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Futures-RSI-Strategie für Handelszeiten

Diese Strategie handelt ausschließlich während der US-Futures-Sitzungszeiten (08:30–15:00 Uhr CT). Sie verwendet den Relative Strength Index (RSI), um long einzusteigen, wenn der Oszillator den überverkauften Level nach oben kreuzt, und short, wenn er den überkauften Level nach unten kreuzt. Um 15:00 Uhr CT oder danach werden alle offenen Positionen geschlossen.

Details

  • Einstiegskriterien:
    • Long: RSI kreuzt den überverkauften Level während der Sitzung nach oben
    • Short: RSI kreuzt den überkauften Level während der Sitzung nach unten
  • Long/Short: Beide Seiten
  • Ausstiegskriterien:
    • Alle Positionen werden am Sitzungsende geschlossen (15:00 Uhr CT)
  • Stops: Keine
  • Standardwerte:
    • RsiLength = 14
    • OverSoldLevel = 30
    • OverBoughtLevel = 70
    • SessionStart = 08:30
    • SessionEnd = 15:00
  • Filter:
    • Kategorie: Oszillator
    • Richtung: Beide
    • Indikatoren: RSI
    • Stops: Nein
    • Komplexität: Niedrig
    • 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>
/// Futures Trading Hours RSI strategy.
/// Trades only between SessionStart and SessionEnd in US Central Time. Inside the session an RSI crossing above OverSoldLevel goes
/// long and an RSI crossing below OverBoughtLevel goes short, reversing an opposite position. Any position still open at or after
/// SessionEnd is closed.
/// </summary>
public class FuturesTradingHoursRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _overSoldLevel;
	private readonly StrategyParam<decimal> _overBoughtLevel;
	private readonly StrategyParam<TimeSpan> _sessionStart;
	private readonly StrategyParam<TimeSpan> _sessionEnd;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevRsi;

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

	/// <summary>
	/// RSI oversold level.
	/// </summary>
	public decimal OverSoldLevel
	{
		get => _overSoldLevel.Value;
		set => _overSoldLevel.Value = value;
	}

	/// <summary>
	/// RSI overbought level.
	/// </summary>
	public decimal OverBoughtLevel
	{
		get => _overBoughtLevel.Value;
		set => _overBoughtLevel.Value = value;
	}

	/// <summary>
	/// Session start in US Central Time.
	/// </summary>
	public TimeSpan SessionStart
	{
		get => _sessionStart.Value;
		set => _sessionStart.Value = value;
	}

	/// <summary>
	/// Session end in US Central Time.
	/// </summary>
	public TimeSpan SessionEnd
	{
		get => _sessionEnd.Value;
		set => _sessionEnd.Value = value;
	}

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

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

		_overSoldLevel = Param(nameof(OverSoldLevel), 30m)
			.SetDisplay("Oversold", "RSI oversold level", "Indicators");

		_overBoughtLevel = Param(nameof(OverBoughtLevel), 70m)
			.SetDisplay("Overbought", "RSI overbought level", "Indicators");

		_sessionStart = Param(nameof(SessionStart), new TimeSpan(8, 30, 0))
			.SetDisplay("Session Start", "Session start in US Central Time", "Session");

		_sessionEnd = Param(nameof(SessionEnd), new TimeSpan(15, 0, 0))
			.SetDisplay("Session End", "Session end in US Central Time", "Session");

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

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

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

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

		_prevRsi = null;

		var rsi = new RelativeStrengthIndex { Length = RsiLength };

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

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
				DrawIndicator(oscillators, rsi);
		}
	}

	private static TimeZoneInfo GetCentralTimeZone()
	{
		try
		{
			return TimeZoneInfo.FindSystemTimeZoneById("America/Chicago");
		}
		catch (TimeZoneNotFoundException)
		{
			return TimeZoneInfo.FindSystemTimeZoneById("Central Standard Time");
		}
	}

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

		var prevRsi = _prevRsi;
		_prevRsi = rsi;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var utc = DateTime.SpecifyKind(candle.OpenTime, DateTimeKind.Utc);
		var timeOfDay = TimeZoneInfo.ConvertTimeFromUtc(utc, GetCentralTimeZone()).TimeOfDay;

		if (timeOfDay >= SessionEnd || timeOfDay < SessionStart)
		{
			if (timeOfDay >= SessionEnd)
			{
				if (Position > 0)
					SellMarket(Position);
				else if (Position < 0)
					BuyMarket(-Position);
			}

			return;
		}

		if (prevRsi is not decimal lastRsi)
			return;

		if (lastRsi <= OverSoldLevel && rsi > OverSoldLevel && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (lastRsi >= OverBoughtLevel && rsi < OverBoughtLevel && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}