open short exposure to ensure flat-to-long transitions.

Short entries

Short trades mirror the long logic:

  1. fibCrossDown confirms a breakout to the downside.
  2. The fast LWMA is below the slow LWMA.
  3. Momentum distance exceeds MomentumThreshold.
  4. MACD is below its signal line or crosses down.
  5. No existing long exposure remains.

Exits

Positions are closed when one of the following occurs:

  • Trend or MACD conditions flip against the trade.
  • The opposite Fibonacci breakout signal appears.
  • The adaptive stop-loss or take-profit level is touched.

All exits are executed with market orders to stay consistent with the MetaTrader version that used immediate closes and trailing logic.

Risk management

The original EA offered money-based stops, trailing logic, and break-even protection. The StockSharp strategy keeps the same features with transparent parameters:

  • StopLossDistance and TakeProfitDistance define fixed distances in price units from the filled price.
  • EnableBreakEven, BreakEvenTrigger, and BreakEvenOffset control the move-to-break-even behaviour.
  • EnableTrailing, TrailingTrigger, and TrailingDistance implement a candle-based trailing stop.

The current stop, target, and entry price are tracked internally and updated on every candle. When a filled trade is reported via OnNewMyTrade, the stop and target levels are recalculated from the actual execution price.

Parameters

Name Description
CandleType Timeframe (and aggregation type) used for all calculations.
FastMaPeriod, SlowMaPeriod Trend-defining LWMA lengths.
MomentumPeriod, MomentumThreshold Momentum filter settings.
MacdFastPeriod, MacdSlowPeriod, MacdSignalPeriod MACD configuration.
TrendAnchorLength, ArcAnchorLength, FibonacciRatio Fibonacci arc reconstruction controls.
StopLossDistance, TakeProfitDistance Initial stop and target distances (absolute price units).
EnableBreakEven, BreakEvenTrigger, BreakEvenOffset Break-even logic.
EnableTrailing, TrailingTrigger, TrailingDistance Trailing stop configuration.

All parameters are exposed through StrategyParam<T> and support optimization where it makes sense. Default values follow the original EA.

Usage

  1. Attach the strategy to a security and set Volume according to the desired position size.
  2. Optionally adjust the timeframe, moving-average lengths, and Fibonacci settings to match the target market.
  3. Launch the strategy. All decisions rely on finished candles; intrabar execution is not required.
  4. Review the built-in charting helpers for the fast/slow LWMA and MACD panels if the host supports visualization.

The strategy is self-contained and does not modify the shared test suite. No Python version is provided per the task requirements.

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;

public class FiboArcMomentumStrategy : 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 FiboArcMomentumStrategy()
	{
		_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;
	}
}