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AMS ES RSI Strategy

Summary

The AMS ES RSI strategy replicates the behaviour of the MetaTrader expert Expert_AMS_ES_RSI inside StockSharp. It combines morning/evening star candlestick formations with a Relative Strength Index (RSI) confirmation filter. Long trades are opened when a bullish morning star appears while RSI indicates oversold conditions. Short trades are taken when a bearish evening star forms in conjunction with an overbought RSI. Positions are closed when RSI crosses back through configurable threshold levels.

Market Assumptions

  • Works on any instrument that produces regular OHLC candles. Spot FX and index futures were the original targets of the MQL expert.
  • The strategy expects smooth price action where Japanese candlestick patterns are meaningful. Extremely noisy tick charts may not produce reliable signals.

Entry Logic

  1. Subscribe to the configured timeframe (default: 1 hour) and wait for three fully closed candles.
  2. Compute the average body size across the last BodyAveragePeriod candles (default: 3).
  3. Detect a Morning Star when:
    • Candle 3 is strongly bearish (Open - Close larger than the averaged body size).
    • Candle 2 has a small real body (less than half of the average) and gaps below candle 3.
    • Candle 1 closes above the midpoint of candle 3.
  4. Detect an Evening Star with the symmetric bearish conditions.
  5. Confirm long entries when the current RSI value is below LongEntryRsi (default: 40). Confirm short entries when RSI is above ShortEntryRsi (default: 60).
  6. Execute market orders using the strategy Volume.

Exit Logic

  • Close long positions when RSI crosses downward through UpperExitRsi (default: 70) or LowerExitRsi (default: 30).
  • Close short positions when RSI crosses upward through the same levels.
  • No hard stop-loss or take-profit is applied. Risk management must be handled externally or by adjusting the thresholds.

Parameters

Name Description Default Range
CandleType Data type representing the candle series to subscribe. 1-hour time frame Any supported candle type
RsiPeriod RSI calculation length. 47 Optimisable (10–70)
BodyAveragePeriod Number of candles used to calculate the average body size required for pattern validation. 3 Optimisable (2–6)
LongEntryRsi Maximum RSI value that allows long entries. 40 Optimisable (20–50)
ShortEntryRsi Minimum RSI value that allows short entries. 60 Optimisable (50–80)
LowerExitRsi Lower boundary that triggers exits when crossed upward. 30 Optimisable (20–40)
UpperExitRsi Upper boundary that triggers exits when crossed downward. 70 Optimisable (60–80)

Implementation Notes

  • Uses the StockSharp high-level API with automatic candle subscriptions.
  • Relies solely on indicator values provided by Bind, avoiding manual GetValue calls in accordance with the project guidelines.
  • Maintains only a minimal in-memory history (three recent candles) for pattern validation.
  • The strategy automatically calls StartProtection() on launch to enable built-in safety mechanisms.

Usage Tips

  1. Attach the strategy to an instrument/portfolio pair and ensure that the candle series is available from your connector.
  2. Tune RSI levels according to the asset volatility. Wider thresholds reduce the number of trades but increase confirmation quality.
  3. Combine with external position sizing modules (e.g., risk-based volume) to emulate the fixed lot behaviour of the original EA.
  4. When backtesting, ensure the candle data contains gaps so that the star patterns can be correctly identified.
namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Morning/Evening Star + RSI strategy.
/// Buys on morning star with low RSI, sells on evening star with high RSI.
/// </summary>
public class AmsEsRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiLow;
	private readonly StrategyParam<decimal> _rsiHigh;

	private ICandleMessage _prevCandle;
	private ICandleMessage _prevPrevCandle;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public decimal RsiLow { get => _rsiLow.Value; set => _rsiLow.Value = value; }
	public decimal RsiHigh { get => _rsiHigh.Value; set => _rsiHigh.Value = value; }

	public AmsEsRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
		_rsiLow = Param(nameof(RsiLow), 40m)
			.SetDisplay("RSI Low", "RSI oversold threshold", "Signals");
		_rsiHigh = Param(nameof(RsiHigh), 60m)
			.SetDisplay("RSI High", "RSI overbought threshold", "Signals");
	}

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

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevCandle = null;
		_prevPrevCandle = null;
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
	}

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

		if (_prevCandle != null && _prevPrevCandle != null)
		{
			var prevBody = Math.Abs(_prevCandle.ClosePrice - _prevCandle.OpenPrice);
			var prevRange = _prevCandle.HighPrice - _prevCandle.LowPrice;
			var isSmallBody = prevRange > 0 && prevBody < prevRange * 0.3m;

			var firstBearish = _prevPrevCandle.OpenPrice > _prevPrevCandle.ClosePrice;
			var currBullish = candle.ClosePrice > candle.OpenPrice;
			var isMorningStar = firstBearish && isSmallBody && currBullish;

			var firstBullish = _prevPrevCandle.ClosePrice > _prevPrevCandle.OpenPrice;
			var currBearish = candle.OpenPrice > candle.ClosePrice;
			var isEveningStar = firstBullish && isSmallBody && currBearish;

			if (isMorningStar && rsiValue < RsiLow && Position <= 0)
				BuyMarket();
			else if (isEveningStar && rsiValue > RsiHigh && Position >= 0)
				SellMarket();
		}

		_prevPrevCandle = _prevCandle;
		_prevCandle = candle;
	}
}