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EMA/SMA + RSI Kreuzungs-Strategie

Diese Strategie verfolgt drei exponentielle gleitende Durchschnitte (schnell, mittel und langsam) zusammen mit einem RSI-Filter, um an entstehenden Trends teilzuhaben. Ein Trade wird ausgelöst, wenn der schnelle Durchschnitt den mittleren in Richtung des vorherrschenden langsamen Durchschnitts kreuzt, was darauf hindeutet, dass das Momentum zunimmt. Nur Kerzen, die in Richtung der Kreuzung schließen, werden berücksichtigt, um Whipsaws zu vermeiden.

Ein schützender Ausstieg kann Positionen optional nach einer benutzerdefinerten Anzahl von Bars schließen, wenn sie profitabel bleiben. Der RSI dient als Überkauft-/Überverkauft- Schutz, um auszusteigen, wenn das Momentum zu weit gedehnt wird.

Backtests zeigen, dass die Technik am besten an liquiden Krypto-Paaren während Trendphasen funktioniert, bei denen gleitende Durchschnitte eine klare Trennung bieten.

Details

  • Einstiegskriterien:
    • Long: EMA_fast > EMA_medium und EMA_fast(t-1) <= EMA_medium(t-1) und Close > EMA_slow und Close > Open
    • Short: EMA_fast < EMA_medium und EMA_fast(t-1) >= EMA_medium(t-1) und Close < EMA_slow und Close < Open
  • Long/Short: Beide Seiten.
  • Ausstiegskriterien:
    • Long: RSI > 70 oder X Bars im Gewinn und Close > entry
    • Short: RSI < 30 oder X Bars im Gewinn und Close < entry
  • Stops: Keine.
  • Standardwerte:
    • EMA_fast = 10
    • EMA_medium = 20
    • EMA_slow = 100
    • RSI_length = 14
    • X bars = 24
  • Filter:
    • Kategorie: Trendfolge
    • Richtung: Beide
    • Indikatoren: EMA, RSI
    • Stops: Optional zeitbasiert
    • Komplexität: Mittel
    • Zeitrahmen: Kurzfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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>
/// EMA/SMA + RSI Strategy.
/// Uses three EMAs for trend and crossover, with RSI for exit signals.
/// Buy on fast EMA crossing above medium EMA when both above slow EMA.
/// Sell on fast EMA crossing below medium EMA when both below slow EMA.
/// </summary>
public class EmaSmaRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _emaALength;
	private readonly StrategyParam<int> _emaBLength;
	private readonly StrategyParam<int> _emaCLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _emaA;
	private ExponentialMovingAverage _emaB;
	private ExponentialMovingAverage _emaC;
	private RelativeStrengthIndex _rsi;

	private decimal _prevEmaA;
	private decimal _prevEmaB;
	private int _cooldownRemaining;

	public EmaSmaRsiStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_emaALength = Param(nameof(EmaALength), 10)
			.SetGreaterThanZero()
			.SetDisplay("EMA A Length", "Fast EMA period", "Moving Averages");

		_emaBLength = Param(nameof(EmaBLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA B Length", "Medium EMA period", "Moving Averages");

		_emaCLength = Param(nameof(EmaCLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA C Length", "Slow EMA period", "Moving Averages");

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

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

	public int EmaALength
	{
		get => _emaALength.Value;
		set => _emaALength.Value = value;
	}

	public int EmaBLength
	{
		get => _emaBLength.Value;
		set => _emaBLength.Value = value;
	}

	public int EmaCLength
	{
		get => _emaCLength.Value;
		set => _emaCLength.Value = value;
	}

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

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

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

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

		_emaA = null;
		_emaB = null;
		_emaC = null;
		_rsi = null;
		_prevEmaA = 0;
		_prevEmaB = 0;
		_cooldownRemaining = 0;
	}

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

		_emaA = new ExponentialMovingAverage { Length = EmaALength };
		_emaB = new ExponentialMovingAverage { Length = EmaBLength };
		_emaC = new ExponentialMovingAverage { Length = EmaCLength };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_emaA, _emaB, _emaC, _rsi, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, decimal emaA, decimal emaB, decimal emaC, decimal rsi)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_emaA.IsFormed || !_emaB.IsFormed || !_emaC.IsFormed || !_rsi.IsFormed)
		{
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevEmaA = emaA;
			_prevEmaB = emaB;
			return;
		}

		// Crossover detection
		var bullishCross = emaA > emaB && _prevEmaA <= _prevEmaB && _prevEmaA > 0;
		var bearishCross = emaA < emaB && _prevEmaA >= _prevEmaB && _prevEmaA > 0;

		// Exit long on RSI overbought
		if (Position > 0 && rsi > 70)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short on RSI oversold
		else if (Position < 0 && rsi < 30)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Buy: fast crosses above medium, both above slow
		else if (bullishCross && emaA > emaC && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: fast crosses below medium, both below slow
		else if (bearishCross && emaA < emaC && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}

		_prevEmaA = emaA;
		_prevEmaB = emaB;
	}
}