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Cronex RSI Strategy

The Cronex RSI Strategy recreates the Exp_CronexRSI.mq5 expert advisor on the StockSharp high-level API. The indicator stack combines a classic Relative Strength Index (RSI) with two sequential moving averages in order to reduce noise. Trading decisions are based on crossovers between the fast and the slow smoothed RSI curves, with configurable entry/exit permissions that match the original MQL5 parameters.

Trading Logic

  1. Build the RSI from the selected applied price and lookback period.
  2. Smooth the RSI value with a fast moving average, then smooth the result with a slow moving average.
  3. Evaluate crossovers with a configurable confirmation shift:
    • When the fast curve was above the slow curve one bar earlier and falls below it on the confirmed bar, the strategy closes short positions and, if enabled, opens a long position.
    • When the fast curve was below the slow curve and crosses above it on the confirmed bar, the strategy closes longs and can enter short trades.
  4. Volumes are symmetrical in both directions. When a new signal reverses the position the strategy first covers the existing exposure and then opens the new side using the configured base volume.

By default the strategy waits for one fully closed candle before acting on a signal, reproducing the SignalBar = 1 behaviour from Exp_CronexRSI. Setting the shift to zero processes the crossover immediately on the closing bar.

Parameters

Name Description
RsiPeriod RSI lookback period.
FastPeriod Length of the fast smoothing moving average.
SlowPeriod Length of the second smoothing moving average.
SignalShift Number of completed bars used for confirmation (0 reacts instantly).
SmoothingMethod Moving-average type applied during both smoothing stages (simple, exponential, smoothed, linear weighted, volume weighted).
AppliedPrice Price component passed to the RSI (close, open, high, low, median, typical, weighted).
CandleType Candle series processed by the strategy.
TradeVolume Base order size used for new entries.
EnableLongEntry / EnableShortEntry Allow opening long/short positions.
EnableLongExit / EnableShortExit Allow closing positions in response to opposite signals.

Implementation Notes

  • The smoothing method uses StockSharp moving average classes. The VolumeWeighted option also covers MQL5 VIDYA/AMA styles by applying a pragmatic volume-weighted substitute.
  • Applied price selection matches the Cronex indicator inputs and mirrors the helper used inside the original expert advisor.
  • All indicator values are processed through DecimalIndicatorValue instances to stay compatible with StockSharp's indicator pipeline while avoiding direct value polling.
  • The strategy automatically resizes its internal history when the confirmation shift changes, ensuring that the crossover logic keeps the exact lookback structure of the MQL5 version.

Usage

  1. Attach the strategy to a portfolio and security in the StockSharp designer or via code.
  2. Configure the candle timeframe, smoothing style and trade permissions to match your preferred Cronex RSI setup.
  3. Launch the strategy. It will subscribe to the selected candle series, update the RSI/MA combination and send market orders on confirmed crossovers.
  4. Use the built-in chart helpers to visualise the indicator curves and executed trades for further validation.
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;

public class CronexRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public CronexRsiStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}