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Megabar Breakout (Range & Volume & RSI)

Megabar Breakout detects large candles supported by high volume and RSI confirmation. The strategy enters long on bullish megabars and short on bearish ones.

It multiplies average range and volume to find megabars. RSI moving average filters trades.

Details

  • Entry Criteria: Candle body and volume exceed their moving averages by given multipliers. RSI MA above long threshold for buys and below short threshold for sells.
  • Long/Short: Both directions.
  • Exit Criteria: Stop loss or take profit.
  • Stops: Yes.
  • Default Values:
    • CandleType = TimeSpan.FromMinutes(5)
    • VolumeAveragePeriod = 20
    • VolumeMultiplier = 3
    • RangeAveragePeriod = 20
    • RangeMultiplier = 4
    • RsiPeriod = 14
    • RsiMaPeriod = 14
    • LongRsiThreshold = 50
    • ShortRsiThreshold = 70
    • TakeProfit = 400
    • StopLoss = 300
    • FilterTradeHours = false
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: Volume, Range, RSI
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
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;

public class MegabarBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private RelativeStrengthIndex _rsi;
	private readonly List<decimal> _volumes = new();
	private readonly List<decimal> _ranges = new();
	private int _barsFromSignal;

	public int AvgPeriod { get => _avgPeriod.Value; set => _avgPeriod.Value = value; }
	public decimal Multiplier { get => _multiplier.Value; set => _multiplier.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MegabarBreakoutStrategy()
	{
		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Rolling average period", "General");
		_multiplier = Param(nameof(Multiplier), 1.8m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Volume and range multiplier", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "General");
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 8)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(10).TimeFrame())
			.SetDisplay("Candle Type", "Candles timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_rsi = null;
		_volumes.Clear();
		_ranges.Clear();
		_barsFromSignal = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_volumes.Clear();
		_ranges.Clear();
		_barsFromSignal = SignalCooldownBars;

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var vol = candle.TotalVolume;
		var range = Math.Abs(candle.ClosePrice - candle.OpenPrice);

		_volumes.Add(vol);
		_ranges.Add(range);
		if (_volumes.Count > AvgPeriod) _volumes.RemoveAt(0);
		if (_ranges.Count > AvgPeriod) _ranges.RemoveAt(0);

		if (!_rsi.IsFormed || _volumes.Count < AvgPeriod)
			return;

		var avgVol = _volumes.Average();
		var avgRange = _ranges.Average();

		var volumeOk = vol > avgVol * Multiplier;
		var rangeOk = range > avgRange * Multiplier;
		_barsFromSignal++;

		if (_barsFromSignal >= SignalCooldownBars && candle.ClosePrice > candle.OpenPrice && volumeOk && rangeOk && rsiValue > 52m && Position <= 0)
		{
			BuyMarket();
			_barsFromSignal = 0;
		}
		else if (_barsFromSignal >= SignalCooldownBars && candle.ClosePrice < candle.OpenPrice && volumeOk && rangeOk && rsiValue < 48m && Position >= 0)
		{
			SellMarket();
			_barsFromSignal = 0;
		}
	}
}