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Rsi Stochastic Strategy

Strategy that combines RSI and Stochastic Oscillator for double confirmation of oversold and overbought conditions.

Testing indicates an average annual return of about 181%. It performs best in the crypto market.

RSI provides a broader momentum view, while Stochastic gives faster signals near extremes. Trades flip as the oscillator crosses levels within the RSI context.

Ideal for nimble traders who favor oscillator setups. The strategy relies on an ATR stop to contain risk.

Details

  • Entry Criteria:
    • Long: RSI < RsiOversold && StochK < StochOversold
    • Short: RSI > RsiOverbought && StochK > StochOverbought
  • Long/Short: Both
  • Exit Criteria:
    • Long: RSI > 50
    • Short: RSI < 50
  • Stops: Percent-based at StopLossPercent
  • Default Values:
    • RsiPeriod = 14
    • RsiOversold = 30m
    • RsiOverbought = 70m
    • StochPeriod = 14
    • StochK = 3
    • StochD = 3
    • StochOversold = 20m
    • StochOverbought = 80m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: RSI, Stochastic Oscillator
    • 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 RSI with EMA trend filter for oversold/overbought trading.
/// </summary>
public class RsiStochasticStrategy : 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> _emaPeriod;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _emaValue;
	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>
	/// EMA period for trend filter.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

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

	/// <summary>
	/// Strategy constructor.
	/// </summary>
	public RsiStochasticStrategy()
	{
		_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");

		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetRange(10, 50)
			.SetDisplay("EMA Period", "EMA period for trend filter", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.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();
		_emaValue = 0;
		_cooldown = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);

		// Bind EMA to capture value
		subscription.Bind(ema, OnEma);

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

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

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

	private void OnEma(ICandleMessage candle, decimal ema)
	{
		_emaValue = ema;
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_emaValue == 0)
			return;

		var close = candle.ClosePrice;

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

		// Long: RSI oversold
		if (rsiValue < RsiOversold && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Short: RSI overbought
		else if (rsiValue > RsiOverbought && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit long: RSI returns to neutral
		if (Position > 0 && rsiValue > 50)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Exit short: RSI returns to neutral
		else if (Position < 0 && rsiValue < 50)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}