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Exp QqeCloud-Strategie

Ein trendfolgendes Konzept, das den QQE-Indikator (Quantitative Qualitative Estimation) auf einen geglätteten RSI anwendet. Die Strategie eröffnet Positionen nur zu einer vordefinierten Sitzungsstartzeit und schließt sie, wenn das entgegengesetzte Signal auftritt oder die Handelssitzung endet.

Details

  • Einstiegskriterien:
    • Long: Zu StartHour:StartMinute dreht der QQE-Trend nach oben.
    • Short: Zu StartHour:StartMinute dreht der QQE-Trend nach unten.
  • Ausstiegskriterien:
    • Entgegengesetztes QQE-Trendsignal.
    • Zeit überschreitet StopHour:StopMinute.
  • Indikatoren:
    • RSI (Periode RsiPeriod, geglättet durch RsiSmoothing).
    • QQE-Bänder mit Multiplikator QqeFactor.
  • Stops: Standardmäßig keine.
  • Standardwerte:
    • CandleType = 1-Minuten-Kerzen
    • RsiPeriod = 14
    • RsiSmoothing = 5
    • QqeFactor = 4.236
    • StartHour = 0, StartMinute = 0
    • StopHour = 23, StopMinute = 59
  • Filter:
    • Zeitfenster für Einstiege und Ausstiege
    • Trendfolge, einzelner Zeitrahmen
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>
/// QQE Cloud strategy.
/// Uses RSI with EMA smoothing and volatility-based bands for trend detection.
/// Buys when smoothed RSI crosses above upper band, sells when it crosses below lower band.
/// </summary>
public class ExpQqeCloudStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _smoothPeriod;
	private readonly StrategyParam<decimal> _qqeFactor;

	private int _barCount;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int SmoothPeriod { get => _smoothPeriod.Value; set => _smoothPeriod.Value = value; }
	public decimal QqeFactor { get => _qqeFactor.Value; set => _qqeFactor.Value = value; }

	public ExpQqeCloudStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Length", "RSI period", "QQE");

		_smoothPeriod = Param(nameof(SmoothPeriod), 5)
			.SetDisplay("Smooth Period", "EMA smoothing period for RSI", "QQE");

		_qqeFactor = Param(nameof(QqeFactor), 4.236m)
			.SetDisplay("QQE Factor", "QQE volatility factor", "QQE");
	}

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

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

		_barCount = 0;
	}

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

		_barCount = 0;

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var ema = new ExponentialMovingAverage { Length = SmoothPeriod };

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

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

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

		_barCount++;

		// Use EMA of price as trend filter, RSI for signals
		// QQE-style: when RSI is strong (>60) and price above EMA -> buy
		// when RSI is weak (<40) and price below EMA -> sell

		if (_barCount < 3)
			return;

		var price = candle.ClosePrice;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (rsiValue > 65 && price > emaValue && Position <= 0)
			BuyMarket();
		else if (rsiValue < 35 && price < emaValue && Position >= 0)
			SellMarket();
	}
}