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RGT EA RSI Strategy

This strategy combines the Relative Strength Index (RSI) with Bollinger Bands to identify extreme price movements and trade potential reversals. Positions are opened when the RSI enters oversold or overbought zones and price crosses the Bollinger Bands. A stop loss and trailing stop manage risk and secure profits.

How It Works

  1. Calculate RSI and Bollinger Bands for incoming candles.
  2. Buy when RSI is below the oversold level and the close price is below the lower band.
  3. Sell when RSI is above the overbought level and the close price is above the upper band.
  4. After entry, a fixed stop loss is placed. Once the position gains the minimum profit, the stop loss trails the price.

Parameters

Name Description
Volume Order volume.
RsiPeriod RSI calculation period.
RsiHigh RSI overbought threshold.
RsiLow RSI oversold threshold.
StopLoss Initial stop loss distance in price units.
TrailingStop Trailing stop distance in price units.
MinProfit Minimum profit before trailing activates.
CandleType Candle type used for calculations.

Notes

  • Works on any instrument and timeframe supported by StockSharp.
  • Uses market orders for entries and exits.
  • Trailing stop updates on every completed candle.
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>
/// RSI and Bollinger Bands breakout with trailing stop.
/// </summary>
public class RgtEaRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _rsiHigh;
	private readonly StrategyParam<int> _rsiLow;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<decimal> _minProfit;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;
	private decimal _stopPrice;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int RsiHigh { get => _rsiHigh.Value; set => _rsiHigh.Value = value; }
	public int RsiLow { get => _rsiLow.Value; set => _rsiLow.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public decimal TrailingStop { get => _trailingStop.Value; set => _trailingStop.Value = value; }
	public decimal MinProfit { get => _minProfit.Value; set => _minProfit.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RgtEaRsiStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 8)
			.SetDisplay("RSI Period", "RSI calculation period", "Indicator");

		_rsiHigh = Param(nameof(RsiHigh), 55)
			.SetDisplay("RSI High", "Overbought threshold", "Indicator");

		_rsiLow = Param(nameof(RsiLow), 45)
			.SetDisplay("RSI Low", "Oversold threshold", "Indicator");

		_stopLoss = Param(nameof(StopLoss), 500m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop loss size in price units", "Risk");

		_trailingStop = Param(nameof(TrailingStop), 300m)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Stop", "Trailing stop distance", "Risk");

		_minProfit = Param(nameof(MinProfit), 200m)
			.SetGreaterThanZero()
			.SetDisplay("Min Profit", "Minimum profit before trailing", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0;
		_stopPrice = 0;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var bb = new BollingerBands { Length = 20, Width = 2m };

		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(new IIndicator[] { rsi, bb }, ProcessCandle).Start();
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue[] values)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (values[0].IsEmpty || values[1].IsEmpty)
			return;

		var rsiVal = values[0].GetValue<decimal>();
		var bbVal = (BollingerBandsValue)values[1];

		if (bbVal.UpBand is not decimal upper ||
			bbVal.LowBand is not decimal lower)
			return;

		if (Position == 0)
		{
			if (rsiVal < RsiLow && candle.ClosePrice < lower)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_stopPrice = _entryPrice - StopLoss;
				return;
			}
			if (rsiVal > RsiHigh && candle.ClosePrice > upper)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_stopPrice = _entryPrice + StopLoss;
				return;
			}
		}

		if (Position > 0)
		{
			var profit = candle.ClosePrice - _entryPrice;
			var newStop = candle.ClosePrice - TrailingStop;
			if (profit > MinProfit && newStop > _stopPrice)
				_stopPrice = newStop;

			if (candle.ClosePrice <= _stopPrice)
				SellMarket();
		}
		else if (Position < 0)
		{
			var profit = _entryPrice - candle.ClosePrice;
			var newStop = candle.ClosePrice + TrailingStop;
			if (profit > MinProfit && newStop < _stopPrice)
				_stopPrice = newStop;

			if (candle.ClosePrice >= _stopPrice)
				BuyMarket();
		}
	}
}