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Stochastic RSI Crossover-Strategie

Diese Methode wandelt den klassischen Relative Strength Index in einen Stochastic RSI um und glättet das Ergebnis dann in %K- und %D-Linien. Wenn %K %D innerhalb sorgfältig gewählter Zonen kreuzt, impliziert die Bewegung eine kurzfristige Verschiebung des Momentums. Der Algorithmus handelt nur, wenn eine dreischichtige EMA-Struktur die Richtung des übergeordneten Trends bestätigt, was Fehlsignale herausfiltert.

Sobald eine Kreuzung erscheint, muss der Schlusskurs je nach Signal auch über oder unter der schnellen EMA liegen. Dies schützt vor dem Handeln bei Oszillationen, die gegen den vorherrschenden Trend auftreten, und hält die Aufmerksamkeit auf Momenten, wenn Momentum mit der Richtung übereinstimmt. Trader können Glättungsperioden und RSI-Längen anpassen, um einzustellen, wie empfindlich das System auf Volatilitätsspitzen reagiert.

Das Risiko wird durch eine Average True Range-Lesart referenziert. Multiplikatoren des aktuellen ATR schlagen Stop‑Loss und Gewinnziele vor, die ein dynamisches Niveau liefern, das sich in volatilen Märkten ausdehnt und bei ruhiger Aktivität zusammenzieht. Obwohl das Skript keine Schutzaufträge automatisch sendet, helfen diese berechneten Niveaus beim manuellen Management oder können an zusätzliche Risikomodule angebunden werden.

Details

  • Einstiegskriterien:
    • Long: %K kreuzt über %D, %K in [10,60], EMAs bullisch ausgerichtet, Preis über EMA1.
    • Short: %K kreuzt unter %D, %K in [40,95], EMAs bärisch ausgerichtet, Preis unter EMA1.
  • Long/Short: Beide Seiten.
  • Ausstiegskriterien: Keine eingebaut.
  • Stops: ATR-Multiples vorgeschlagen, aber nicht automatisch platziert.
  • Standardwerte:
    • SmoothK = 3, SmoothD = 3.
    • RsiLength = 14, StochLength = 14.
    • Ema1Length = 20, Ema2Length = 50, Ema3Length = 100.
    • AtrLength = 14, AtrLossMultiplier = 1.5, AtrProfitMultiplier = 2.0.
  • Filter:
    • Kategorie: Momentum
    • Richtung: Beide
    • Indikatoren: Mehrere
    • Stops: Optional
    • Komplexität: Moderat
    • Zeitrahmen: Intraday
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Ja
    • 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>
/// Stoch RSI Crossover Strategy.
/// RSI is turned into a Stochastic RSI over StochLength bars and smoothed into %K (SmoothK) and %D (SmoothD).
/// A long opens when %K crosses above %D with %K in [10, 60], EMA1 > EMA2 > EMA3 and the close above EMA1.
/// A short opens when %K crosses below %D with %K in [40, 95], EMA1 &lt; EMA2 &lt; EMA3 and the close below EMA1.
/// There is no built-in exit: an opposite signal reverses the position. The ATR multipliers only describe suggested levels.
/// </summary>
public class StochRsiCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _smoothK;
	private readonly StrategyParam<int> _smoothD;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _stochLength;
	private readonly StrategyParam<int> _ema1Length;
	private readonly StrategyParam<int> _ema2Length;
	private readonly StrategyParam<int> _ema3Length;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrLossMultiplier;
	private readonly StrategyParam<decimal> _atrProfitMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private Highest _rsiHigh;
	private Lowest _rsiLow;
	private SimpleMovingAverage _kMa;
	private SimpleMovingAverage _dMa;

	private decimal? _prevK;
	private decimal? _prevD;

	/// <summary>
	/// %K smoothing.
	/// </summary>
	public int SmoothK
	{
		get => _smoothK.Value;
		set => _smoothK.Value = value;
	}

	/// <summary>
	/// %D smoothing.
	/// </summary>
	public int SmoothD
	{
		get => _smoothD.Value;
		set => _smoothD.Value = value;
	}

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// Stochastic period applied to RSI.
	/// </summary>
	public int StochLength
	{
		get => _stochLength.Value;
		set => _stochLength.Value = value;
	}

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int Ema1Length
	{
		get => _ema1Length.Value;
		set => _ema1Length.Value = value;
	}

	/// <summary>
	/// Medium EMA period.
	/// </summary>
	public int Ema2Length
	{
		get => _ema2Length.Value;
		set => _ema2Length.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int Ema3Length
	{
		get => _ema3Length.Value;
		set => _ema3Length.Value = value;
	}

