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RSI Levels Strategy

Overview

The RSI Levels Strategy is a direct port of the MetaTrader 5 "RSI Levels" expert advisor. The system watches a single symbol on the selected timeframe and acts when the Relative Strength Index (RSI) crosses configurable overbought and oversold thresholds. The strategy assumes that the market will mean-revert after the RSI enters an extreme zone. When the indicator falls below the oversold level a long position is initiated, and when it rises above the overbought level a short position is opened. Only one position is held at a time and any opposite exposure is closed before a new entry.

Trading Logic

  1. RSI Calculation – The RSI is calculated on the working timeframe with a configurable period. The current bar must be finished before signals are evaluated.
  2. Long Entry – Triggered when the current RSI closes below the oversold level while the previous RSI value was above that level. If a short position exists it is closed immediately; otherwise, a new long trade is opened using risk-based position sizing.
  3. Short Entry – Triggered when the current RSI closes above the overbought level while the previous RSI value was below that level. Any existing long exposure is closed first, then a new short trade is created.
  4. Stop Loss – A fixed stop is placed at a configurable distance in symbol points from the entry price. If the stop is set to zero it is disabled.
  5. Take Profit – A fixed take-profit is placed at a configurable distance in symbol points from the entry price. If the take-profit is zero it is disabled.
  6. Position Management – Only one position can be open at a time. After a position is closed the internal state is reset so that the next signal starts from a clean slate.

Position Sizing

Position size is computed from the configured Risk % per Trade. The algorithm multiplies the portfolio equity by the risk percentage, then divides the risk capital by the monetary value of the stop distance (stop points × step price). The resulting volume is rounded down to the nearest tradable lot step and constrained by the minimum/maximum volume provided by the security. When the required market information (price step or step price) is missing, the strategy logs a warning and falls back to the minimal available volume.

Parameters

Parameter Default Description
CandleType 1 hour timeframe Timeframe used for candle subscription and RSI calculation.
RsiPeriod 14 Number of periods for the RSI indicator.
OverboughtLevel 70 RSI threshold that defines the overbought zone.
OversoldLevel 30 RSI threshold that defines the oversold zone.
RiskPercent 2 Percentage of portfolio equity risked on each trade.
StopLossPoints 500 Stop-loss distance expressed in symbol points. Set to zero to disable.
TakeProfitPoints 1000 Take-profit distance expressed in symbol points. Set to zero to disable.

Practical Notes

  • The strategy requires PriceStep, StepPrice, MinVolume, and VolumeStep to be configured on the security for accurate risk sizing. If any of these values are missing, conservative defaults are used and warnings are logged.
  • The logic uses SubscribeCandles and Bind to obtain indicator values without manually pulling data, matching the high-level API guidelines.
  • Stops and targets are evaluated on candle data; slippage and gaps can cause executions away from the intended price.
  • Because the system reacts only when a candle is finished, it is suitable for timeframes such as M15, H1, or H4. Lower timeframes may require additional filters to reduce noise.

Usage

  1. Attach the strategy to the desired security and portfolio.
  2. Adjust the RSI thresholds and risk controls to match the instrument's volatility.
  3. Start the strategy and monitor the log for warnings related to missing symbol information.
  4. Review trade results and fine-tune the stop and take-profit distances or RSI levels according to performance.

This StockSharp implementation mirrors the original MetaTrader behaviour while exposing the configuration and risk management through standard strategy parameters.

using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// RSI Levels strategy: RSI oversold/overbought mean reversion.
/// Buys when RSI < 35. Sells when RSI > 65.
/// </summary>
public class RsiLevelsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;

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

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

	public RsiLevelsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

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

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

		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 rsi)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (rsi < 30m && Position <= 0)
		{
			BuyMarket();
		}
		else if (rsi > 70m && Position >= 0)
		{
			SellMarket();
		}
	}
}