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Divergenz-Experte

Strategie, die RSI-Preisdivergенzen handelt. Erkennt eine bullische Divergenz, wenn der Preis ein niedrigeres Tief bildet, aber der RSI ein höheres Tief bildet, und eine bärische Divergenz, wenn der Preis ein höheres Hoch bildet, aber der RSI ein niedrigeres Hoch bildet. Eröffnet entsprechend Long- oder Short-Positionen und verwendet einen prozentualen Stop-Loss.

Details

  • Einstiegskriterien:
    • Long: Preis bildet ein neues Tief und RSI bildet ein höheres Tief (bullische Divergenz)
    • Short: Preis bildet ein neues Hoch und RSI bildet ein niedrigeres Hoch (bärische Divergenz)
  • Long/Short: Beide
  • Ausstiegskriterien:
    • Long: Preis erreicht Stop-Loss oder bärische Divergenz erscheint
    • Short: Preis erreicht Stop-Loss oder bullische Divergenz erscheint
  • Stops: Prozent vom Einstiegspreis
  • Standardwerte:
    • RsiPeriod = 14
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filter:
    • Kategorie: Divergenz
    • Richtung: Beide
    • Indikatoren: RSI
    • Stops: Ja
    • Komplexität: Grundlegend
    • Zeitrahmen: Mittelfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Ja
    • Risikolevel: Mittel
using System;
using System.Linq;
using System.Collections.Generic;
using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;



/// <summary>
/// Strategy trading RSI price divergences.
/// </summary>
public class DivergenceExpertStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<DateTimeOffset> _startDate;
	private readonly StrategyParam<DateTimeOffset> _endDate;

	private decimal _entryPrice;
	private decimal _stopPrice;
	private decimal _lastPriceHigh;
	private decimal _lastPriceLow;
	private decimal _lastRsiHigh;
	private decimal _lastRsiLow;

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	public DateTimeOffset StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	public DateTimeOffset EndDate
	{
		get => _endDate.Value;
		set => _endDate.Value = value;
	}

	public DivergenceExpertStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Period", "RSI calculation period", "Parameters")
			
			.SetOptimize(5, 30, 5);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop Loss (%)", "Max risk per trade in percent", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_startDate = Param(nameof(StartDate), new DateTimeOffset(new DateTime(2017, 1, 1), TimeSpan.Zero))
			.SetDisplay("Start Date", "Backtest start date", "General");

		_endDate = Param(nameof(EndDate), new DateTimeOffset(new DateTime(2024, 7, 1), TimeSpan.Zero))
			.SetDisplay("End Date", "Backtest end date", "General");
	}

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

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

		_entryPrice = default;
		_stopPrice = default;
		_lastPriceHigh = default;
		_lastPriceLow = default;
		_lastRsiHigh = default;
		_lastRsiLow = default;
	}

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

		var rsi = new RelativeStrengthIndex
		{
			Length = RsiPeriod
		};

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

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

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

		var time = candle.OpenTime;
		var inRange = time >= StartDate && time <= EndDate;

		if (!inRange)
		{
			if (Position != 0)
				if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();

			return;
		}


		var close = candle.ClosePrice;

		// Track new highs for bearish divergence detection
		if (candle.HighPrice > _lastPriceHigh)
		{
			if (_lastPriceHigh != 0m && rsi < _lastRsiHigh && Position >= 0)
			{
				if (Position > 0)
					if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();

				SellMarket();
				_entryPrice = close;
				_stopPrice = _entryPrice * (1m + StopLossPercent / 100m);
			}

			_lastPriceHigh = candle.HighPrice;
			_lastRsiHigh = rsi;
		}

		// Track new lows for bullish divergence detection
		if (_lastPriceLow == 0m || candle.LowPrice < _lastPriceLow)
		{
			if (_lastPriceLow != 0m && rsi > _lastRsiLow && Position <= 0)
			{
				if (Position < 0)
					if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();

				BuyMarket();
				_entryPrice = close;
				_stopPrice = _entryPrice * (1m - StopLossPercent / 100m);
			}

			_lastPriceLow = candle.LowPrice;
			_lastRsiLow = rsi;
		}

		if (Position > 0 && candle.LowPrice <= _stopPrice)
			if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();
		else if (Position < 0 && candle.HighPrice >= _stopPrice)
			if (Position > 0) SellMarket(); else if (Position < 0) BuyMarket();
	}
}