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Stochastic RSI Crossover Strategy

This method converts the classic Relative Strength Index into a Stochastic RSI, then smooths the result into %K and %D lines. When %K crosses %D inside carefully chosen zones, the move implies a short term shift in momentum. The algorithm trades only when a three layer EMA structure confirms the direction of the broader trend, helping to filter whipsaws.

Once a crossover appears, the close price must also sit above or below the fast EMA depending on the signal. This protects against acting on oscillations that occur against the prevailing trend and keeps attention on moments when momentum aligns with direction. Traders can adjust smoothing periods and RSI lengths to tune how sensitive the system reacts to volatility spikes.

Risk is referenced through an Average True Range reading. Multipliers of the current ATR propose stop‑loss and profit targets, providing a dynamic level that expands in volatile markets and contracts when activity calms. Although the script does not automatically send protective orders, these calculated levels aid manual management or can be tied into additional risk modules.

Details

  • Entry Criteria:
    • Long: %K crosses above %D, %K in [10,60], EMAs aligned bullishly, price above EMA1.
    • Short: %K crosses below %D, %K in [40,95], EMAs aligned bearishly, price below EMA1.
  • Long/Short: Both sides.
  • Exit Criteria: None built-in.
  • Stops: ATR multiples suggested but not automatically placed.
  • Default Values:
    • SmoothK = 3, SmoothD = 3.
    • RsiLength = 14, StochLength = 14.
    • Ema1Length = 20, Ema2Length = 50, Ema3Length = 100.
    • AtrLength = 14, AtrLossMultiplier = 1.5, AtrProfitMultiplier = 2.0.
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: Multiple
    • Stops: Optional
    • Complexity: Moderate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: Yes
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Stochastic RSI Crossover Strategy with EMA trend filter.
/// Uses RSI crossovers with triple EMA alignment for trend confirmation.
/// Buys when RSI crosses above oversold in bullish EMA alignment.
/// Sells when RSI crosses below overbought in bearish EMA alignment.
/// </summary>
public class StochRsiCrossoverStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _rsiOversold;
	private readonly StrategyParam<int> _rsiOverbought;
	private readonly StrategyParam<int> _ema1Length;
	private readonly StrategyParam<int> _ema2Length;
	private readonly StrategyParam<int> _ema3Length;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _ema1;
	private ExponentialMovingAverage _ema2;
	private ExponentialMovingAverage _ema3;

	private decimal _prevRsi;
	private int _cooldownRemaining;

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

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

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

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

	public int Ema1Length
	{
		get => _ema1Length.Value;
		set => _ema1Length.Value = value;
	}

	public int Ema2Length
	{
		get => _ema2Length.Value;
		set => _ema2Length.Value = value;
	}

	public int Ema3Length
	{
		get => _ema3Length.Value;
		set => _ema3Length.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public StochRsiCrossoverStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "RSI");

		_rsiOversold = Param(nameof(RsiOversold), 40)
			.SetDisplay("RSI Oversold", "RSI oversold level", "RSI");

		_rsiOverbought = Param(nameof(RsiOverbought), 60)
			.SetDisplay("RSI Overbought", "RSI overbought level", "RSI");

		_ema1Length = Param(nameof(Ema1Length), 8)
			.SetGreaterThanZero()
			.SetDisplay("EMA 1 Length", "Fast EMA length", "Moving Averages");

		_ema2Length = Param(nameof(Ema2Length), 14)
			.SetGreaterThanZero()
			.SetDisplay("EMA 2 Length", "Medium EMA length", "Moving Averages");

		_ema3Length = Param(nameof(Ema3Length), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA 3 Length", "Slow EMA length", "Moving Averages");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

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

		_rsi = null;
		_ema1 = null;
		_ema2 = null;
		_ema3 = null;
		_prevRsi = 0;
		_cooldownRemaining = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_ema1 = new ExponentialMovingAverage { Length = Ema1Length };
		_ema2 = new ExponentialMovingAverage { Length = Ema2Length };
		_ema3 = new ExponentialMovingAverage { Length = Ema3Length };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_rsi, _ema1, _ema2, _ema3, OnProcess)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ema1);
			DrawIndicator(area, _ema2);
			DrawIndicator(area, _ema3);
			DrawOwnTrades(area);
		}
	}

	private void OnProcess(ICandleMessage candle, decimal rsiVal, decimal ema1Val, decimal ema2Val, decimal ema3Val)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_rsi.IsFormed || !_ema1.IsFormed || !_ema2.IsFormed || !_ema3.IsFormed)
		{
			_prevRsi = rsiVal;
			return;
		}

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

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevRsi = rsiVal;
			return;
		}

		if (_prevRsi == 0)
		{
			_prevRsi = rsiVal;
			return;
		}

		// EMA alignment (relaxed - only fast vs slow)
		var bullishEma = ema1Val > ema3Val;
		var bearishEma = ema1Val < ema3Val;

		// RSI crossovers
		var rsiCrossUpOversold = rsiVal > RsiOversold && _prevRsi <= RsiOversold;
		var rsiCrossDownOverbought = rsiVal < RsiOverbought && _prevRsi >= RsiOverbought;

		// Buy: RSI crosses above oversold + bullish EMA
		if (rsiCrossUpOversold && bullishEma && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: RSI crosses below overbought + bearish EMA
		else if (rsiCrossDownOverbought && bearishEma && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: RSI overbought or EMA bearish cross
		else if (Position > 0 && (rsiVal > RsiOverbought || ema1Val < ema2Val))
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: RSI oversold or EMA bullish cross
		else if (Position < 0 && (rsiVal < RsiOversold || ema1Val > ema2Val))
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevRsi = rsiVal;
	}
}