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Estrategia VWAP RSI

VWAP RSI utiliza el precio promedio ponderado por volumen para medir el valor justo durante la sesión mientras el RSI muestra extremos de momentum. Las operaciones se realizan cuando el precio se aleja del VWAP y el RSI alcanza niveles de sobrecompra o sobreventa.

Las pruebas indican un rendimiento anual promedio de aproximadamente 157%. Funciona mejor en el mercado de criptomonedas.

La expectativa es que el precio revierta hacia el VWAP una vez que el momentum se enfría.

Un stop porcentual protege contra tendencias que continúan alejando el precio del VWAP.

Detalles

  • Criterios de entrada: señal de indicador
  • Largo/Corto: Ambos
  • Criterios de salida: stop-loss o señal opuesta
  • Stops: Sí, basado en porcentaje
  • Valores predeterminados:
    • CandleType = 15 minute
    • StopLoss = 2%
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Ambos
    • Indicadores: VWAP, RSI
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • 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 that uses VWAP as a reference point and RSI for oversold/overbought conditions.
/// Enters when price is below VWAP and RSI oversold (longs) or above VWAP and RSI overbought (shorts).
/// </summary>
public class VwapRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _vwapValue;
	private int _cooldown;

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

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

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

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

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Strategy constructor.
	/// </summary>
	public VwapRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetRange(7, 21)
			.SetDisplay("RSI Period", "Period of the RSI indicator", "Indicators");

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

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

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_vwapValue = 0;
		_cooldown = 0;
	}

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

		var vwap = new VolumeWeightedMovingAverage();
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);

		// Bind VWAP to capture value (candle-input indicator)
		subscription.BindEx(vwap, OnVwap);

		// Bind RSI for main logic
		subscription
			.Bind(rsi, ProcessCandle)
			.Start();

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

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

	private void OnVwap(ICandleMessage candle, IIndicatorValue vwapValue)
	{
		if (vwapValue.IsFormed)
			_vwapValue = vwapValue.ToDecimal();
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_vwapValue == 0)
			return;

		var close = candle.ClosePrice;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Long: price below VWAP + RSI oversold
		if (close < _vwapValue && rsiValue < RsiOversold && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Short: price above VWAP + RSI overbought
		else if (close > _vwapValue && rsiValue > RsiOverbought && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit long: price above VWAP
		if (Position > 0 && close > _vwapValue)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Exit short: price below VWAP
		else if (Position < 0 && close < _vwapValue)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}