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Parabolic Sar Rsi Strategy

Strategy that combines Parabolic SAR for trend direction and RSI for entry confirmation with oversold/overbought conditions.

Testing indicates an average annual return of about 166%. It performs best in the stocks market.

Here the Parabolic SAR outlines the prevailing trend and RSI measures exhaustion. Trades are opened once both indicators signal the same direction.

The combination is appealing to those who like trailing stops, since SAR also provides a dynamic exit. The stop placement follows the SAR curve.

Details

  • Entry Criteria:
    • Long: Close > SAR && RSI < RsiOversold
    • Short: Close < SAR && RSI > RsiOverbought
  • Long/Short: Both
  • Exit Criteria:
    • Long: Close < SAR
    • Short: Close > SAR
  • Stops: Uses Parabolic SAR as a trailing stop
  • Default Values:
    • SarAf = 0.02m
    • SarMaxAf = 0.2m
    • RsiPeriod = 14
    • RsiOversold = 30m
    • RsiOverbought = 70m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() An entry signal against an open position reverses it.
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: Parabolic SAR, Parabolic SAR, RSI
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Parabolic SAR RSI strategy.
/// A close above the Parabolic SAR with RSI below RsiOversold goes long and a close below the SAR with RSI above RsiOverbought goes short,
/// reversing an opposite position. The SAR is the trailing stop: a long closes when price closes below it and a short when price closes above it.
/// </summary>
public class ParabolicSarRsiStrategy : Strategy
{
	private readonly StrategyParam<decimal> _sarAf;
	private readonly StrategyParam<decimal> _sarMaxAf;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Initial acceleration factor of the SAR.
	/// </summary>
	public decimal SarAf
	{
		get => _sarAf.Value;
		set => _sarAf.Value = value;
	}

	/// <summary>
	/// Maximum acceleration factor of the SAR.
	/// </summary>
	public decimal SarMaxAf
	{
		get => _sarMaxAf.Value;
		set => _sarMaxAf.Value = value;
	}

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

	/// <summary>
	/// RSI level for longs.
	/// </summary>
	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	/// <summary>
	/// RSI level for shorts.
	/// </summary>
	public decimal RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public ParabolicSarRsiStrategy()
	{
		_sarAf = Param(nameof(SarAf), 0.02m)
			.SetGreaterThanZero()
			.SetDisplay("SAR Acceleration", "Initial acceleration factor of the SAR", "SAR");

		_sarMaxAf = Param(nameof(SarMaxAf), 0.2m)
			.SetGreaterThanZero()
			.SetDisplay("SAR Max Acceleration", "Maximum acceleration factor of the SAR", "SAR");

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

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

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

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

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

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

		var sar = new ParabolicSar
		{
			Acceleration = SarAf,
			AccelerationMax = SarMaxAf,
		};
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(sar, rsi, ProcessCandle)
			.Start();

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, rsi);
			}
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue sarValue, IIndicatorValue rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// The first SAR value is formed but empty.
		if (!sarValue.IsFormed || sarValue.IsEmpty || !rsiValue.IsFormed)
			return;

		var sar = sarValue.GetValue<decimal>();
		var rsi = rsiValue.GetValue<decimal>();
		var close = candle.ClosePrice;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (close > sar && rsi < RsiOversold && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < sar && rsi > RsiOverbought && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && close < sar)
			SellMarket(Position);
		else if (Position < 0 && close > sar)
			BuyMarket(-Position);
	}
}