Stairs Trend Strategy

Overview

StairsTrendStrategy is a trading strategy based on the analysis of consecutive candles to determine a trend. The strategy opens positions when a sustained trend of a specific length forms.

Main Components

public class StairsTrendStrategy : Strategy
{
    private readonly StrategyParam<int> _lengthParam;
    private readonly StrategyParam<DataType> _candleType;
    
    private int _bullLength;
    private int _bearLength;
}

Strategy Parameters

The strategy allows customizing the following parameters:

• Length - number of consecutive candles in one direction to identify a trend (default 3)
• CandleType - candle type to work with (default 5-minute)

The Length parameter is available for optimization in the range from 2 to 10 with a step of 1.

Strategy Initialization

In the OnStarted method, counters are reset, candle subscription is created, and visualization is prepared:

protected override void OnStarted(DateTimeOffset time)
{
    base.OnStarted(time);
    
    // Reset counters
    _bullLength = 0;
    _bearLength = 0;

    // Create subscription
    var subscription = SubscribeCandles(CandleType);
    
    subscription
        .Bind(ProcessCandle)
        .Start();

    // Set up visualization on the chart
    var area = CreateChartArea();
    if (area != null)
    {
        DrawCandles(area, subscription);
        DrawOwnTrades(area);
    }
}

Processing Candles

The ProcessCandle method is called for each completed candle and implements the trading logic:

private void ProcessCandle(ICandleMessage candle)
{
    // Check if the candle is finished
    if (candle.State != CandleStates.Finished)
        return;

    // Check if the strategy is ready for trading
    if (!IsFormedAndOnlineAndAllowTrading())
        return;

    // Update counters based on candle direction
    if (candle.OpenPrice < candle.ClosePrice)
    {
        // Bullish candle
        _bullLength++;
        _bearLength = 0;
    }
    else if (candle.OpenPrice > candle.ClosePrice)
    {
        // Bearish candle
        _bullLength = 0;
        _bearLength++;
    }

    // Trend strategy: 
    // Buy after Length consecutive bullish candles
    if (_bullLength >= Length && Position <= 0)
    {
        BuyMarket(Volume + Math.Abs(Position));
    }
    // Sell after Length consecutive bearish candles
    else if (_bearLength >= Length && Position >= 0)
    {
        SellMarket(Volume + Math.Abs(Position));
    }
}

Trading Logic

• Buy signal: Length consecutive bullish candles (close price above open price) when there is no long position
• Sell signal: Length consecutive bearish candles (close price below open price) when there is no short position
• Position volume increases by the current position amount with each new trade

Features

• The strategy automatically determines instruments to work with via the GetWorkingSecurities() method
• The strategy only works with completed candles
• The strategy uses market orders for position entry
• The strategy applies a simple trend detection logic based on a sequence of candles
• Candle counters are reset when a candle in the opposite direction appears
• Candles and trades are visualized on the chart when a graphic area is available
• The sequence length optimization is supported to find optimal strategy settings