Português PT
Ver no GitHub

Vortex Indicator Breakout Strategy

This strategy ports the MetaTrader expert Vortex Indicator System.mq4 into the StockSharp high level API. The original idea wa s published in Technical Analysis of Stocks & Commodities (January 2010) and relies on the Vortex indicator crossover to arm bre akout orders at the high/low of the crossover candle. The StockSharp version keeps the same decision flow: a crossover closes the opposite position, arms a breakout trigger at the crossover bar extreme, and the next candle that breaks that level executes the market order.

How it works

  1. A single candle subscription is opened according to CandleType. The resulting stream is bound to one VortexIndicator insta nce using Bind, so the strategy always receives synchronized VI+ and VI- values for the finished candles.
  2. When the indicator finishes warming up, the algorithm tracks the previous VI values to detect the same crossover conditions u sed in the MQL expert: VI+ crossing above VI- or vice versa between the last two closed candles.
  3. Setup phase – as soon as a bullish crossover is detected, any open short position is closed immediately and the high of th e crossover candle becomes the pending long trigger. The opposite crossover closes an existing long position and stores the low of that bar as the short trigger.
  4. Trigger phase – on each subsequent finished candle the strategy checks whether the recorded trigger price was touched (Hi ghPrice ≥ long trigger or LowPrice ≤ short trigger). If so, it submits a market order sized to both flatten the remaining oppo site exposure (if the previous order was not completed yet) and open a new position with TradeVolume.
  5. Once an order fires, the corresponding trigger is cleared. If no breakout happens the setup stays active until a new crossove r overrides it.
  6. Exits rely exclusively on the crossover logic: the opposite signal immediately flattens the current position and arms a new b reakout trigger, mirroring the MetaTrader implementation.

Signals

  • Bullish setup – occurs when VI+ was below or equal to VI- on the previous closed candle and rises above it on the most r ecent one. The long trigger is set to that candle’s high.
  • Bullish execution – the next candle whose high reaches the trigger sends a market buy order using TradeVolume (plus any vo lume required to close an outstanding short position).
  • Bearish setup – occurs when VI- was below or equal to VI+ on the previous closed candle and rises above it on the most r ecent one. The short trigger is set to that candle’s low.
  • Bearish execution – the next candle whose low touches the trigger sends a market sell order using TradeVolume (plus the vo lume necessary to flatten an open long position).

Parameters

Parameter Default Description
VortexLength 14 Period applied to the Vortex indicator.
CandleType 1 hour Timeframe used for candles and indicator updates.
TradeVolume 1 Market order size used for new entries.

Implementation notes

  • The strategy only reacts to finished candles to comply with the conversion guidelines. Intrabar breakouts are recognised a s soon as a candle closes with a high/low beyond the stored trigger.
  • Pending triggers are cleared on OnStopped so the instance can be restarted cleanly without leftover state.
  • When executing a breakout order the algorithm increases the volume if it still holds an opposite position, achieving the same e ffect as the MetaTrader expert, which closed the active order before opening the new one.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Vortex Indicator Breakout: Dual EMA crossover breakout with ATR stops.
/// </summary>
public class VortexIndicatorBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;

	public VortexIndicatorBreakoutStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(2).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_fastEmaLength = Param(nameof(FastEmaLength), 14)
			.SetDisplay("Fast EMA", "Fast EMA period.", "Indicators");

		_slowEmaLength = Param(nameof(SlowEmaLength), 28)
			.SetDisplay("Slow EMA", "Slow EMA period.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");
	}

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

	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	public int SlowEmaLength
	{
		get => _slowEmaLength.Value;
		set => _slowEmaLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

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

		_prevFast = 0;
		_prevSlow = 0;
		_entryPrice = 0;
	}

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

		_prevFast = 0;
		_prevSlow = 0;
		_entryPrice = 0;

		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var atr = new AverageTrueRange { Length = AtrLength };

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

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

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

		if (_prevFast == 0 || _prevSlow == 0 || atrVal <= 0)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			return;
		}

		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if (fastVal < slowVal && _prevFast >= _prevSlow)
			{
				SellMarket();
				_entryPrice = 0;
			}
			else if (close <= _entryPrice - atrVal * 2m)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (fastVal > slowVal && _prevFast <= _prevSlow)
			{
				BuyMarket();
				_entryPrice = 0;
			}
			else if (close >= _entryPrice + atrVal * 2m)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (fastVal > slowVal && _prevFast <= _prevSlow)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (fastVal < slowVal && _prevFast >= _prevSlow)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}