Multi-Timeframe Strategy

Overview

MultiTimeframeStrategy is a strategy that uses two timeframes for making trading decisions. Hourly candles determine the trend direction via moving average crossovers, while 5-minute candles with the RelativeStrengthIndex indicator are used for precise entry in the trend direction.

Main Components

The strategy inherits from Strategy and uses parameters for configuration:

public class MultiTimeframeStrategy : Strategy
{
	private readonly StrategyParam<int> _fastSmaLength;
	private readonly StrategyParam<int> _slowSmaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;

	// Trend direction on the higher timeframe
	private Sides? _hourlyTrend;
}

Strategy Parameters

The strategy allows customizing the following parameters:

• FastSmaLength - fast moving average period for the hourly chart (default 10)
• SlowSmaLength - slow moving average period for the hourly chart (default 30)
• RsiLength - RSI period for the 5-minute chart (default 14)
• TakeProfit - take-profit size in percent (default 2)
• StopLoss - stop-loss size in percent (default 1)

All parameters are available for optimization with specified value ranges.

Strategy Initialization

In the OnStarted2 method, indicators are created and candle subscriptions are set up for two timeframes:

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

	var fastSma = new SimpleMovingAverage { Length = FastSmaLength };
	var slowSma = new SimpleMovingAverage { Length = SlowSmaLength };
	var rsi = new RelativeStrengthIndex { Length = RsiLength };

	_hourlyTrend = null;

	// Hourly candles for trend detection (SMA crossover)
	SubscribeCandles(TimeSpan.FromHours(1))
		.Bind(fastSma, slowSma, ProcessHourlyCandle)
		.Start();

	// 5-minute candles for precise entry (RSI)
	SubscribeCandles(TimeSpan.FromMinutes(5))
		.Bind(rsi, ProcessEntryCandle)
		.Start();

	// Set up position protection (take-profit and stop-loss)
	StartProtection(
		new Unit(TakeProfit, UnitTypes.Percent),
		new Unit(StopLoss, UnitTypes.Percent)
	);

	// Set up visualization on the chart
	var area = CreateChartArea();
	if (area != null)
	{
		DrawIndicator(area, fastSma, System.Drawing.Color.Blue);
		DrawIndicator(area, slowSma, System.Drawing.Color.Red);
		DrawOwnTrades(area);
	}
}

Processing Hourly Candles

The ProcessHourlyCandle method determines the trend direction on the higher timeframe:

private void ProcessHourlyCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
{
	if (candle.State != CandleStates.Finished)
		return;

	// Determine trend by moving average crossover
	_hourlyTrend = fastValue > slowValue ? Sides.Buy : Sides.Sell;
}

Processing 5-Minute Candles

The ProcessEntryCandle method implements position entry based on the RSI signal in the trend direction:

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

	if (_hourlyTrend == null || !IsFormedAndOnlineAndAllowTrading())
		return;

	// Buy: uptrend and RSI in oversold zone
	if (_hourlyTrend == Sides.Buy && rsiValue < 30 && Position <= 0)
	{
		BuyMarket(Volume + Math.Abs(Position));
	}
	// Sell: downtrend and RSI in overbought zone
	else if (_hourlyTrend == Sides.Sell && rsiValue > 70 && Position >= 0)
	{
		SellMarket(Volume + Math.Abs(Position));
	}
}

Trading Logic

• Trend detection: fast SMA above slow SMA on the hourly chart indicates an uptrend, below indicates a downtrend
• Buy signal: uptrend on the hourly chart and RSI < 30 on the 5-minute chart when there is no long position
• Sell signal: downtrend on the hourly chart and RSI > 70 on the 5-minute chart when there is no short position
• Position protection: automatic take-profit and stop-loss via StartProtection

Features

• The strategy uses two timeframes: hourly for trend and 5-minute for entry
• Position entry is only performed in the direction of the higher timeframe trend
• RSI is used as a filter to find optimal entry points (oversold/overbought)
• Positions are automatically protected with stop-loss and take-profit
• The strategy only works with completed candles
• Indicators and trades are visualized on the chart when a graphic area is available
• Parameter optimization is supported to find optimal strategy settings