Deutsch DE
Auf GitHub ansehen

Parabolic RSI Strategy

Strategy applying Parabolic SAR to RSI for trend shifts. The strategy enters when the SAR flips relative to the RSI line and can filter trades by RSI thresholds.

Details

  • Entry Criteria:
    • Long: SAR flips below RSI and (optional) RSI ≥ LongRsiMin
    • Short: SAR flips above RSI and (optional) RSI ≤ ShortRsiMax
  • Long/Short: Configurable
  • Exit Criteria: Opposite SAR flip
  • Stops: None
  • Default Values:
    • RsiLength = 14
    • SarStart = 0.02
    • SarIncrement = 0.02
    • SarMax = 0.2
    • LongRsiMin = 50
    • ShortRsiMax = 50
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Configurable
    • Indicators: Parabolic SAR, RSI
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// RSI-based strategy with EMA trend filter.
/// </summary>
public class ParabolicRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<DataType> _candleType;

	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ParabolicRsiStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14).SetGreaterThanZero();
		_emaLength = Param(nameof(EmaLength), 40).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = EmaLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };

		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, rsi, (candle, f, s, r) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!fast.IsFormed || !slow.IsFormed || !rsi.IsFormed)
					return;

				if (!init)
				{
					prevF = f;
					prevS = s;
					init = true;
					return;
				}

				if (candle.OpenTime - lastSignal >= cooldown)
				{
					if (prevF <= prevS && f > s && r > 50 && Position <= 0)
					{
						BuyMarket();
						lastSignal = candle.OpenTime;
					}
					else if (prevF >= prevS && f < s && r < 50 && Position >= 0)
					{
						SellMarket();
						lastSignal = candle.OpenTime;
					}
				}

				prevF = f;
				prevS = s;
			})
			.Start();

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