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Estrategia Stochastic RSI Cross

Estrategia basada en el cruce del Stochastic RSI

Las pruebas indican un rendimiento anual promedio de aproximadamente 112%. Funciona mejor en el mercado forex.

Stochastic RSI Cross observa las líneas %K y %D del StochRSI. Los cruces alcistas cerca de niveles de sobreventa desencadenan compras, los cruces bajistas cerca de la sobrecompra desencadenan ventas, y los cruces opuestos salen.

Dado que el StochRSI oscila rápidamente, las señales pueden ser frecuentes. Muchos traders requieren que el cruce ocurra cerca de un extremo para filtrar el ruido.

Detalles

  • Criterios de entrada: Señales basadas en RSI, Stochastic.
  • Largo/Corto: Ambos direcciones.
  • Criterios de salida: Señal opuesta o stop.
  • Stops: Sí.
  • Valores predeterminados:
    • RsiPeriod = 14
    • StochPeriod = 14
    • KPeriod = 3
    • DPeriod = 3
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Tendencia
    • Dirección: Ambos
    • Indicadores: RSI, Stochastic
    • Stops: Sí
    • Complejidad: Básico
    • Marco temporal: Intradía (5m)
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// Strategy based on Stochastic Oscillator K/D crossover.
/// Buys when %K crosses above %D in oversold zone.
/// Sells when %K crosses below %D in overbought zone.
/// </summary>
public class StochasticRsiCrossStrategy : Strategy
{
	private readonly StrategyParam<int> _kPeriod;
	private readonly StrategyParam<int> _dPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevK;
	private decimal _prevD;
	private bool _hasPrevValues;
	private int _cooldown;

	/// <summary>
	/// K period.
	/// </summary>
	public int KPeriod
	{
		get => _kPeriod.Value;
		set => _kPeriod.Value = value;
	}

	/// <summary>
	/// D period.
	/// </summary>
	public int DPeriod
	{
		get => _dPeriod.Value;
		set => _dPeriod.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="StochasticRsiCrossStrategy"/>.
	/// </summary>
	public StochasticRsiCrossStrategy()
	{
		_kPeriod = Param(nameof(KPeriod), 14)
			.SetDisplay("K Period", "Period for %K line", "Indicators")
			.SetOptimize(10, 20, 2);

		_dPeriod = Param(nameof(DPeriod), 3)
			.SetDisplay("D Period", "Period for %D line", "Indicators")
			.SetOptimize(3, 5, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();
		_prevK = default;
		_prevD = default;
		_hasPrevValues = default;
		_cooldown = default;
	}

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

		var stoch = new StochasticOscillator
		{
			K = { Length = KPeriod },
			D = { Length = DPeriod }
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(stoch, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var stoch = (IStochasticOscillatorValue)stochValue;

		if (stoch.K is not decimal k || stoch.D is not decimal d)
			return;

		if (!_hasPrevValues)
		{
			_hasPrevValues = true;
			_prevK = k;
			_prevD = d;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevK = k;
			_prevD = d;
			return;
		}

		// %K crosses above %D in oversold zone (< 20) - buy
		if (_prevK <= _prevD && k > d && k < 20 && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			_cooldown = 5;
		}
		// %K crosses below %D in overbought zone (> 80) - sell
		else if (_prevK >= _prevD && k < d && k > 80 && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			_cooldown = 5;
		}

		_prevK = k;
		_prevD = d;
	}
}