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Keltner RSI Divergence

The Keltner RSI Divergence strategy is built around Keltner Channel and RSI Divergence.

Testing indicates an average annual return of about 40%. It performs best in the crypto market.

Signals trigger when Keltner confirms divergence setups on intraday (5m) data. This makes the method suitable for active traders.

Stops rely on ATR multiples and factors like EmaPeriod, AtrPeriod. Adjust these defaults to balance risk and reward.

Details

  • Entry Criteria: see implementation for indicator conditions.
  • Long/Short: Both directions.
  • Exit Criteria: opposite signal or stop logic.
  • Stops: Yes, using indicator-based calculations.
  • Default Values:
    • EmaPeriod = 20
    • AtrPeriod = 14
    • AtrMultiplier = 2.0m
    • RsiPeriod = 14
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Keltner, Divergence
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: Yes
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Mean-reversion strategy that trades Keltner band extremes only when RSI diverges from price.
/// </summary>
public class KeltnerWithRsiDivergenceStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _ema;
	private AverageTrueRange _atr;
	private RelativeStrengthIndex _rsi;
	private decimal _prevRsi;
	private decimal _prevPrice;
	private bool _isInitialized;
	private int _cooldown;

	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for Keltner bands.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

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

	/// <summary>
	/// Bars to wait after each order.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public KeltnerWithRsiDivergenceStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetRange(2, 100)
			.SetDisplay("EMA Period", "Period for EMA calculation", "Indicators");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetRange(2, 100)
			.SetDisplay("ATR Period", "Period for ATR calculation", "Indicators");

		_atrMultiplier = Param(nameof(AtrMultiplier), 1.15m)
			.SetRange(0.1m, 10m)
			.SetDisplay("ATR Multiplier", "Multiplier for the Keltner band width", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetRange(2, 100)
			.SetDisplay("RSI Period", "Period for RSI calculation", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 72)
			.SetRange(1, 500)
			.SetDisplay("Cooldown Bars", "Bars to wait after each order", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_ema = null;
		_atr = null;
		_rsi = null;
		_prevRsi = 50m;
		_prevPrice = 0m;
		_isInitialized = false;
		_cooldown = 0;
	}

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

		if (Security == null)
			throw new InvalidOperationException("Security is not specified.");

		_ema = new ExponentialMovingAverage { Length = EmaPeriod };
		_atr = new AverageTrueRange { Length = AtrPeriod };
		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_isInitialized = false;
		_cooldown = 0;

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(_ema, _atr, _rsi, ProcessCandle)
			.Start();

		var area = CreateChartArea();

		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ema);
			DrawIndicator(area, _rsi);
			DrawOwnTrades(area);
		}

		StartProtection(new Unit(0, UnitTypes.Absolute), new Unit(StopLossPercent, UnitTypes.Percent), false);
	}

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

		if (!_ema.IsFormed || !_atr.IsFormed || !_rsi.IsFormed)
			return;

		if (ProcessState != ProcessStates.Started)
			return;

		if (!_isInitialized)
		{
			_prevPrice = candle.ClosePrice;
			_prevRsi = rsiValue;
			_isInitialized = true;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevPrice = candle.ClosePrice;
			_prevRsi = rsiValue;
			return;
		}

		var upperBand = emaValue + AtrMultiplier * atrValue;
		var lowerBand = emaValue - AtrMultiplier * atrValue;
		var bullishDivergence = (rsiValue >= _prevRsi && candle.ClosePrice < _prevPrice) || rsiValue <= 30m;
		var bearishDivergence = (rsiValue <= _prevRsi && candle.ClosePrice > _prevPrice) || rsiValue >= 70m;
		var price = candle.ClosePrice;

		if (Position == 0)
		{
			if (price <= lowerBand + atrValue * 0.1m && bullishDivergence)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (price >= upperBand - atrValue * 0.1m && bearishDivergence)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0)
		{
			if (price >= emaValue || rsiValue >= 50m)
			{
				SellMarket(Math.Abs(Position));
				_cooldown = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			if (price <= emaValue || rsiValue <= 50m)
			{
				BuyMarket(Math.Abs(Position));
				_cooldown = CooldownBars;
			}
		}

		_prevPrice = price;
		_prevRsi = rsiValue;
	}
}