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BabyShark VWAP-Strategie

Diese Strategie kombiniert ein volumengewichtetes Durchschnittspreis-Band (VWAP) mit einem OBV-basierten RSI-Filter. Long-Trades entstehen, wenn der Preis unter das untere Abweichungsband fällt und der RSI überverkauft signalisiert. Short-Trades werden ausgelöst, wenn der Preis über das obere Band steigt und der RSI überkauft ist.

Stops verwenden einen kleinen prozentualen Verlust, und Positionen warten eine Abkühlungsperiode vor dem Wiedereinstieg ab.

Details

  • Einstiegskriterien: Preis kreuzt Abweichungsbänder mit RSI-Bestätigung.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Rückkehr zum VWAP oder Stop-Loss.
  • Stops: Ja.
  • Standardwerte:
    • Length = 60
    • RsiLength = 5
    • HigherLevel = 70
    • LowerLevel = 30
    • Cooldown = 10
    • StopLossPercent = 0.6m
    • CandleType = TimeSpan.FromMinutes(1)
  • Filter:
    • Kategorie: Mean Reversion
    • Richtung: Beide
    • Indikatoren: VWAP, RSI, OBV
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Intraday
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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>
/// BabyShark VWAP strategy.
/// Uses RSI crossover with EMA trend filter and cooldown.
/// Buys when RSI exits oversold in uptrend, sells when RSI exits overbought in downtrend.
/// </summary>
public class BabySharkVwapStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRsi;
	private int _barIndex;
	private int _lastTradeBar;

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

	/// <summary>
	/// EMA trend filter period.
	/// </summary>
	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BabySharkVwapStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 300)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_barIndex = 0;
		_lastTradeBar = 0;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, ema, ProcessCandle)
			.Start();

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

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

		_barIndex++;

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		// RSI crosses above 45 from below with uptrend
		var longSignal = _prevRsi > 0 && _prevRsi < 45 && rsiValue >= 45 && candle.ClosePrice > emaValue;
		// RSI crosses below 55 from above with downtrend
		var shortSignal = _prevRsi > 0 && _prevRsi > 55 && rsiValue <= 55 && candle.ClosePrice < emaValue;

		if (longSignal && Position <= 0 && cooldownOk)
		{
			BuyMarket();
			_lastTradeBar = _barIndex;
		}
		else if (shortSignal && Position >= 0 && cooldownOk)
		{
			SellMarket();
			_lastTradeBar = _barIndex;
		}

		_prevRsi = rsiValue;
	}
}