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Lorenzo SuperScalp Strategy

This scalping strategy combines RSI, Bollinger Bands and MACD. It buys when RSI is below 45, price is near the lower band and MACD crosses up. It sells when RSI is above 55, price is near the upper band and MACD crosses down. A minimum number of bars between trades prevents rapid re-entry.

Details

  • Entry Criteria:
    • Long: RSI < 45 && Close < LowerBand * 1.02 && MACD crosses above signal.
    • Short: RSI > 55 && Close > UpperBand * 0.98 && MACD crosses below signal.
  • Long/Short: Both.
  • Exit Criteria: Opposite signal.
  • Stops: None.
  • Default Values:
    • RSI Length = 14
    • Bollinger Length = 20
    • Bollinger Multiplier = 2
    • MACD Fast = 12
    • MACD Slow = 26
    • MACD Signal = 9
    • Min Bars = 15
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Multiple
    • Stops: No
    • Complexity: Medium
    • Timeframe: Short-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class LorenzoSuperScalpStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<DataType> _candleType;

	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int BbLength { get => _bbLength.Value; set => _bbLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public LorenzoSuperScalpStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14).SetGreaterThanZero();
		_bbLength = Param(nameof(BbLength), 20).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var bb = new BollingerBands { Length = BbLength, Width = 2m };

		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(rsi, bb, (candle, rsiVal, bbVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!rsiVal.IsFormed || !bbVal.IsFormed)
					return;

				var r = rsiVal.ToDecimal();

				var bbTyped = (BollingerBandsValue)bbVal;
				if (bbTyped.UpBand is not decimal upper || bbTyped.LowBand is not decimal lower)
					return;

				if (candle.OpenTime - lastSignal < cooldown)
					return;

				if (r < 45m && candle.ClosePrice <= lower && Position <= 0)
				{
					BuyMarket();
					lastSignal = candle.OpenTime;
				}
				else if (r > 55m && candle.ClosePrice >= upper && Position >= 0)
				{
					SellMarket();
					lastSignal = candle.OpenTime;
				}
			})
			.Start();

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