	/// <summary>
	/// ATR period of the suggested levels.
	/// </summary>
	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <summary>
	/// ATR multiplier of the suggested stop loss.
	/// </summary>
	public decimal AtrLossMultiplier
	{
		get => _atrLossMultiplier.Value;
		set => _atrLossMultiplier.Value = value;
	}

	/// <summary>
	/// ATR multiplier of the suggested profit target.
	/// </summary>
	public decimal AtrProfitMultiplier
	{
		get => _atrProfitMultiplier.Value;
		set => _atrProfitMultiplier.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public StochRsiCrossoverStrategy()
	{
		_smoothK = Param(nameof(SmoothK), 3)
			.SetGreaterThanZero()
			.SetDisplay("Smooth K", "%K smoothing", "Stoch RSI");

		_smoothD = Param(nameof(SmoothD), 3)
			.SetGreaterThanZero()
			.SetDisplay("Smooth D", "%D smoothing", "Stoch RSI");

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

		_stochLength = Param(nameof(StochLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stoch Length", "Stochastic period applied to RSI", "Stoch RSI");

		_ema1Length = Param(nameof(Ema1Length), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA1 Length", "Fast EMA period", "Trend");

		_ema2Length = Param(nameof(Ema2Length), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA2 Length", "Medium EMA period", "Trend");

		_ema3Length = Param(nameof(Ema3Length), 100)
			.SetGreaterThanZero()
			.SetDisplay("EMA3 Length", "Slow EMA period", "Trend");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR period of the suggested levels", "Risk");

		_atrLossMultiplier = Param(nameof(AtrLossMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Loss Multiplier", "ATR multiplier of the suggested stop loss", "Risk");

		_atrProfitMultiplier = Param(nameof(AtrProfitMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Profit Multiplier", "ATR multiplier of the suggested profit target", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevK = null;
		_prevD = null;
	}

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

		_prevK = null;
		_prevD = null;

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema1 = new ExponentialMovingAverage { Length = Ema1Length };
		var ema2 = new ExponentialMovingAverage { Length = Ema2Length };
		var ema3 = new ExponentialMovingAverage { Length = Ema3Length };

		_rsiHigh = new Highest { Length = StochLength };
		_rsiLow = new Lowest { Length = StochLength };
		_kMa = new SimpleMovingAverage { Length = SmoothK };
		_dMa = new SimpleMovingAverage { Length = SmoothD };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(rsi, ema1, ema2, ema3, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema1);
			DrawIndicator(area, ema2);
			DrawIndicator(area, ema3);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue rsiValue, IIndicatorValue ema1Value, IIndicatorValue ema2Value, IIndicatorValue ema3Value)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!rsiValue.IsFormed)
			return;

		var rsi = rsiValue.GetValue<decimal>();
		var high = _rsiHigh.Process(rsi, candle.OpenTime, true).ToDecimal();
		var low = _rsiLow.Process(rsi, candle.OpenTime, true).ToDecimal();

		if (!_rsiHigh.IsFormed || !_rsiLow.IsFormed)
			return;

		var stoch = high - low > 0m ? 100m * (rsi - low) / (high - low) : 0m;
		var kValue = _kMa.Process(stoch, candle.OpenTime, true);
		if (!_kMa.IsFormed)
			return;

		var k = kValue.ToDecimal();
		var dValue = _dMa.Process(k, candle.OpenTime, true);
		if (!_dMa.IsFormed)
			return;

		var d = dValue.ToDecimal();

		var prevK = _prevK;
		var prevD = _prevD;
		_prevK = k;
		_prevD = d;

		if (prevK is not decimal pk || prevD is not decimal pd)
			return;

		if (!ema1Value.IsFormed || !ema2Value.IsFormed || !ema3Value.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var ema1 = ema1Value.GetValue<decimal>();
		var ema2 = ema2Value.GetValue<decimal>();
		var ema3 = ema3Value.GetValue<decimal>();
		var close = candle.ClosePrice;

		var crossUp = pk <= pd && k > d;
		var crossDown = pk >= pd && k < d;

		var longSignal = crossUp && k >= 10m && k <= 60m && ema1 > ema2 && ema2 > ema3 && close > ema1;
		var shortSignal = crossDown && k >= 40m && k <= 95m && ema1 < ema2 && ema2 < ema3 && close < ema1;

		if (longSignal && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (shortSignal && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}