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Morning Evening Stochastic Strategy

This strategy ports the MetaTrader 5 expert advisor Expert_AMS_ES_Stoch (Morning/Evening Star with Stochastic confirmation) into StockSharp. The implementation keeps the original candlestick pattern recognition and stochastic confirmation rules while using the high-level candle subscription API so every decision is made on finished bars.

Strategy Logic

  • Indicators
    • Standard Stochastic oscillator with configurable %K, %D and slowing periods.
    • Simple moving average of the candle body size (absolute open-close) to classify candles as "long" or "small" just like the MQL version.
  • Long Entry
    • Morning Star pattern across the last three completed candles:
      1. Two bars ago: long bearish body whose size exceeds the body average.
      2. Previous bar: small-bodied candle that closes and opens below the prior candle.
      3. Current bar: bullish close above the midpoint of the first candle.
    • Stochastic signal line (%D) is below the oversold threshold (default 30).
    • Existing short exposure is flattened before opening the long position.
  • Short Entry
    • Evening Star pattern mirroring the rules above.
    • Stochastic %D is above the overbought threshold (default 70).
    • Existing long exposure is closed before opening the short trade.
  • Position Exit
    • Shorts are closed when %D crosses above either the fast recovery level (20) or the extreme level (80).
    • Longs are closed when %D crosses below either 80 or 20.
    • These crossings reproduce the "close conditions" from the MQL signal module.

Parameters

Name Description
CandleType Timeframe (or other DataType) used for pattern detection and all indicators.
StochasticKPeriod, StochasticDPeriod, StochasticSlowing %K, %D and slowing periods of the stochastic oscillator.
StochasticOverbought, StochasticOversold Signal-line thresholds used to confirm Evening/Morning Star entries.
PatternAveragePeriod Number of finished candles used to average the body size (|open-close|).
ShortExitLevel, LongExitLevel %D levels that force short/long exits when crossed in the opposite direction.

Implementation Notes

  • Candles are processed through SubscribeCandles().BindEx(...); the code only works with finished candles and never calls GetValue() on indicators.
  • Body-size averaging relies on SimpleMovingAverage fed with absolute candle bodies to reproduce the AvgBody() helper from the MQL library.
  • Pattern checks are implemented with dedicated helper methods to keep the decision logic readable and to mirror the original CCandlePattern rules.
  • Before entering in the opposite direction the strategy closes any existing exposure to match the Expert Advisor's behaviour of operating one net position at a time.

Differences from the MQL5 Expert

  • Money management, trailing stop and fixed lot settings from the MetaTrader framework are not reproduced; StockSharp order volume is controlled by the strategy Volume property.
  • The Stochastic oscillator uses StockSharp's indicator implementation; thresholds remain configurable so you can fine-tune the behaviour if the original broker feed produced slightly different values.
  • Logging provides detailed explanations (in English) for every entry and exit to aid debugging and backtesting.
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Morning/Evening Star pattern strategy with Stochastic confirmation.
/// Buys on morning star + oversold stochastic, sells on evening star + overbought stochastic.
/// </summary>
public class MorningEveningStochasticStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<decimal> _oversold;
	private readonly StrategyParam<decimal> _overbought;
	private readonly StrategyParam<int> _signalCooldownCandles;

	private readonly List<ICandleMessage> _candles = new();
	private decimal _prevK;
	private bool _hasPrevK;
	private int _candlesSinceTrade;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int StochPeriod { get => _stochPeriod.Value; set => _stochPeriod.Value = value; }
	public decimal Oversold { get => _oversold.Value; set => _oversold.Value = value; }
	public decimal Overbought { get => _overbought.Value; set => _overbought.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public MorningEveningStochasticStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stoch Period", "Stochastic K period", "Indicators");
		_oversold = Param(nameof(Oversold), 30m)
			.SetDisplay("Oversold", "Stochastic oversold level", "Signals");
		_overbought = Param(nameof(Overbought), 70m)
			.SetDisplay("Overbought", "Stochastic overbought level", "Signals");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 6)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_candles.Clear();
		_prevK = 0m;
		_hasPrevK = false;
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_candles.Clear();
		_hasPrevK = false;
		_candlesSinceTrade = SignalCooldownCandles;
		var stoch = new StochasticOscillator { K = { Length = StochPeriod }, D = { Length = 3 } };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(stoch, ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue stochValue)
	{
		if (candle.State != CandleStates.Finished) return;

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		var stochTyped = stochValue as StochasticOscillatorValue;
		if (stochTyped?.K is not decimal kValue) return;

		_candles.Add(candle);
		if (_candles.Count > 5)
			_candles.RemoveAt(0);

		if (_candles.Count >= 3)
		{
			var c3 = _candles[^1]; // current
			var c2 = _candles[^2]; // middle (star)
			var c1 = _candles[^3]; // first

			var body1 = Math.Abs(c1.ClosePrice - c1.OpenPrice);
			var body2 = Math.Abs(c2.ClosePrice - c2.OpenPrice);
			var body3 = Math.Abs(c3.ClosePrice - c3.OpenPrice);

			// Morning Star: bearish + small body + bullish, close above midpoint of first
			var isMorningStar = c1.OpenPrice > c1.ClosePrice  // first bearish
				&& body2 < body1 * 0.5m                       // small middle body
				&& c3.ClosePrice > c3.OpenPrice                // third bullish
				&& c3.ClosePrice > (c1.OpenPrice + c1.ClosePrice) / 2m;

			// Evening Star: bullish + small body + bearish, close below midpoint of first
			var isEveningStar = c1.ClosePrice > c1.OpenPrice   // first bullish
				&& body2 < body1 * 0.5m                        // small middle body
				&& c3.OpenPrice > c3.ClosePrice                // third bearish
				&& c3.ClosePrice < (c1.OpenPrice + c1.ClosePrice) / 2m;

			if (isMorningStar && kValue < Oversold && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				BuyMarket();
				_candlesSinceTrade = 0;
			}
			else if (isEveningStar && kValue > Overbought && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
			{
				SellMarket();
				_candlesSinceTrade = 0;
			}
		}

		// Exit on stochastic cross
		if (_hasPrevK)
		{
			if (Position > 0 && _prevK >= Overbought && kValue < Overbought && _candlesSinceTrade >= SignalCooldownCandles)
			{
				SellMarket();
				_candlesSinceTrade = 0;
			}
			else if (Position < 0 && _prevK <= Oversold && kValue > Oversold && _candlesSinceTrade >= SignalCooldownCandles)
			{
				BuyMarket();
				_candlesSinceTrade = 0;
			}
		}

		_prevK = kValue;
		_hasPrevK = true;
	}
}