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Auto Trade With RSI Strategy

This strategy averages the last RSI values to generate trading signals. It calculates a standard Relative Strength Index (RSI) over a configurable period and then applies a simple moving average to the RSI itself. Trades are opened when the averaged RSI crosses predefined thresholds and closed when the opposite threshold is reached.

Trading Logic

  1. RSI Calculation
    • The indicator uses RsiPeriod to compute RSI based on candle close prices.
  2. RSI Averaging
    • The last AveragePeriod RSI values are smoothed by a simple moving average.
  3. Entry Rules
    • If BuyEnabled is true and no position is open, a buy order is sent when the averaged RSI exceeds BuyThreshold (default 55).
    • If SellEnabled is true and no position is open, a sell order is sent when the averaged RSI drops below SellThreshold (default 45).
  4. Exit Rules
    • When CloseBySignal is true, open positions are closed on opposite signals:
      • Long positions close when averaged RSI falls below CloseBuyThreshold (default 47).
      • Short positions close when averaged RSI rises above CloseSellThreshold (default 52).

Parameters

  • BuyEnabled – enable or disable long entries.
  • SellEnabled – enable or disable short entries.
  • CloseBySignal – allow exits on opposite RSI signals.
  • RsiPeriod – RSI calculation length.
  • AveragePeriod – number of RSI values used for averaging.
  • BuyThreshold – averaged RSI value above which a long position is opened.
  • SellThreshold – averaged RSI value below which a short position is opened.
  • CloseBuyThreshold – averaged RSI value below which a long position is closed.
  • CloseSellThreshold – averaged RSI value above which a short position is closed.
  • CandleType – candle type for subscriptions.

Notes

This strategy demonstrates how indicator values can be combined through binding in the StockSharp high level API. Trailing stops and money management features from the original MQL version are omitted for simplicity.

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>
/// Strategy that trades based on averaged RSI values.
/// Uses RSI smoothed by SMA to generate signals.
/// </summary>
public class AutoTradeWithRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _averagePeriod;
	private readonly StrategyParam<decimal> _buyThreshold;
	private readonly StrategyParam<decimal> _sellThreshold;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _rsiAvg;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int AveragePeriod { get => _averagePeriod.Value; set => _averagePeriod.Value = value; }
	public decimal BuyThreshold { get => _buyThreshold.Value; set => _buyThreshold.Value = value; }
	public decimal SellThreshold { get => _sellThreshold.Value; set => _sellThreshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public AutoTradeWithRsiStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI calculation period", "Indicator");

		_averagePeriod = Param(nameof(AveragePeriod), 21)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "SMA period to smooth RSI", "Indicator");

		_buyThreshold = Param(nameof(BuyThreshold), 55m)
			.SetDisplay("Buy Threshold", "Averaged RSI above which to buy", "Rules");

		_sellThreshold = Param(nameof(SellThreshold), 45m)
			.SetDisplay("Sell Threshold", "Averaged RSI below which to sell", "Rules");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle data type", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_rsiAvg = null;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_rsiAvg = new ExponentialMovingAverage { Length = AveragePeriod };
		Indicators.Add(_rsiAvg);

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

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

			var area2 = CreateChartArea();
			if (area2 != null)
				DrawIndicator(area2, rsi);
		}
	}

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

		if (!rsiValue.IsFormed)
			return;

		var avgResult = _rsiAvg.Process(rsiValue);
		if (!avgResult.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var avgRsi = avgResult.GetValue<decimal>();

		if (avgRsi > BuyThreshold && Position <= 0)
			BuyMarket();
		else if (avgRsi < SellThreshold && Position >= 0)
			SellMarket();
	}
}