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A System Championship Strategy

Overview

  • Port of the MetaTrader 4 expert advisor "A System: Championship Strategy Final Edit" (file ACB6.MQ4).
  • Detects bullish or bearish breakouts on a configurable primary timeframe and confirms momentum with live bid/ask prices.
  • Uses a secondary timeframe to size the trailing stop distance, reproducing the multi-threaded logic of the original EA through two candle streams.
  • Implements the global equity stop, trade pause and adaptive risk sizing blocks that were hard-coded in the source robot.

Data subscriptions

  • Subscribes to two candle series (PrimaryTimeFrame, SecondaryTimeFrame) to rebuild the price ranges used for targets and trailing stops.
  • Subscribes to level 1 quotes in order to read the best bid/ask that trigger entries, stop-loss checks, take-profits and the retracement exit.

Entry conditions

  1. Wait for the primary candle to finish and compute its range multiplied by TakeFactor.
  2. Go long when:
    • The candle closes above its midpoint.
    • The current ask price breaks the candle high.
    • The distance between the bid and the candle low exceeds MinStopDistance.
  3. Go short when the mirrored conditions are true for the downside breakout.
  4. Skip entries if the calculated take-profit distance is smaller than the minimal stop spacing.

Exit management

  • Initial protective levels: the stop is anchored to the previous candle low/high, while the take-profit equals the entry price plus/minus the range multiplied by TakeFactor.
  • Retracement exit (FallLimit/FallFactor):
    • Track the maximum favourable excursion for the active position.
    • If the current move drops below FallLimit * maxMove and the move already advanced beyond FallFactor * target, close the trade at market.
  • Trailing stop (TrailFactor):
    • The trailing distance equals the secondary timeframe range multiplied by TrailFactor.
    • The stop only moves in the trade direction and never crosses the take-profit or the minimal stop spacing.
  • Hard stops: price touching the maintained stop or take levels results in immediate liquidation using market orders.

Risk management

  • Dynamic position sizing: combines RiskPerTrade with the pip value derived from Security.StepSize and Security.StepPrice. The resulting volume is rounded to exchange constraints and never goes below BaseVolume.
  • Statistical adjustment: the ratio LossesExpected/TradesExpected from the original EA modulates the risk per trade by comparing it with the realised loss ratio.
  • Equity stop (SystemStop): tracks the equity peak and disables new trades if the current value falls below SystemStop * peak. Informational logs mark the stop activation and recovery.
  • Trade pause (TradePause): enforces a cool-down window after every market order, just like the MT4 implementation.

Parameters

Name Default Description
PrimaryTimeFrame 1 day Higher timeframe used for breakout detection.
SecondaryTimeFrame 4 hours Timeframe that provides the trailing stop range.
TakeFactor 0.8 Multiplier applied to the primary candle range when creating the take-profit.
TrailFactor 10 Multiplier applied to the secondary candle range when updating the trailing stop.
FallLimit 0.5 Ratio of the maximum profit that allows the retracement exit.
FallFactor 0.4 Minimum share of the full target that must be reached before a retracement exit is permitted.
RiskPerTrade 0.02 Fraction of equity allocated to each trade before adjustments.
BaseVolume 1 Fallback order size used when risk sizing yields a smaller volume.
MinStopDistance 0 Exchange stop distance constraint expressed in price units.
TradePause 5 minutes Waiting period after any executed order.
SystemStop 0.8 Drawdown factor for the portfolio equity stop (e.g. 0.8 = 20% allowable drawdown).
LossesExpected 20 Expected number of losing trades for risk adjustment.
TradesExpected 85 Expected number of total trades for risk adjustment.

