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XRSI Histogram Vol Direct Strategy

Overview

  • Original source: Exp_XRSI_Histogram_Vol_Direct.mq5
  • Converted platform: StockSharp C# high level strategy API
  • Idea: trade reversals when the smoothed volume-weighted RSI histogram changes slope
  • Data: single security, single timeframe (default H4)

The strategy evaluates a custom oscillator built from RSI values multiplied by volume. When the slope of this smoothed oscillator flips, the strategy either reverses a position or opens a fresh trade in the opposite direction. The logic replicates the color-buffer approach of the original expert advisor by tracking the slope direction of the last two completed candles.

Indicator stack and calculations

  1. RSI (RsiPeriod) is calculated on the selected candle series and centered around zero by subtracting 50.
  2. Volume selection uses either tick count or traded volume, controlled by the Use Tick Volume parameter.
  3. Volume-weighted oscillator multiplies the centered RSI by the chosen volume, magnifying swings that coincide with larger activity.
  4. Smoothing applies the selected moving average (SMA, EMA, SMMA, WMA) with period SmoothLength to both the oscillator and raw volume stream. The indicator is considered ready only after both smoothed values are formed.
  5. Slope detection compares the current smoothed oscillator value with the previous one:
    • Higher value → slope color 0 (rising)
    • Lower value → slope color 1 (falling)
    • Flat → keep the previous color

Parameters

Name Default Description
Candle Type H4 time frame Target candle subscription.
RSI Period 14 Lookback for the RSI calculation.
Smoothing Length 12 Period of the moving average applied to both the oscillator and volume.
Smoothing Method SMA Moving average type (SMA, EMA, SMMA, WMA).
Use Tick Volume true Use tick count (true) or traded volume (false).
Allow Buy Open true Enable opening long positions.
Allow Sell Open true Enable opening short positions.
Allow Buy Close true Allow closing long positions on opposite signal.
Allow Sell Close true Allow closing short positions on opposite signal.

Note: Unlike the original MQL indicator, advanced smoothers such as JJMA or VIDYA are not available in the StockSharp framework. The strategy therefore exposes the closest built-in alternatives.

Trading rules

  1. Wait until both smoothing indicators have enough data.
  2. Determine the slope color of the last two completed candles.
  3. If the older color is rising (0):
    • Close any open short position if allowed.
    • If the latest color is falling (1) and long entries are allowed, open a long position (mirrors the reversal logic from the EA).
  4. If the older color is falling (1):
    • Close any open long position if allowed.
    • If the latest color is rising (0) and short entries are allowed, open a short position.

The strategy effectively trades the “color flip” of the histogram slope, executing at the close of the newest finished candle.

Practical tips

  • The logic is sensitive to the chosen timeframe. Test several intervals to match the behaviour of the original EA.
  • Because only slope direction is used, adding a stop loss or take profit via StartProtection can improve risk control in live trading.
  • Use chart visualization in the terminal to compare the StockSharp oscillator slope with the original MT5 indicator when validating the port.

Differences from the MQL version

  • Money management helpers (TradeAlgorithms.mqh) are not ported; the StockSharp implementation relies on the base strategy volume.
  • Only the smoothing methods supported by StockSharp are exposed. Unsupported modes default to SMA behaviour.
  • Orders are sent immediately on the finished candle, so explicit time shifting (SignalBar / TimeShiftSec) is not required.
  • Protective stops are not hard-coded; users can add them through StartProtection if needed.

Limitations

  • Requires a candle source that provides either tick counts or volume totals to reproduce the oscillator amplitude correctly.
  • The strategy does not draw the custom histogram itself; it focuses on the trading logic and optional chart overlays for RSI.
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>
/// XRSI Histogram Vol Direct strategy. Uses RSI 50-line crossover.
/// </summary>
public class XrsiHistogramVolDirectStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private decimal? _prevRsi;

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

	public XrsiHistogramVolDirectStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14).SetGreaterThanZero().SetDisplay("RSI Period", "RSI lookback", "Indicators");
	}

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevRsi = null;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsiVal)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevRsi = rsiVal; return; }
		if (_prevRsi == null) { _prevRsi = rsiVal; return; }
		if (_prevRsi.Value < 45m && rsiVal >= 55m && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (_prevRsi.Value > 55m && rsiVal <= 45m && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
		_prevRsi = rsiVal;
	}
}