Breakout with Multiple Exits

The following example implements a simple breakout strategy using an integrated framework. (As you will see, all the examples use the integrated framework because the code is so much easier to write.) By default, this strategy looks back 30 bars to detect breakouts, and exits when one of its three possible exit criteria is satisfied. It can exit after 10 bars have gone by. It can exit when a profit target has been reached. And it can exit when a trailing stop limit is reached. Notice the use of a stop indicator, rather than a stop order, to exit the trade with a trailing stop. The stop is just a stop that is maintained by the strategy framework (not the broker). The trailing stop fires when an incoming trade price reaches the stop limit, and the OnStopExecuted event 34 handler is called. The event handler issues a market order to close the position. This way, no stop order is ever issued to the broker (perhaps some brokers or exchanges don’t take trailing stops).

using OpenQuant.API;

public class MyStrategy : Strategy
{
	[Parameter("Order quantity (number of contracts to trade)")]
	double Qty = 100;	
	
	[Parameter("Length")]	
	int Length = 30;

	[Parameter("Stop OCA Level", "OCA")]	
	double StopOCALevel  = 0.98;
	
	[Parameter("Length", "OCA")]	
	double LimitOCALevel = 1.05;
	
	[Parameter("Stop Level", "Stop")]
	double   StopLevel = 0.05;
	
	[Parameter("Stop Type", "Stop")]
	StopType StopType  = StopType.Trailing;
	
	[Parameter("Stop Mode", "Stop")]
	StopMode StopMode  = StopMode.Percent;

	[Parameter("OCA Exit Enabled", "Exit")]	
	bool OCAExitEnabled  = true;
	
	[Parameter("Time Exit Enabled", "Exit")]	
	bool TimeExitEnabled = false;
	
	[Parameter("Stop Exit Enabled", "Exit")]
	bool StopExitEnabled = false;
	
	[Parameter("Bars to Exit", "Exit")]
	int BarsToExit = 10;

	Order limitOrder, stopOrder;
	
	int OCACount = 0;
	int barCount;
	
	bool entryEnabled    = true;

	double highestHigh;

	public override void OnBar(Bar bar)
	{
		if (entryEnabled)
		{
			if (Bars.Count > Length)
				if (bar.High > highestHigh)
				{
					Buy(Qty, "Entry");

					if (OCAExitEnabled)
					{
						limitOrder = SellLimitOrder(Qty, LimitOCALevel * bar.Close, "Limit OCA " + OCACount);
						limitOrder.OCAGroup = "OCA " + Instrument.Symbol + " " + OCACount;						

						stopOrder = SellStopOrder(Qty, StopOCALevel * bar.Close, "Stop OCA " + OCACount);
						stopOrder.OCAGroup = "OCA " + Instrument.Symbol + " " + OCACount;						

						limitOrder.Send();
						stopOrder .Send();

						OCACount++;
					}

					entryEnabled = false;

					barCount = 0;
				}
		}
		else
		{
			barCount++;

			if (TimeExitEnabled && barCount > BarsToExit)
			{
				Sell(Qty, "Time Exit");			
				
				entryEnabled = true;
			}
		}
		
		if (Bars.Count >= Length)
			highestHigh = Bars.HighestHigh(Length);
	}

	public override void OnPositionOpened()
	{
		if (StopExitEnabled)
			SetStop(StopLevel, StopType, StopMode);
	}

	public override void OnPositionClosed()
	{
		// cancel OCA

		if (OCAExitEnabled && !(limitOrder.IsFilled || limitOrder.IsCancelled))
			limitOrder.Cancel();

		// can entry again now

		entryEnabled = true;
	}

	public override void OnStopExecuted(Stop stop)
	{
		Sell(Qty, "Stop Exit");
	}
}