Implementation notes

  • The lock/hedging threads from the MQL version are omitted because StockSharp strategies operate on a net position. Risk control and trailing logic provide an equivalent capital protection mechanism.
  • Stop and take levels are tracked inside the strategy instead of using separate native orders to stay aligned with the backtesting engine.
  • Ensure that the connected security exposes StepSize, StepPrice, MinVolume and VolumeStep; otherwise, sizing falls back to BaseVolume.
  • The strategy should run with real-time quotes enabled; otherwise only candle-driven updates will execute and stop logic will react with candle latency.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Multi-timeframe breakout strategy converted from the original MetaTrader "A System" expert advisor.
/// Enters on momentum breakouts when close is above/below the midpoint of the previous candle range.
/// Uses ATR-based trailing stop for position management.
/// </summary>
public class ASystemChampionshipStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _takeFactor;
	private readonly StrategyParam<decimal> _trailFactor;

	private decimal _prevHigh;
	private decimal _prevLow;
	private decimal _prevClose;
	private bool _hasPrev;
	private decimal _entryPrice;
	private decimal _stopPrice;

	public ASystemChampionshipStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for breakout detection.", "General");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "Period for ATR used in trailing stop.", "Indicators");

		_takeFactor = Param(nameof(TakeFactor), 2.5m)
			.SetDisplay("Take Factor", "ATR multiplier for take profit.", "Risk");

		_trailFactor = Param(nameof(TrailFactor), 1.5m)
			.SetDisplay("Trail Factor", "ATR multiplier for trailing stop.", "Risk");
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	public decimal TakeFactor
	{
		get => _takeFactor.Value;
		set => _takeFactor.Value = value;
	}

	public decimal TrailFactor
	{
		get => _trailFactor.Value;
		set => _trailFactor.Value = value;
	}

	/// <inheritdoc />
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevHigh = 0;
		_prevLow = 0;
		_prevClose = 0;
		_hasPrev = false;
		_entryPrice = 0;
		_stopPrice = 0;
	}

		protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevHigh = 0;
		_prevLow = 0;
		_prevClose = 0;
		_hasPrev = false;
		_entryPrice = 0;
		_stopPrice = 0;

		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(atr, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, atr);
			DrawOwnTrades(area);
		}
	}

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

		if (atrValue <= 0)
		{
			SaveCandle(candle);
			return;
		}

		// Manage open position
		if (Position > 0)
		{
			// Trail stop up
			var newStop = candle.ClosePrice - atrValue * TrailFactor;
			if (newStop > _stopPrice)
				_stopPrice = newStop;

			if (candle.LowPrice <= _stopPrice)
			{
				SellMarket();
				ResetPosition();
			}
			else if (_entryPrice > 0 && candle.HighPrice >= _entryPrice + atrValue * TakeFactor)
			{
				SellMarket();
				ResetPosition();
			}
		}
		else if (Position < 0)
		{
			// Trail stop down
			var newStop = candle.ClosePrice + atrValue * TrailFactor;
			if (_stopPrice == 0 || newStop < _stopPrice)
				_stopPrice = newStop;

			if (candle.HighPrice >= _stopPrice)
			{
				BuyMarket();
				ResetPosition();
			}
			else if (_entryPrice > 0 && candle.LowPrice <= _entryPrice - atrValue * TakeFactor)
			{
				BuyMarket();
				ResetPosition();
			}
		}

		// Entry logic
		if (_hasPrev && Position == 0)
		{
			var mid = (_prevHigh + _prevLow) / 2m;

			if (_prevClose > mid && candle.ClosePrice > _prevHigh)
			{
				// Bullish breakout
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_stopPrice = candle.ClosePrice - atrValue * TrailFactor;
			}
			else if (_prevClose < mid && candle.ClosePrice < _prevLow)
			{
				// Bearish breakout
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_stopPrice = candle.ClosePrice + atrValue * TrailFactor;
			}
		}

		SaveCandle(candle);
	}

	private void SaveCandle(ICandleMessage candle)
	{
		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
		_prevClose = candle.ClosePrice;
		_hasPrev = true;
	}

	private void ResetPosition()
	{
		_entryPrice = 0;
		_stopPrice = 0;
	}
}