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Parabolic SAR RSI Divergence

The Parabolic SAR RSI Divergence strategy is built around that trades based on Parabolic SAR signals when RSI shows divergence from price.

Testing indicates an average annual return of about 103%. It performs best in the stocks market.

Signals trigger when Parabolic confirms divergence setups on intraday (5m) data. This makes the method suitable for active traders.

Stops rely on ATR multiples and factors like SarAccelerationFactor, SarMaxAccelerationFactor. Adjust these defaults to balance risk and reward.

Details

  • Entry Criteria: see implementation for indicator conditions.
  • Long/Short: Both directions.
  • Exit Criteria: opposite signal or stop logic.
  • Stops: Yes, using indicator-based calculations.
  • Default Values:
    • SarAccelerationFactor = 0.02m
    • SarMaxAccelerationFactor = 0.2m
    • RsiPeriod = 14
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Parabolic, Divergence
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: Yes
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;
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 Parabolic SAR trend direction with RSI divergence-style reversals.
/// </summary>
public class ParabolicSarRsiDivergenceStrategy : Strategy
{
	private readonly StrategyParam<decimal> _sarAccelerationFactor;
	private readonly StrategyParam<decimal> _sarMaxAccelerationFactor;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRsi;
	private decimal _prevPrice;
	private bool _hasPrevValues;
	private int _cooldownRemaining;

	/// <summary>
	/// Strategy parameter: Parabolic SAR acceleration factor.
	/// </summary>
	public decimal SarAccelerationFactor
	{
		get => _sarAccelerationFactor.Value;
		set => _sarAccelerationFactor.Value = value;
	}

	/// <summary>
	/// Strategy parameter: Parabolic SAR maximum acceleration factor.
	/// </summary>
	public decimal SarMaxAccelerationFactor
	{
		get => _sarMaxAccelerationFactor.Value;
		set => _sarMaxAccelerationFactor.Value = value;
	}

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

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

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

	/// <summary>
	/// Strategy parameter: Number of closed candles between position changes.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public ParabolicSarRsiDivergenceStrategy()
	{
		_sarAccelerationFactor = Param(nameof(SarAccelerationFactor), 0.02m)
			.SetRange(0.01m, 0.25m)
			.SetDisplay("SAR Acceleration Factor", "Initial acceleration factor for Parabolic SAR", "Indicator Settings");

		_sarMaxAccelerationFactor = Param(nameof(SarMaxAccelerationFactor), 0.2m)
			.SetRange(0.1m, 0.5m)
			.SetDisplay("SAR Max Acceleration Factor", "Maximum acceleration factor for Parabolic SAR", "Indicator Settings");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period for RSI calculation", "Indicator Settings");

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "RSI oversold level for bullish reversal detection", "Indicator Settings");

		_rsiOverbought = Param(nameof(RsiOverbought), 70m)
			.SetDisplay("RSI Overbought", "RSI overbought level for bearish reversal detection", "Indicator Settings");

		_cooldownBars = Param(nameof(CooldownBars), 24)
			.SetNotNegative()
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(2).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevRsi = 0;
		_prevPrice = 0;
		_hasPrevValues = false;
		_cooldownRemaining = 0;
	}

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

		var rsi = new RelativeStrengthIndex
		{
			Length = RsiPeriod
		};

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(rsi, ProcessCandle)
			.Start();

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

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

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_hasPrevValues)
		{
			StoreState(candle.ClosePrice, rsiValue);
			return;
		}

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var bullishDivergence = candle.ClosePrice < _prevPrice && rsiValue > _prevRsi;
		var bearishDivergence = candle.ClosePrice > _prevPrice && rsiValue < _prevRsi;
		var bullishReversal = _prevRsi < RsiOversold && rsiValue >= RsiOversold;
		var bearishReversal = _prevRsi > RsiOverbought && rsiValue <= RsiOverbought;
		var canTrade = _cooldownRemaining == 0;

		if (canTrade && (bullishDivergence || bullishReversal) && Position <= 0)
		{
			BuyMarket(Volume + (Position < 0 ? Math.Abs(Position) : 0m));
			_cooldownRemaining = CooldownBars;
		}
		else if (canTrade && (bearishDivergence || bearishReversal) && Position >= 0)
		{
			SellMarket(Volume + (Position > 0 ? Math.Abs(Position) : 0m));
			_cooldownRemaining = CooldownBars;
		}

		StoreState(candle.ClosePrice, rsiValue);
	}

	private void StoreState(decimal price, decimal rsi)
	{
		_prevPrice = price;
		_prevRsi = rsi;
		_hasPrevValues = true;
	}
}