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Gann Grid Strategy

This strategy ports the original Gann Grid expert advisor from MQL/25065/Gann Grid.mq4 to the StockSharp high-level API. The original script mixed manual chart objects with multiple timeframe filters; the C# version keeps the overall workflow while replacing chart-derived data with indicator-driven logic that can run unattended.

Trading logic

  1. Synthetic Gann grid – the highest high and lowest low over AnchorPeriod candles approximate the price levels that were manually drawn in MetaTrader. A breakout above the high triggers long setups, a breakdown below the low triggers shorts.
  2. Trend confirmation – fast and slow linear weighted moving averages on the higher timeframe (TrendCandleType) must agree with the breakout direction.
  3. Momentum filter – the percentage distance between the momentum indicator and the current price (also on the higher timeframe) needs to exceed MomentumThreshold to ensure there is enough acceleration.
  4. MACD confirmation – a separate candle stream (MacdCandleType) drives a MACD (12/26/9 by default). The MACD line has to be on the same side of both zero and the signal line as the trade direction.
  5. Risk management – symmetrical stop-loss and take-profit offsets are applied from the entry price. Optional break-even and trailing modules reproduce the equity protection blocks from the MQL implementation.

Only finished candles are processed to match the original “new bar” checks.

Differences versus the MQL version

  • The MetaTrader code expected a manually drawn GANNGRID object. The port replaces it with rolling highest/lowest indicators, which makes the logic deterministic for automated testing.
  • Momentum in MetaTrader is centred around 100. StockSharp’s Momentum outputs a price difference, therefore the strategy converts it into a percentage of the current close before comparing with MomentumThreshold.
  • Notifications (e-mail, push) and graphical operations from the MQL script are omitted.
  • Risk management uses market exits instead of modifying existing orders, because StockSharp strategies manage positions rather than terminal-level orders.

Parameters

Name Type Default Description
CandleType DataType 5 minute time frame Primary candles that define breakouts.
TrendCandleType DataType 15 minute time frame Higher timeframe used for LWMA and momentum filters.
MacdCandleType DataType 1 day time frame Candle stream feeding the MACD confirmation filter.
FastMaPeriod int 6 Fast LWMA length on the higher timeframe.
SlowMaPeriod int 85 Slow LWMA length on the higher timeframe.
MomentumPeriod int 14 Momentum lookback length.
MomentumThreshold decimal 0.3 Minimal momentum deviation in percent required to trade.
AnchorPeriod int 100 Number of primary candles forming the synthetic Gann grid.
TakeProfitOffset decimal 0.005 Absolute take-profit distance from the entry price.
StopLossOffset decimal 0.002 Absolute stop-loss distance from the entry price.
EnableTrailing bool true Enables trailing-stop management.
TrailingActivation decimal 0.003 Profit required before the trailing stop starts to follow price.
TrailingStep decimal 0.0015 Distance between the local high and the trailing stop.
EnableBreakEven bool true Activates move-to-break-even logic.
BreakEvenTrigger decimal 0.0025 Profit needed before break-even is armed.
BreakEvenOffset decimal 0.0 Offset applied to the entry price when closing at break-even.
MacdFastPeriod int 12 Fast EMA length inside MACD.
MacdSlowPeriod int 26 Slow EMA length inside MACD.
MacdSignalPeriod int 9 Signal EMA length inside MACD.

All offsets are absolute price distances. Adjust them to match the symbol’s tick size (e.g., 0.001 ≈ 10 points on a 5-digit FX quote).

How to use

  1. Attach the strategy to a security and set the candle types. Using the same candle type for multiple filters is possible if a single timeframe is desired.
  2. Tune AnchorPeriod and the price offsets to match the instrument’s volatility.
  3. Enable or disable break-even/trailing according to your risk policy.
  4. Start the strategy; it automatically subscribes to the necessary candle streams and manages positions with market orders.

Files

  • CS/GannGridStrategy.cs – strategy implementation.
  • README.md – this documentation.
  • README_ru.md – Russian description.
  • README_zh.md – Chinese description.
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 GannGridStrategy : 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 GannGridStrategy()
	{
		_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;
	}
}