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SAR RSI MTS Strategy

Overview

The SAR RSI MTS Strategy is a direct translation of the original MetaTrader 5 expert advisor "SAR RSI MTS" into the StockSharp high-level API. The system follows the direction of the Parabolic SAR indicator and confirms entries with the Relative Strength Index (RSI). It works on completed candles only (default timeframe is 1 hour) and respects a configurable cap on the net position size.

Indicators and Data

  • Parabolic SAR (Acceleration = SarStep, AccelerationStep = SarStep, AccelerationMax = SarMax).
  • Relative Strength Index with customizable period and neutral level (default 50).
  • Candles supplied by CandleType, which defaults to hourly time frame data.

Internally the strategy computes a pip value from the security metadata. If the symbol has 3 or 5 decimal places it multiplies the price step by 10, matching the pip handling of the original MQL program.

Entry Logic

A new trade is evaluated at the close of each finished candle once both indicators have produced valid values:

  • Long setup

    1. Parabolic SAR value from the previous bar is below the current close and the current SAR has increased compared to the previous value.
    2. RSI is above the neutral threshold and is rising compared to its previous reading.
    3. If the account is already net short the strategy first buys enough volume to flip the position and then opens a new long sized according to the Volume parameter, respecting the MaxPosition limit.

  • Short setup

    1. Previous Parabolic SAR value is above the current close and the current SAR has decreased.
    2. RSI is below the neutral threshold and is falling compared to its previous value.
    3. Existing long exposure is flattened before establishing the new short. Additional shorts are allowed until the absolute position reaches MaxPosition.

All comparisons use the instrument precision so that equality tests match the original CompareDoubles helper from MQL.

Exit and Risk Management

Risk controls are evaluated before checking for new entries on every finished candle:

  • Fixed stop-loss in pips converted into price units and applied to the average entry price of the current net position.
  • Fixed take-profit in pips, handled symmetrically to the stop-loss.
  • Trailing stop that becomes active only after unrealized profit exceeds TrailingStop + TrailingStep. The stop is moved in discrete steps, mimicking the "Trailing" routine from the MQL strategy.
  • If none of the above applies the trailing state is reset whenever the position becomes flat.

All exits close the entire net position (long or short). When a protective rule triggers, the strategy skips signal evaluation for the same bar, mirroring the behaviour of broker-side stop orders in the original implementation.

Parameters

Parameter Description
StopLossPips Stop-loss distance expressed in pips. A value of 0 disables the protective stop.
TakeProfitPips Take-profit distance in pips. Disabled when set to 0.
TrailingStopPips Distance of the trailing stop. Disabled when set to 0.
TrailingStepPips Minimum price improvement required before the trailing stop is advanced.
SarStep Acceleration step for Parabolic SAR; also used as the initial acceleration factor.
SarMax Maximum acceleration factor for Parabolic SAR.
RsiPeriod Lookback period for the RSI indicator.
RsiNeutralLevel RSI threshold separating bullish and bearish bias (default 50).
CandleType Candle subscription used for calculations (default 1 hour).
MaxPosition Maximum absolute net position allowed by the strategy.

Additional Notes

  • The default configuration reproduces the original EA inputs: 10 pip stop, 40 pip target, 15/5 pip trailing stop, Parabolic SAR 0.05/0.5, and RSI period 14.
  • Volume is controlled by the base Strategy.Volume property. Position scaling honours MaxPosition and automatically handles reversals.
  • Indicator bindings and order routing rely entirely on the StockSharp high-level API without manual series access, ensuring compliance with the project guidelines.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Parabolic SAR and RSI strategy translated from the original MQL implementation.
/// </summary>
public class SarRsiMtsStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPips;
	private readonly StrategyParam<decimal> _takeProfitPips;
	private readonly StrategyParam<decimal> _trailingStopPips;
	private readonly StrategyParam<decimal> _trailingStepPips;
	private readonly StrategyParam<decimal> _sarStep;
	private readonly StrategyParam<decimal> _sarMax;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiNeutralLevel;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _maxPosition;

	private decimal? _previousSar;
	private decimal? _previousRsi;
	private decimal? _longTrailingStop;
	private decimal? _shortTrailingStop;
	private decimal _pipSize;
	private decimal _entryPrice;
	private DateTimeOffset _lastTradeTime;

