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Scalping EA Strategy

A simple scalping system that constantly maintains two pending orders: a buy stop above the market and a sell stop below. When the market price moves too close to an order or too far away, the order is replaced to keep a fixed distance from current price. Filled orders use fixed take-profit and stop-loss offsets.

The strategy does not rely on indicators and reacts only to tick price changes.

Details

  • Entry Criteria:
    • Place buy stop 100 points above price and sell stop 100 points below.
    • Orders are replaced if the gap to price becomes too small or too wide.
  • Long/Short: Both.
  • Exit Criteria:
    • Each order carries fixed take profit and stop loss.
  • Stops: Yes, fixed distance.
  • Filters: None.
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Scalping strategy using RSI overbought/oversold with EMA trend filter.
/// Buys on RSI oversold in uptrend, sells on RSI overbought in downtrend.
/// </summary>
public class ScalpingEAStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int EmaPeriod { get => _emaPeriod.Value; set => _emaPeriod.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ScalpingEAStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 7)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "EMA trend filter period", "Indicators");
		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for stops", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_entryPrice = 0;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new StandardDeviation { Length = AtrPeriod };

		SubscribeCandles(CandleType)
			.Bind(rsi, ema, atr, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsi, decimal ema, decimal atr)
	{
		if (candle.State != CandleStates.Finished) return;
		if (atr <= 0) return;

		var close = candle.ClosePrice;

		// Buy: RSI oversold
		if (rsi < 35 && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
			_entryPrice = close;
		}
		// Sell: RSI overbought
		else if (rsi > 65 && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
			_entryPrice = close;
		}
		// Exit long: price crosses below EMA or stop loss
		else if (Position > 0)
		{
			if (close < ema || (_entryPrice > 0 && close <= _entryPrice - atr * 2))
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		// Exit short: price crosses above EMA or stop loss
		else if (Position < 0)
		{
			if (close > ema || (_entryPrice > 0 && close >= _entryPrice + atr * 2))
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}
	}
}