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Genie RSI Strategy

This strategy trades overbought and oversold reversals using the Relative Strength Index (RSI). When RSI rises above 80 the strategy opens a short position; when RSI falls below 20 it opens a long position. Optional take profit and trailing stop levels manage risk after entry.

The strategy is designed for oscillating markets where price frequently moves between support and resistance. It works on any timeframe, as defined by the CandleType parameter.

Details

  • Entry Criteria
    • Long: RSI value crosses below 20 on a finished candle and no position is open.
    • Short: RSI value crosses above 80 on a finished candle and no position is open.
  • Exit Criteria
    • Long: RSI rises above 80, price reaches the take profit distance, or price touches the trailing stop level.
    • Short: RSI falls below 20, price reaches the take profit distance, or price touches the trailing stop level.
  • Indicators: RSI.
  • Parameters:
    • RSI Period – length of the RSI indicator.
    • Take Profit – distance in price units for profit target.
    • Trailing Stop – distance in price units for trailing stop.
    • Candle Type – timeframe of processed candles.
  • Position Management: Uses market orders for entries and exits. Trailing stop is recalculated on each finished candle.
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>
/// RSI-based reversal strategy using fixed thresholds.
/// Sells when RSI rises above overbought level and buys when RSI falls below oversold level.
/// Includes optional take profit and trailing stop management.
/// </summary>
public class GenieRsiStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _entryPrice;
	private decimal _trailingLevel;
	private bool _isLong;
	private decimal? _prevRsi;
	private int _cooldownRemaining;

	/// <summary>
	/// Take profit distance in price units.
	/// </summary>
	public decimal TakeProfit
	{
		get => _takeProfit.Value;
		set => _takeProfit.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price units.
	/// </summary>
	public decimal TrailingStop
	{
		get => _trailingStop.Value;
		set => _trailingStop.Value = value;
	}

	/// <summary>
	/// RSI calculation period.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	/// <summary>
	/// Candle type used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Number of completed candles to wait after a position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public GenieRsiStrategy()
	{
		_takeProfit = Param(nameof(TakeProfit), 500m)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit", "Take profit distance in price units", "Risk Management")
			;

		_trailingStop = Param(nameof(TrailingStop), 200m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop", "Trailing stop distance in price units", "Risk Management");

		_rsiPeriod = Param(nameof(RsiPeriod), 15)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period for RSI indicator", "Indicators")
			
			.SetOptimize(5, 30, 5);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_cooldownBars = Param(nameof(CooldownBars), 4)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a position change", "Risk Management");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0m;
		_trailingLevel = 0m;
		_isLong = false;
		_prevRsi = null;
		_cooldownRemaining = 0;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(rsi, ProcessCandle)
			.Start();

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

		StartProtection(null, null);
	}

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var price = candle.ClosePrice;
		var crossedDown = _prevRsi is decimal prevRsi1 && prevRsi1 >= 20m && rsi < 20m;
		var crossedUp = _prevRsi is decimal prevRsi2 && prevRsi2 <= 80m && rsi > 80m;
		_prevRsi = rsi;

		// Entry logic when flat
		if (Position == 0 && _cooldownRemaining == 0)
		{
			if (crossedUp)
			{
				SellMarket();
				_entryPrice = price;
				_trailingLevel = price + TrailingStop;
				_isLong = false;
				_cooldownRemaining = CooldownBars;
			}
			else if (crossedDown)
			{
				BuyMarket();
				_entryPrice = price;
				_trailingLevel = price - TrailingStop;
				_isLong = true;
				_cooldownRemaining = CooldownBars;
			}
			return;
		}

		// Manage open position
		if (_isLong)
		{
			// Update trailing stop for long position
			if (TrailingStop > 0)
			{
				var newLevel = price - TrailingStop;
				if (newLevel > _trailingLevel)
					_trailingLevel = newLevel;
				if (price <= _trailingLevel)
				{
					SellMarket();
					_entryPrice = 0m;
					_cooldownRemaining = CooldownBars;
					return;
				}
			}

			// Take profit for long position
			if (TakeProfit > 0 && price - _entryPrice >= TakeProfit)
			{
				SellMarket();
				_entryPrice = 0m;
				_cooldownRemaining = CooldownBars;
				return;
			}

			// Exit if RSI indicates overbought
			if (crossedUp)
			{
				SellMarket();
				_entryPrice = 0m;
				_cooldownRemaining = CooldownBars;
			}
		}
		else
		{
			// Update trailing stop for short position
			if (TrailingStop > 0)
			{
				var newLevel = price + TrailingStop;
				if (_trailingLevel == 0m || newLevel < _trailingLevel)
					_trailingLevel = newLevel;
				if (price >= _trailingLevel)
				{
					BuyMarket();
					_entryPrice = 0m;
					_cooldownRemaining = CooldownBars;
					return;
				}
			}

			// Take profit for short position
			if (TakeProfit > 0 && _entryPrice - price >= TakeProfit)
			{
				BuyMarket();
				_entryPrice = 0m;
				_cooldownRemaining = CooldownBars;
				return;
			}

			// Exit if RSI indicates oversold
			if (crossedDown)
			{
				BuyMarket();
				_entryPrice = 0m;
				_cooldownRemaining = CooldownBars;
			}
		}
	}
}