	/// <summary>
	/// Stop loss distance expressed in pips.
	/// </summary>
	public decimal StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Take profit distance expressed in pips.
	/// </summary>
	public decimal TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Trailing stop distance expressed in pips.
	/// </summary>
	public decimal TrailingStopPips
	{
		get => _trailingStopPips.Value;
		set => _trailingStopPips.Value = value;
	}

	/// <summary>
	/// Trailing step distance expressed in pips.
	/// </summary>
	public decimal TrailingStepPips
	{
		get => _trailingStepPips.Value;
		set => _trailingStepPips.Value = value;
	}

	/// <summary>
	/// Parabolic SAR acceleration step.
	/// </summary>
	public decimal SarStep
	{
		get => _sarStep.Value;
		set => _sarStep.Value = value;
	}

	/// <summary>
	/// Parabolic SAR maximum acceleration.
	/// </summary>
	public decimal SarMax
	{
		get => _sarMax.Value;
		set => _sarMax.Value = value;
	}

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

	/// <summary>
	/// RSI neutral level used for bullish or bearish confirmation.
	/// </summary>
	public decimal RsiNeutralLevel
	{
		get => _rsiNeutralLevel.Value;
		set => _rsiNeutralLevel.Value = value;
	}

	/// <summary>
	/// Candle type used for indicator calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Maximum absolute net position allowed by the strategy.
	/// </summary>
	public decimal MaxPosition
	{
		get => _maxPosition.Value;
		set => _maxPosition.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="SarRsiMtsStrategy"/> class.
	/// </summary>
	public SarRsiMtsStrategy()
	{
		_stopLossPips = Param(nameof(StopLossPips), 10m)
			.SetNotNegative()
			.SetDisplay("Stop Loss (pips)", "Stop loss distance in pips", "Risk");

		_takeProfitPips = Param(nameof(TakeProfitPips), 40m)
			.SetNotNegative()
			.SetDisplay("Take Profit (pips)", "Take profit distance in pips", "Risk");

		_trailingStopPips = Param(nameof(TrailingStopPips), 15m)
			.SetNotNegative()
			.SetDisplay("Trailing Stop (pips)", "Trailing stop distance in pips", "Risk");

		_trailingStepPips = Param(nameof(TrailingStepPips), 5m)
			.SetNotNegative()
			.SetDisplay("Trailing Step (pips)", "Trailing step distance in pips", "Risk");

		_sarStep = Param(nameof(SarStep), 0.05m)
			.SetGreaterThanZero()
			.SetDisplay("SAR Step", "Parabolic SAR acceleration step", "Indicators");

		_sarMax = Param(nameof(SarMax), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("SAR Maximum", "Parabolic SAR maximum acceleration", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Lookback period for RSI", "Indicators");

		_rsiNeutralLevel = Param(nameof(RsiNeutralLevel), 50m)
			.SetDisplay("RSI Neutral", "Neutral RSI threshold separating bullish and bearish bias", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for indicator calculations", "General");

		_maxPosition = Param(nameof(MaxPosition), 5m)
			.SetGreaterThanZero()
			.SetDisplay("Max Position", "Maximum absolute net position allowed", "Risk");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousSar = null;
		_previousRsi = null;
		_longTrailingStop = null;
		_shortTrailingStop = null;
		_pipSize = 0;
		_entryPrice = 0;
		_lastTradeTime = default;
	}

