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XRSI DeMarker Histogram Strategy

Summary

This strategy replicates the Exp_XRSIDeMarker_Histogram expert advisor. It trades reversals detected by a custom oscillator that blends a Relative Strength Index (RSI) with the DeMarker indicator and then smooths the result. The system can open or close long and short trades independently, and optional protective stops expressed in price steps are supported.

Indicator construction

  1. Applied price – the RSI is calculated on the selected input (close, open, high, low, median, typical or weighted price) using the configured period.
  2. DeMarker component – for each finished candle, the strategy measures the upward (deMax) and downward (deMin) pressure:
    • deMax = max(High_t - High_{t-1}, 0)
    • deMin = max(Low_{t-1} - Low_t, 0) Both series are smoothed with a simple moving average whose length matches the RSI period.
    • DeMarker = deMaxAvg / (deMaxAvg + deMinAvg) (scaled to the 0–100 range).
  3. Composite oscillator – the final value is (RSI + 100 * DeMarker) / 2.
  4. Smoothing – the composite oscillator is passed through one of the supported moving averages (SMA, EMA, SMMA, LWMA or Jurik). If an unsupported smoothing mode from the original MQL version is selected, the indicator falls back to an EMA with the requested length. The Jurik option also honours the phase parameter.
  5. Signal history – the strategy stores historical values and evaluates signals on the bar defined by SignalBar, mimicking the original EA which waited for the next candle before taking trades.

Trading logic

  • Bullish reversal
    • Condition: value at SignalBar+1 is below SignalBar+2 (down-slope) and the value at SignalBar turns back up (>=).
    • Actions:
      • Close existing short trades when CloseShortOnLongSignal is true.
      • Open a new long trade with TradeVolume (plus any quantity required to flip from a short) when AllowBuyEntries is enabled.
  • Bearish reversal
    • Condition: value at SignalBar+1 is above SignalBar+2 (up-slope) and the value at SignalBar turns down (<=).
    • Actions:
      • Close existing long trades when CloseLongOnShortSignal is true.
      • Open a new short trade when AllowSellEntries is enabled.
  • Signals are ignored until the indicator and DeMarker components are fully formed, and orders are placed only when the strategy is online and trading is permitted.

Risk management

  • StopLossTicks and TakeProfitTicks represent distances in price steps. The strategy multiplies these values by Security.PriceStep (falling back to 1 if the instrument step is unknown) and closes the position when the distance is reached inside the candle range.
  • Passing 0 disables the respective protection.
  • The TradeVolume parameter is used as the default order size and also to compute reversals (the opposite position is closed before a new one is opened).

Parameters

Parameter Description Default
TradeVolume Volume used when opening new positions. 0.1
StopLossTicks Protective stop in price steps. 1000
TakeProfitTicks Profit target in price steps. 2000
AllowBuyEntries Enable/disable entering long trades. true
AllowSellEntries Enable/disable entering short trades. true
CloseLongOnShortSignal Close longs when a short signal appears. true
CloseShortOnLongSignal Close shorts when a long signal appears. true
CandleType Timeframe used for analysis (default 4-hour candles). H4
IndicatorPeriod Look-back for both RSI and DeMarker components. 14
AppliedPriceSelection Applied price used by the RSI calculation. Close
SmoothingMethodSelection Moving average used for smoothing (SMA/EMA/SMMA/LWMA/Jurik/Adaptive). Sma
SmoothingLength Period of the smoothing average. 5
SmoothingPhase Phase argument passed to Jurik smoothing. 15
SignalBar Number of closed bars back used for signal evaluation. 1

Notes vs. original EA

  • Money management modes from the MQL version (balance-based, free-margin-based, etc.) are replaced with a direct TradeVolume parameter.
  • Order slippage (Deviation) is not required because StockSharp uses market orders.
  • Advanced smoothing algorithms (Parabolic MA, T3, VIDYA, AMA) are not available in StockSharp and are mapped to the EMA via the Adaptive option.
  • All comments in the C# source are written in English, and the logic runs only on finished candles just like the original implementation.
namespace StockSharp.Samples.Strategies;

using System;

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

/// <summary>
/// XRSI DeMarker Histogram strategy (simplified).
/// Uses RSI combined with momentum to detect reversals.
/// Buys on RSI reversal from oversold, sells on reversal from overbought.
/// </summary>
public class XrsidDeMarkerHistogramStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _smaPeriod;

	private decimal _prevRsi;
	private decimal _prevPrevRsi;
	private bool _initialized;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public int SmaPeriod
	{
		get => _smaPeriod.Value;
		set => _smaPeriod.Value = value;
	}

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

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI indicator period", "Indicators");

		_smaPeriod = Param(nameof(SmaPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Smoothing period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0m;
		_prevPrevRsi = 0m;
		_initialized = false;
	}

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

		_prevRsi = 0;
		_prevPrevRsi = 0;
		_initialized = false;

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var sma = new SimpleMovingAverage { Length = SmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, sma, (ICandleMessage candle, decimal rsiValue, decimal smaValue) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!_initialized)
				{
					_prevPrevRsi = rsiValue;
					_prevRsi = rsiValue;
					_initialized = true;
					return;
				}

				if (!IsFormedAndOnlineAndAllowTrading())
				{
					_prevPrevRsi = _prevRsi;
					_prevRsi = rsiValue;
					return;
				}

				// Buy on RSI reversal from oversold (V-bottom)
				var buySignal = _prevPrevRsi > _prevRsi && rsiValue >= _prevRsi && _prevRsi < 35m;
				// Sell on RSI reversal from overbought (inverse V)
				var sellSignal = _prevPrevRsi < _prevRsi && rsiValue <= _prevRsi && _prevRsi > 65m;

				if (buySignal && Position <= 0)
				{
					BuyMarket();
				}
				else if (sellSignal && Position >= 0)
				{
					SellMarket();
				}

				_prevPrevRsi = _prevRsi;
				_prevRsi = rsiValue;
			})
			.Start();

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