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Stochastic RSI Crossover Strategy

This method converts the classic Relative Strength Index into a Stochastic RSI, then smooths the result into %K and %D lines. When %K crosses %D inside carefully chosen zones, the move implies a short term shift in momentum. The algorithm trades only when a three layer EMA structure confirms the direction of the broader trend, helping to filter whipsaws.

Once a crossover appears, the close price must also sit above or below the fast EMA depending on the signal. This protects against acting on oscillations that occur against the prevailing trend and keeps attention on moments when momentum aligns with direction. Traders can adjust smoothing periods and RSI lengths to tune how sensitive the system reacts to volatility spikes.

Risk is referenced through an Average True Range reading. Multipliers of the current ATR propose stop‑loss and profit targets, providing a dynamic level that expands in volatile markets and contracts when activity calms. Although the script does not automatically send protective orders, these calculated levels aid manual management or can be tied into additional risk modules.

Details

  • Entry Criteria:
    • Long: %K crosses above %D, %K in [10,60], EMAs aligned bullishly, price above EMA1.
    • Short: %K crosses below %D, %K in [40,95], EMAs aligned bearishly, price below EMA1.
  • Long/Short: Both sides.
  • Exit Criteria: None built-in.
  • Stops: ATR multiples suggested but not automatically placed.
  • Default Values:
    • SmoothK = 3, SmoothD = 3.
    • RsiLength = 14, StochLength = 14.
    • Ema1Length = 20, Ema2Length = 50, Ema3Length = 100.
    • AtrLength = 14, AtrLossMultiplier = 1.5, AtrProfitMultiplier = 2.0.
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: Multiple
    • Stops: Optional
    • Complexity: Moderate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: Yes
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Stoch RSI Crossover Strategy.
/// RSI is turned into a Stochastic RSI over StochLength bars and smoothed into %K (SmoothK) and %D (SmoothD).
/// A long opens when %K crosses above %D with %K in [10, 60], EMA1 > EMA2 > EMA3 and the close above EMA1.
/// A short opens when %K crosses below %D with %K in [40, 95], EMA1 &lt; EMA2 &lt; EMA3 and the close below EMA1.
/// There is no built-in exit: an opposite signal reverses the position. The ATR multipliers only describe suggested levels.
/// </summary>
public class StochRsiCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _smoothK;
	private readonly StrategyParam<int> _smoothD;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _stochLength;
	private readonly StrategyParam<int> _ema1Length;
	private readonly StrategyParam<int> _ema2Length;
	private readonly StrategyParam<int> _ema3Length;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrLossMultiplier;
	private readonly StrategyParam<decimal> _atrProfitMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _rsiHigh;
	private Lowest _rsiLow;
	private SimpleMovingAverage _kMa;
	private SimpleMovingAverage _dMa;

	private decimal? _prevK;
	private decimal? _prevD;

	/// <summary>
	/// %K smoothing.
	/// </summary>
	public int SmoothK
	{
		get => _smoothK.Value;
		set => _smoothK.Value = value;
	}

	/// <summary>
	/// %D smoothing.
	/// </summary>
	public int SmoothD
	{
		get => _smoothD.Value;
		set => _smoothD.Value = value;
	}

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// Stochastic period applied to RSI.
	/// </summary>
	public int StochLength
	{
		get => _stochLength.Value;
		set => _stochLength.Value = value;
	}

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int Ema1Length
	{
		get => _ema1Length.Value;
		set => _ema1Length.Value = value;
	}

	/// <summary>
	/// Medium EMA period.
	/// </summary>
	public int Ema2Length
	{
		get => _ema2Length.Value;
		set => _ema2Length.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int Ema3Length
	{
		get => _ema3Length.Value;
		set => _ema3Length.Value = value;
	}

	/// <summary>
	/// ATR period of the suggested levels.
	/// </summary>
	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <summary>
	/// ATR multiplier of the suggested stop loss.
	/// </summary>
	public decimal AtrLossMultiplier
	{
		get => _atrLossMultiplier.Value;
		set => _atrLossMultiplier.Value = value;
	}

