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Improvisando Strategy

Improvisando mixes a basic EMA trend filter with RSI swings. The goal is to follow the prevailing direction indicated by the EMA while entering only when the RSI crosses the neutral 50 line. The original design also experimented with MACD style momentum but this simplified version focuses on clarity and ease of tuning.

The user can enable long and/or short trades separately.

Details

  • Entry Criteria:
    • Long: Close > EMA and RSI > 50
    • Short: Close < EMA and RSI < 50
  • Long/Short: Configurable
  • Exit Criteria:
    • Opposite signal
  • Stops: None
  • Default Values:
    • EmaLength = 10
    • RsiLength = 14
  • Filters:
    • Category: Trend following
    • Direction: Configurable
    • Indicators: EMA, RSI
    • Stops: No
    • Complexity: Low
    • Timeframe: Short-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Improvisando Strategy.
/// Uses EMA trend + RSI filter + candle pattern (engulfing) for entries.
/// Exits via take profit or EMA crossback.
/// </summary>
public class ImprovisandoStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ema;
	private RelativeStrengthIndex _rsi;

	private decimal _prevClose;
	private decimal _prevOpen;
	private int _cooldownRemaining;
	private decimal? _entryPrice;

	public ImprovisandoStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period", "Moving Averages");

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

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.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();

		_ema = null;
		_rsi = null;
		_prevClose = 0;
		_prevOpen = 0;
		_cooldownRemaining = 0;
		_entryPrice = null;
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaLength };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ema, _rsi, OnProcess)
			.Start();

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

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

		if (!_ema.IsFormed || !_rsi.IsFormed)
		{
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			return;
		}

		var close = candle.ClosePrice;
		var open = candle.OpenPrice;

		// Engulfing patterns
		var prevBearish = _prevClose < _prevOpen && _prevClose > 0;
		var prevBullish = _prevClose > _prevOpen && _prevClose > 0;

		// Bullish engulfing: previous red, current green, close above prev open
		var buyPattern = prevBearish && close > open && close > _prevOpen;
		// Bearish engulfing: previous green, current red, close below prev open
		var sellPattern = prevBullish && close < open && close < _prevOpen;

		// Exit long: price crosses below EMA or take profit
		if (Position > 0)
		{
			var tp = _entryPrice.HasValue && close > _entryPrice.Value * 1.02m;
			if (close < ema || tp)
			{
				SellMarket(Math.Abs(Position));
				_entryPrice = null;
				_cooldownRemaining = CooldownBars;
				_prevClose = close;
				_prevOpen = open;
				return;
			}
		}
		// Exit short: price crosses above EMA or take profit
		else if (Position < 0)
		{
			var tp = _entryPrice.HasValue && close < _entryPrice.Value * 0.98m;
			if (close > ema || tp)
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = null;
				_cooldownRemaining = CooldownBars;
				_prevClose = close;
				_prevOpen = open;
				return;
			}
		}

		// Buy: engulfing + above EMA + RSI not overbought
		if (buyPattern && close > ema && rsi < 65 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_entryPrice = close;
			_cooldownRemaining = CooldownBars;
		}
		// Sell: engulfing + below EMA + RSI not oversold
		else if (sellPattern && close < ema && rsi > 35 && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_entryPrice = close;
			_cooldownRemaining = CooldownBars;
		}

		_prevClose = close;
		_prevOpen = open;
	}
}