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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()
  • 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>
/// Strategy combining Parabolic SAR for trend direction
/// and RSI for entry confirmation.
/// </summary>
public class ParabolicSarRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _sarValue;
	private int _cooldown;

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

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

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

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

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Strategy constructor.
	/// </summary>
	public ParabolicSarRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetRange(7, 21)
			.SetDisplay("RSI Period", "Period of the RSI indicator", "Indicators");

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

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

		_cooldownBars = Param(nameof(CooldownBars), 130)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_sarValue = 0;
		_cooldown = 0;
	}

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

		var parabolicSar = new ParabolicSar();
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);

		// ParabolicSar takes candle input - use BindEx
		subscription.BindEx(parabolicSar, OnSar);

		// RSI for main logic
		subscription
			.Bind(rsi, ProcessCandle)
			.Start();

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

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

	private void OnSar(ICandleMessage candle, IIndicatorValue sarValue)
	{
		if (sarValue.IsFormed)
			_sarValue = sarValue.ToDecimal();
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_sarValue == 0)
			return;

		var close = candle.ClosePrice;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Long: price above SAR + RSI not overbought
		if (close > _sarValue && rsiValue < RsiOverbought && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Short: price below SAR + RSI not oversold
		else if (close < _sarValue && rsiValue > RsiOversold && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit long: SAR flips above price
		if (Position > 0 && close < _sarValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Exit short: SAR flips below price
		else if (Position < 0 && close > _sarValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}