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MA RSI EA Strategy

Overview

The MA RSI EA Strategy reproduces the logic of the original MetaTrader expert advisor that combines a fast moving average with a short-period RSI filter. The strategy trades on the selected candle series, evaluates new orders only on finished bars, and uses dynamic position sizing based on account balance or equity. When the floating profit of all open positions becomes positive, every position is closed immediately to lock in the gain.

Indicators

  • Moving Average – configurable method (simple, exponential, smoothed, linear weighted) with price source selection and optional shift.
  • Relative Strength Index (RSI) – short-term oscillator that reads from the same candle price family as in the MQL version.

Trading Logic

  1. For every completed candle the strategy calculates the moving average and RSI values using the configured price sources.
  2. The most recent moving average value can be shifted by a user-defined number of bars to match the MQL behaviour.
  3. It evaluates the floating PnL of the current net position:
    • If the floating result of all open positions is greater than zero, the strategy closes the entire position to realise the profit.
    • If the floating result is negative, the side with the smaller loss (buy-side vs. sell-side) is reinforced by opening an additional trade in that direction.
  4. If there is no averaging signal, the RSI + MA filter is applied:
    • Short entry – RSI ≥ RsiOverbought and the candle open price is below the shifted moving average.
    • Long entry – RSI ≤ RsiOversold and the candle open price is above the shifted moving average.

Exit Logic

  • Positive floating PnL triggers CloseAllPositions, flattening the strategy immediately.
  • Manual reversal signals from the averaging logic close the opposite exposure because StockSharp works with net positions.

Position Sizing

LotSizingModes mirrors the OptLot selection from the EA:

  • Fixed – always send LotSize volume.
  • Balance – convert PercentOfBalance of the portfolio value into volume using the candle close price.
  • Equity – convert PercentOfEquity of the current portfolio equity into volume.

The calculated volume is rounded to the nearest Security.VolumeStep (when available) so that orders comply with the instrument’s lot size.

Parameters

Parameter Description Default
LotOption Volume calculation mode (Fixed, Balance, Equity). Balance
LotSize Fixed lot value for the Fixed mode. 0.01
PercentOfBalance Percentage of balance used in Balance mode. 2
PercentOfEquity Percentage of equity used in Equity mode. 3
FastMaPeriod Moving average length. 4
FastMaShift Shift applied to the moving average result. 0
FastMaMethod Moving average calculation method (Simple, Exponential, Smoothed, LinearWeighted). LinearWeighted
FastMaPrice Candle price source for the moving average. Open
RsiPeriod RSI length. 4
RsiPrice Candle price source for the RSI. Open
RsiOverbought RSI level that defines an overbought market. 80
RsiOversold RSI level that defines an oversold market. 20
CandleType Candle series used by the strategy. 15-minute time frame

Candle Price Sources

CandlePriceSources replicates the MQL applied price list:

  • Open, High, Low, Close
  • Median = (High + Low) / 2
  • Typical = (High + Low + Close) / 3
  • Weighted = (High + Low + Close + Close) / 4

Notes

  • Orders are generated only when the strategy is online and the candle is finished, matching the original EA that triggers on new bars.
  • Because StockSharp maintains a net position, averaging signals automatically reduce or flip the current exposure instead of creating hedge positions.
  • Python implementation is intentionally omitted as requested.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MA + RSI strategy. Uses EMA trend direction with RSI momentum confirmation.
/// </summary>
public class MaRsiEaStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _rsiOversold;

	private decimal? _prevRsi;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int MaPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public decimal RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	public MaRsiEaStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe", "General");

		_maPeriod = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "EMA period for trend", "Indicators");

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

		_rsiOverbought = Param(nameof(RsiOverbought), 65m)
			.SetDisplay("Overbought", "RSI overbought level", "Levels");

		_rsiOversold = Param(nameof(RsiOversold), 35m)
			.SetDisplay("Oversold", "RSI oversold level", "Levels");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = null;
	}

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

		_prevRsi = null;

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

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevRsi = rsiValue;
			return;
		}

		var close = candle.ClosePrice;

		if (_prevRsi == null)
		{
			_prevRsi = rsiValue;
			return;
		}

		// Buy: price above EMA and RSI crosses above oversold
		if (close > emaValue && _prevRsi.Value <= RsiOversold && rsiValue > RsiOversold && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Sell: price below EMA and RSI crosses below overbought
		else if (close < emaValue && _prevRsi.Value >= RsiOverbought && rsiValue < RsiOverbought && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevRsi = rsiValue;
	}
}