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Strategie Logistic RSI STOCH ROC AO

Die Strategie wendet eine logistische Abbildung auf einen ausgewählten Indikator (AO, ROC, RSI, Stochastic) an und handelt, wenn die vorzeichenbehaftete Standardabweichung die Null kreuzt.

Details

  • Einstiegskriterien: Vorzeichenbehaftete Standardabweichung kreuzt über null.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Vorzeichenbehaftete Standardabweichung kreuzt unter null.
  • Stops: Keine.
  • Standardwerte:
    • Indicator = LogisticDominance
    • Length = 13
    • LenLd = 5
    • LenRoc = 9
    • LenRsi = 14
    • LenSto = 14
    • CandleType = TimeSpan.FromMinutes(1)
  • Filter:
    • Kategorie: Oszillator
    • Richtung: Beide
    • Indikatoren: AwesomeOscillator, RateOfChange, RelativeStrengthIndex, StochasticOscillator, Highest
    • Stops: Nein
    • Komplexität: Mittel
    • Zeitrahmen: Intraday (1m)
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy using RSI and ROC with logistic-style normalization.
/// Trades on zero crossovers of a composite signal.
/// </summary>
public class LogisticRsiStochRocAoStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _rocLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;
	private RateOfChange _roc;
	private decimal? _prevSignal;
	private int _barsSinceSignal;

	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int RocLength { get => _rocLength.Value; set => _rocLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public LogisticRsiStochRocAoStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period", "General");
		_rocLength = Param(nameof(RocLength), 9)
			.SetDisplay("ROC Length", "ROC period", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
		_cooldownBars = Param(nameof(CooldownBars), 20)
			.SetDisplay("Cooldown Bars", "Min bars between signals", "General");
	}

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

		_rsi = null;
		_roc = null;
		_prevSignal = null;
		_barsSinceSignal = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevSignal = null;
		_barsSinceSignal = 0;
		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_roc = new RateOfChange { Length = RocLength };

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

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

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

		_barsSinceSignal++;

		if (!_rsi.IsFormed || !_roc.IsFormed)
			return;

		// Composite signal: normalized RSI (-0.5 to 0.5) + sign of ROC
		var rsiNorm = rsiVal / 100m - 0.5m;
		var rocSign = rocVal > 0 ? 0.5m : rocVal < 0 ? -0.5m : 0m;
		var signal = rsiNorm + rocSign;

		if (_prevSignal.HasValue && _barsSinceSignal >= CooldownBars)
		{
			var prev = _prevSignal.Value;
			var crossUp = prev <= 0m && signal > 0m;
			var crossDown = prev >= 0m && signal < 0m;

			if (crossUp && Position <= 0)
			{
				BuyMarket(Volume + Math.Abs(Position));
				_barsSinceSignal = 0;
			}
			else if (crossDown && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				_barsSinceSignal = 0;
			}
		}

		_prevSignal = signal;
	}
}