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

		_pipSize = CalculatePipSize();

		var parabolicSar = new ParabolicSar
		{
			Acceleration = SarStep,
			AccelerationStep = SarStep,
			AccelerationMax = SarMax
		};

		var rsi = new RelativeStrengthIndex
		{
			Length = RsiPeriod
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(parabolicSar, rsi, ProcessCandle)
			.Start();

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

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

		if (ManageRisk(candle))
			return;

		if (sarValue == 0m || rsiValue == 0m)
			return;

		if (!_previousSar.HasValue || !_previousRsi.HasValue)
		{
			_previousSar = sarValue;
			_previousRsi = rsiValue;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_previousSar = sarValue;
			_previousRsi = rsiValue;
			return;
		}

		// Cooldown: skip if a trade was placed within the last ~240 candles (5-min candles = ~1200 min)
		if (_lastTradeTime != default && (candle.OpenTime - _lastTradeTime) < TimeSpan.FromMinutes(1200))
		{
			_previousSar = sarValue;
			_previousRsi = rsiValue;
			return;
		}

		var sarPrev = _previousSar.Value;
		var rsiPrev = _previousRsi.Value;

		var price = candle.ClosePrice;
		var buySignal = sarPrev < price
			&& !AreClose(sarPrev, price)
			&& sarValue > sarPrev
			&& rsiValue > RsiNeutralLevel
			&& rsiValue > rsiPrev
			&& !AreClose(rsiValue, rsiPrev);

		if (buySignal)
		{
			EnterLong(candle);
		}
		else
		{
			var sellSignal = sarPrev > price
				&& !AreClose(sarPrev, price)
				&& sarValue < sarPrev
				&& rsiValue < RsiNeutralLevel
				&& rsiValue < rsiPrev
				&& !AreClose(rsiValue, rsiPrev);

			if (sellSignal)
				EnterShort(candle);
		}

		_previousSar = sarValue;
		_previousRsi = rsiValue;
	}

	private void EnterLong(ICandleMessage candle)
	{
		var tradeVolume = Volume;
		if (tradeVolume <= 0m)
			return;

		var maxPosition = MaxPosition;
		if (maxPosition <= 0m)
			return;

		var current = Position;
		var target = current < 0 ? Math.Min(maxPosition, tradeVolume) : Math.Min(maxPosition, current + tradeVolume);
		var required = target - current;
		if (required <= 0m)
			return;

		BuyMarket(required);
		_longTrailingStop = null;
		_shortTrailingStop = null;
		_lastTradeTime = candle.OpenTime;
	}

	private void EnterShort(ICandleMessage candle)
	{
		var tradeVolume = Volume;
		if (tradeVolume <= 0m)
			return;

		var maxPosition = MaxPosition;
		if (maxPosition <= 0m)
			return;

		var current = Position;
		var target = current > 0 ? -Math.Min(maxPosition, tradeVolume) : Math.Max(-maxPosition, current - tradeVolume);
		var required = current - target;
		if (required <= 0m)
			return;

		SellMarket(required);
		_longTrailingStop = null;
		_shortTrailingStop = null;
		_lastTradeTime = candle.OpenTime;
	}

	private bool ManageRisk(ICandleMessage candle)
	{
		if (Position > 0m)
		{
			var entryPrice = _entryPrice;
			if (entryPrice <= 0m)
				return false;

			var trailingTriggered = UpdateLongTrailing(candle, entryPrice);
			if (trailingTriggered)
				return true;

			var stopDistance = GetPriceOffset(StopLossPips);
			if (stopDistance > 0m)
			{
				var stopPrice = entryPrice - stopDistance;
				if (candle.LowPrice <= stopPrice)
				{
					SellMarket(Position);
					ResetTrailing();
					return true;
				}
			}

			var takeDistance = GetPriceOffset(TakeProfitPips);
			if (takeDistance > 0m)
			{
				var takePrice = entryPrice + takeDistance;
				if (candle.HighPrice >= takePrice)
				{
					SellMarket(Position);
					ResetTrailing();
					return true;
				}
			}
		}
		else if (Position < 0m)
		{
			var entryPrice = _entryPrice;
			if (entryPrice <= 0m)
				return false;

