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Estrategia Improvisando

Improvisando combina un filtro de tendencia EMA básico con oscilaciones del RSI. El objetivo es seguir la dirección prevaleciente indicada por la EMA mientras se entra solo cuando el RSI cruza la línea neutral de 50. El diseño original también experimentó con momentum estilo MACD, pero esta versión simplificada se centra en la claridad y la facilidad de ajuste.

El usuario puede habilitar operaciones largas y/o cortas por separado.

Detalles

  • Criterios de entrada:
    • Largo: Close > EMA y RSI > 50
    • Corto: Close < EMA y RSI < 50
  • Largo/Corto: Configurable
  • Criterios de salida:
    • Señal opuesta
  • Stops: Ninguno
  • Valores predeterminados:
    • EmaLength = 10
    • RsiLength = 14
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Configurable
    • Indicadores: EMA, RSI
    • Stops: No
    • