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FiveMinuteRsiCci Strategy

FiveMinuteRsiCciStrategy is a StockSharp port of the MetaTrader 4 expert advisor 5Mins Rsi Cci EA.mq4. The original script trades five-minute candles by combining an RSI threshold cross with a smoothed/EMA moving-average filter and the polarity of two CCI indicators. The C# version keeps the same decision logic while using StockSharp's high-level API for data subscriptions, indicator binding, and risk management.

Trading logic

  1. Subscribe to the configured candle type (five-minute timeframe by default) and update five indicators in real time: RSI, a smoothed MA of the open price, an EMA of the open price, plus fast and slow CCIs calculated from typical prices.
  2. Each finished candle is evaluated only when no position is open and the current bid/ask spread is below MaxSpreadPoints (converted to price units).
  3. A long signal requires:
    • the smoothed MA above the EMA,
    • the RSI crossing upward through BullishRsiLevel between the previous and current candle,
    • both CCI values above zero.
  4. A short signal requires the inverse conditions (smoothed MA below EMA, RSI crossing downward through BearishRsiLevel, both CCIs below zero).
  5. Order volume reproduces the EA's dynamic position sizing: LotCoefficient × sqrt(Equity / EquityDivisor) rounded to the instrument's volume step and constrained by VolumeMin/VolumeMax.
  6. Protective logic is handled by StartProtection, which attaches stop-loss, take-profit, and trailing-stop distances converted from MetaTrader points to absolute price offsets.

Parameters

Parameter Default Description
CandleType TimeSpan.FromMinutes(5).TimeFrame() Timeframe used for indicator updates and signal evaluation.
RsiPeriod 14 Number of candles used in the RSI calculation.
FastSmmaPeriod 2 Period of the fast smoothed moving average applied to open prices.
SlowEmaPeriod 6 Period of the slow EMA applied to open prices.
FastCciPeriod 34 Period of the fast CCI computed from the typical price (H+L+C)/3.
SlowCciPeriod 175 Period of the slow CCI computed from the typical price.
BullishRsiLevel 55 RSI threshold that must be crossed upward to arm a long entry.
BearishRsiLevel 45 RSI threshold that must be crossed downward to arm a short entry.
StopLossPoints 60 Stop-loss distance in MetaTrader points (converted to absolute price). Set to 0 to disable.
TakeProfitPoints 0 Take-profit distance in MetaTrader points. Zero keeps the original EA behaviour (no TP).
TrailingStopPoints 20 Trailing-stop distance in MetaTrader points. Zero disables trailing.
LotCoefficient 0.01 Base coefficient used in the dynamic position sizing formula.
EquityDivisor 10 Divisor inside the square root for equity-based sizing (sqrt(Equity / EquityDivisor)).
MaxSpreadPoints 18 Maximum allowed spread (in MetaTrader points). Orders are skipped until the spread narrows.

Notes

  • The spread filter relies on level-1 data; if best bid/ask quotes are unavailable the strategy waits before opening new positions.
  • Point-to-price conversion automatically scales by PriceStep and the instrument precision (5/3 decimal instruments multiply the step by 10) to mirror MetaTrader's Point value.
  • Stops and trailing are managed through StockSharp's built-in protection engine with market exits, matching the EA's use of market orders for trailing-stop updates.
namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Five Minute RSI CCI strategy: RSI momentum with CCI trend confirmation.
/// Buys when RSI above level and CCI positive, sells when RSI below level and CCI negative.
/// </summary>
public class FiveMinuteRsiCciStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _bullishLevel;
	private readonly StrategyParam<decimal> _bearishLevel;
	private bool _wasBullish;
	private bool _hasPrevSignal;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int CciPeriod { get => _cciPeriod.Value; set => _cciPeriod.Value = value; }
	public decimal BullishLevel { get => _bullishLevel.Value; set => _bullishLevel.Value = value; }
	public decimal BearishLevel { get => _bearishLevel.Value; set => _bearishLevel.Value = value; }

	public FiveMinuteRsiCciStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
		_cciPeriod = Param(nameof(CciPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "CCI period", "Indicators");
		_bullishLevel = Param(nameof(BullishLevel), 55m)
			.SetDisplay("Bullish RSI Level", "RSI above this for buy", "Signals");
		_bearishLevel = Param(nameof(BearishLevel), 45m)
			.SetDisplay("Bearish RSI Level", "RSI below this for sell", "Signals");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_wasBullish = false;
		_hasPrevSignal = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrevSignal = false;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, cci, ProcessCandle).Start();
	}

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

		var isBullish = rsiValue > BullishLevel && cciValue > 0;

		if (_hasPrevSignal && isBullish != _wasBullish)
		{
			if (isBullish && Position <= 0)
				BuyMarket();
			else if (!isBullish && rsiValue < BearishLevel && cciValue < 0 && Position >= 0)
				SellMarket();
		}

		_wasBullish = isBullish;
		_hasPrevSignal = true;
	}
}