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Averaged Stoch & WPR Strategy

This strategy combines the Stochastic oscillator with Williams %R to detect extreme market conditions. A long position is opened when the Stochastic value drops below 0.1 and Williams %R is under -90, signaling deep oversold pressure. A short position is opened when the Stochastic rises above 99.9 and Williams %R exceeds -5, indicating strong overbought conditions.

The strategy works on any instrument and timeframe supported by the selected candle type. It can trade both long and short positions and offers an optional percentage stop loss for risk management.

Details

  • Entry Criteria:
    • Long: Stochastic < 0.1 and Williams %R < -90.
    • Short: Stochastic > 99.9 and Williams %R > -5.
  • Long/Short: Both.
  • Exit Criteria: Opposite signal or triggered stop loss.
  • Stops: Optional percentage-based stop loss.
  • Indicators:
    • Stochastic oscillator (default period 26).
    • Williams %R (default period 26).

Parameters

  • StochPeriod – Stochastic calculation period.
  • WprPeriod – Williams %R calculation period.
  • StopLossPercent – Percent-based stop loss size.
  • CandleType – Candle type used for indicator calculations.
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>
/// Strategy using RSI and Williams %R for oversold/overbought entries.
/// </summary>
public class AveragedStochWprStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _wprPeriod;
	private readonly StrategyParam<DataType> _candleType;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int WprPeriod { get => _wprPeriod.Value; set => _wprPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AveragedStochWprStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
		_wprPeriod = Param(nameof(WprPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("WPR Period", "Williams %R period", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var wpr = new WilliamsR { Length = WprPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, wpr, ProcessCandle)
			.Start();
	}

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

		// Buy: RSI oversold + WPR oversold
		if (rsi < 30 && wpr < -80 && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		// Sell: RSI overbought + WPR overbought
		else if (rsi > 70 && wpr > -20 && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
		// Exit
		else if (Position > 0 && rsi > 65)
			SellMarket();
		else if (Position < 0 && rsi < 35)
			BuyMarket();
	}
}