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RSI EA v2 Strategy

This strategy is a StockSharp port of the MetaTrader 5 expert advisor "RSI EA v2". It automates trading around Relative Strength Index (RSI) threshold crossings while mirroring the original advisor's money-management, trailing-stop, and trading window controls. By default the strategy processes one-minute candles, but any candle type can be supplied through parameters.

Trading Logic

  • Entry conditions
    • Long positions open when RSI rises above the configured Buy level after being below it on the previous finished candle, and trading hours allow new orders.
    • Short positions open when RSI falls below the configured Sell level after being above it previously, and the trading window is open.
    • When an opposite position already exists, the strategy sizes the new market order to both flatten the current exposure and establish the requested direction (net positions only).
  • Exit conditions
    • Protective stop-loss and take-profit levels expressed in pips are attached as soon as a new position is detected.
    • A trailing stop mimics the original EA: it activates after price advances by Trailing stop + Trailing step and then moves by at least the trailing step.
    • Optional “close by signal” logic exits long positions when RSI crosses down through the sell level, and exits short positions when RSI crosses up through the buy level.
    • Stops and signals are evaluated on finished candles only, keeping behaviour deterministic in backtests.

Risk and Trade Management

  • Stop-loss / Take-profit – defined in pips, converted to price increments that respect the instrument’s precision (including 3/5 decimal forex symbols).
  • Trailing stop – disabled when distance is zero. A positive trailing step is required whenever the trailing distance is non-zero.
  • Position sizing – either a fixed volume or an automatic volume computed from risk percentage and stop distance. Risk sizing requires access to portfolio equity and valid price-step metadata.
  • Trading window – optional daily filter defined by inclusive start and exclusive end hours (0–23). When start equals end the market is considered closed.

Parameters

Name Description
OpenBuy / OpenSell Toggle long or short entries independently.
CloseBySignal Enables exits on opposite RSI crosses.
StopLossPips Stop-loss distance in pips (0 disables the stop).
TakeProfitPips Take-profit distance in pips (0 disables the target).
TrailingStopPips Trailing stop distance in pips. Must be zero if no trailing is desired.
TrailingStepPips Additional progress (in pips) required before moving the trailing stop. Must be positive when trailing is active.
RsiPeriod RSI indicator length.
RsiBuyLevel / RsiSellLevel Thresholds for long and short entries/exits.
UseRiskSizing Switch between fixed volume and risk-percentage sizing.
FixedVolume Base order size for fixed-volume mode or fallback when risk sizing cannot be computed.
RiskPercent Percentage of portfolio equity risked per trade. Used only when UseRiskSizing is true and a positive stop distance exists.
UseTimeControl Enables the daily trading window filter.
StartHour / EndHour Inclusive start and exclusive end hour (0–23) of the trading window.
CandleType Candle data type driving indicator calculations.

Implementation Notes

  • Uses the high-level candle subscription API with RSI indicator binding.
  • Converts pip distances using instrument precision (PriceStep and Decimals) to match MetaTrader’s 3/5 digit logic.
  • Normalises order volumes to the instrument’s volume step and bounds (min/max volume).
  • Trailing logic updates internal stop references only; exits are performed with market orders when levels are breached.
  • Maintains separate state for long and short positions to preserve trailing and protective levels between candles.

Usage

  1. Attach the strategy to a StockSharp connector with appropriate security and portfolio metadata.
  2. Configure thresholds, pip distances, and optional time window to match the desired market.
  3. Enable risk-based sizing if portfolio information is available; otherwise leave it disabled to use a fixed lot.
  4. Start the strategy – it will wait for finished candles, apply the RSI logic, and manage active positions according to the configured protections.
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>
/// RSI EA v2 strategy using EMA crossover.
/// Buys when fast EMA crosses above slow EMA, sells on reverse.
/// </summary>
public class RsiEaV2Strategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public RsiEaV2Strategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}