	/// <summary>
	/// ATR multiplier of the suggested profit target.
	/// </summary>
	public decimal AtrProfitMultiplier
	{
		get => _atrProfitMultiplier.Value;
		set => _atrProfitMultiplier.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public StochRsiCrossoverStrategy()
	{
		_smoothK = Param(nameof(SmoothK), 3)
			.SetGreaterThanZero()
			.SetDisplay("Smooth K", "%K smoothing", "Stoch RSI");

		_smoothD = Param(nameof(SmoothD), 3)
			.SetGreaterThanZero()
			.SetDisplay("Smooth D", "%D smoothing", "Stoch RSI");

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

		_stochLength = Param(nameof(StochLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stoch Length", "Stochastic period applied to RSI", "Stoch RSI");

		_ema1Length = Param(nameof(Ema1Length), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA1 Length", "Fast EMA period", "Trend");

		_ema2Length = Param(nameof(Ema2Length), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA2 Length", "Medium EMA period", "Trend");

		_ema3Length = Param(nameof(Ema3Length), 100)
			.SetGreaterThanZero()
			.SetDisplay("EMA3 Length", "Slow EMA period", "Trend");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period of the suggested levels", "Risk");

		_atrLossMultiplier = Param(nameof(AtrLossMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Loss Multiplier", "ATR multiplier of the suggested stop loss", "Risk");

		_atrProfitMultiplier = Param(nameof(AtrProfitMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Profit Multiplier", "ATR multiplier of the suggested profit target", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevK = null;
		_prevD = null;
	}

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

		_prevK = null;
		_prevD = null;

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema1 = new ExponentialMovingAverage { Length = Ema1Length };
		var ema2 = new ExponentialMovingAverage { Length = Ema2Length };
		var ema3 = new ExponentialMovingAverage { Length = Ema3Length };

		_rsiHigh = new Highest { Length = StochLength };
		_rsiLow = new Lowest { Length = StochLength };
		_kMa = new SimpleMovingAverage { Length = SmoothK };
		_dMa = new SimpleMovingAverage { Length = SmoothD };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(rsi, ema1, ema2, ema3, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema1);
			DrawIndicator(area, ema2);
			DrawIndicator(area, ema3);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue rsiValue, IIndicatorValue ema1Value, IIndicatorValue ema2Value, IIndicatorValue ema3Value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!rsiValue.IsFormed)
			return;

		var rsi = rsiValue.GetValue<decimal>();
		var high = _rsiHigh.Process(rsi, candle.OpenTime, true).ToDecimal();
		var low = _rsiLow.Process(rsi, candle.OpenTime, true).ToDecimal();

		if (!_rsiHigh.IsFormed || !_rsiLow.IsFormed)
			return;

		var stoch = high - low > 0m ? 100m * (rsi - low) / (high - low) : 0m;
		var kValue = _kMa.Process(stoch, candle.OpenTime, true);
		if (!_kMa.IsFormed)
			return;

		var k = kValue.ToDecimal();
		var dValue = _dMa.Process(k, candle.OpenTime, true);
		if (!_dMa.IsFormed)
			return;

		var d = dValue.ToDecimal();

		var prevK = _prevK;
		var prevD = _prevD;
		_prevK = k;
		_prevD = d;

		if (prevK is not decimal pk || prevD is not decimal pd)
			return;

		if (!ema1Value.IsFormed || !ema2Value.IsFormed || !ema3Value.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var ema1 = ema1Value.GetValue<decimal>();
		var ema2 = ema2Value.GetValue<decimal>();
		var ema3 = ema3Value.GetValue<decimal>();
		var close = candle.ClosePrice;

		var crossUp = pk <= pd && k > d;
		var crossDown = pk >= pd && k < d;

		var longSignal = crossUp && k >= 10m && k <= 60m && ema1 > ema2 && ema2 > ema3 && close > ema1;
		var shortSignal = crossDown && k >= 40m && k <= 95m && ema1 < ema2 && ema2 < ema3 && close < ema1;

		if (longSignal && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (shortSignal && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}