			var trailingTriggered = UpdateShortTrailing(candle, entryPrice);
			if (trailingTriggered)
				return true;

			var stopDistance = GetPriceOffset(StopLossPips);
			if (stopDistance > 0m)
			{
				var stopPrice = entryPrice + stopDistance;
				if (candle.HighPrice >= stopPrice)
				{
					BuyMarket(Math.Abs(Position));
					ResetTrailing();
					return true;
				}
			}

			var takeDistance = GetPriceOffset(TakeProfitPips);
			if (takeDistance > 0m)
			{
				var takePrice = entryPrice - takeDistance;
				if (candle.LowPrice <= takePrice)
				{
					BuyMarket(Math.Abs(Position));
					ResetTrailing();
					return true;
				}
			}
		}
		else
		{
			ResetTrailing();
		}

		return false;
	}

	private bool UpdateLongTrailing(ICandleMessage candle, decimal entryPrice)
	{
		var trailingDistance = GetPriceOffset(TrailingStopPips);
		if (trailingDistance <= 0m)
		{
			_longTrailingStop = null;
			return false;
		}

		var trailingStep = GetPriceOffset(TrailingStepPips);
		var profit = candle.ClosePrice - entryPrice;
		if (profit >= trailingDistance + trailingStep)
		{
			var candidate = candle.ClosePrice - trailingDistance;
			var threshold = candle.ClosePrice - (trailingDistance + trailingStep);
			if (!_longTrailingStop.HasValue || _longTrailingStop.Value < threshold)
				_longTrailingStop = candidate;
		}

		if (_longTrailingStop.HasValue && candle.LowPrice <= _longTrailingStop.Value)
		{
			SellMarket(Position);
			ResetTrailing();
			return true;
		}

		return false;
	}

	private bool UpdateShortTrailing(ICandleMessage candle, decimal entryPrice)
	{
		var trailingDistance = GetPriceOffset(TrailingStopPips);
		if (trailingDistance <= 0m)
		{
			_shortTrailingStop = null;
			return false;
		}

		var trailingStep = GetPriceOffset(TrailingStepPips);
		var profit = entryPrice - candle.ClosePrice;
		if (profit >= trailingDistance + trailingStep)
		{
			var candidate = candle.ClosePrice + trailingDistance;
			var threshold = candle.ClosePrice + (trailingDistance + trailingStep);
			if (!_shortTrailingStop.HasValue || _shortTrailingStop.Value > threshold)
				_shortTrailingStop = candidate;
		}

		if (_shortTrailingStop.HasValue && candle.HighPrice >= _shortTrailingStop.Value)
		{
			BuyMarket(Math.Abs(Position));
			ResetTrailing();
			return true;
		}

		return false;
	}

	private decimal GetPriceOffset(decimal pips)
	{
		if (pips <= 0m)
			return 0m;

		var pip = _pipSize;
		if (pip <= 0m)
			pip = Security?.PriceStep ?? 1m;

		return pip * pips;
	}

	private decimal CalculatePipSize()
	{
		var priceStep = Security?.PriceStep ?? 0m;
		if (priceStep <= 0m)
			priceStep = 1m;

		var decimals = Security?.Decimals;
		var adjust = decimals == 3 || decimals == 5 ? 10m : 1m;

		return priceStep * adjust;
	}

	private void ResetTrailing()
	{
		_longTrailingStop = null;
		_shortTrailingStop = null;
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);
		if (trade?.Trade == null) return;
		if (Position != 0 && _entryPrice == 0m)
			_entryPrice = trade.Trade.Price;
		if (Position == 0)
			_entryPrice = 0m;
	}

	private bool AreClose(decimal value1, decimal value2)
	{
		var decimals = Security?.Decimals ?? 4;
		return Math.Round(value1 - value2, decimals) == 0m;
	}
}