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XAUUSD Trend Strategy

This strategy trades XAUUSD using EMA crossovers, RSI extremes and Bollinger Bands. A long position is opened when the fast EMA crosses above the slow EMA, RSI is below the oversold level and price closes above the upper Bollinger Band. Short positions are opened on the opposite conditions. Risk management sets stop-loss and take-profit levels based on portfolio risk percentage and a take-profit to stop-loss ratio.

Details

  • Entry:
    • Long: fast EMA crossover up, RSI < oversold, close > upper band.
    • Short: fast EMA crossover down, RSI > overbought, close < lower band.
  • Exit: stop-loss or take-profit calculated from risk settings.
  • Indicators: EMA, RSI, Bollinger Bands.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// XAUUSD trend strategy using dual EMA crossover, RSI filter, and Bollinger band breakout.
/// Uses StdDev-based stops and take-profit levels.
/// </summary>
public class XauusdTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _emaShort;
	private readonly StrategyParam<int> _emaLong;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _stopPct;
	private readonly StrategyParam<decimal> _tpRiskRatio;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _stopPrice;
	private decimal _takePrice;
	private decimal _entryPrice;

	public int EmaShort { get => _emaShort.Value; set => _emaShort.Value = value; }
	public int EmaLong { get => _emaLong.Value; set => _emaLong.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public decimal RsiOverbought { get => _rsiOverbought.Value; set => _rsiOverbought.Value = value; }
	public decimal RsiOversold { get => _rsiOversold.Value; set => _rsiOversold.Value = value; }
	public decimal StopPct { get => _stopPct.Value; set => _stopPct.Value = value; }
	public decimal TpRiskRatio { get => _tpRiskRatio.Value; set => _tpRiskRatio.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public XauusdTrendStrategy()
	{
		_emaShort = Param(nameof(EmaShort), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Short", "Fast EMA period", "Indicators");

		_emaLong = Param(nameof(EmaLong), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Long", "Slow EMA period", "Indicators");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_rsiOverbought = Param(nameof(RsiOverbought), 70m)
			.SetDisplay("RSI Overbought", "Overbought level", "Indicators");

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "Oversold level", "Indicators");

		_stopPct = Param(nameof(StopPct), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Stop %", "Stop loss percent", "Risk");

		_tpRiskRatio = Param(nameof(TpRiskRatio), 2m)
			.SetGreaterThanZero()
			.SetDisplay("TP/SL Ratio", "Take profit to stop ratio", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_stopPrice = 0;
		_takePrice = 0;
		_entryPrice = 0;
	}

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

		var emaFast = new ExponentialMovingAverage { Length = EmaShort };
		var emaSlow = new ExponentialMovingAverage { Length = EmaLong };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var stdDev = new StandardDeviation { Length = 20 };

		_stopPrice = 0;
		_takePrice = 0;
		_entryPrice = 0;

		var sub = SubscribeCandles(CandleType);
		sub.Bind(emaFast, emaSlow, rsi, stdDev, ProcessCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, sub);
			DrawIndicator(area, emaFast);
			DrawIndicator(area, emaSlow);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal emaFastVal, decimal emaSlowVal, decimal rsiVal, decimal stdVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// TP/SL management
		if (Position > 0 && _entryPrice > 0)
		{
			if (candle.ClosePrice <= _stopPrice || candle.ClosePrice >= _takePrice)
			{
				SellMarket();
				_entryPrice = 0;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (candle.ClosePrice >= _stopPrice || candle.ClosePrice <= _takePrice)
			{
				BuyMarket();
				_entryPrice = 0;
				return;
			}
		}

		if (stdVal <= 0)
			return;

		// EMA trend + RSI filter + price above/below band
		var upperBand = emaSlowVal + 2m * stdVal;
		var lowerBand = emaSlowVal - 2m * stdVal;

		var longCond = emaFastVal > emaSlowVal && rsiVal < RsiOversold;
		var shortCond = emaFastVal < emaSlowVal && rsiVal > RsiOverbought;

		if (longCond && Position <= 0)
		{
			BuyMarket();
			_entryPrice = candle.ClosePrice;
			var sl = _entryPrice * StopPct / 100m;
			_stopPrice = _entryPrice - sl;
			_takePrice = _entryPrice + sl * TpRiskRatio;
		}
		else if (shortCond && Position >= 0)
		{
			SellMarket();
			_entryPrice = candle.ClosePrice;
			var sl = _entryPrice * StopPct / 100m;
			_stopPrice = _entryPrice + sl;
			_takePrice = _entryPrice - sl * TpRiskRatio;
		}
	}
}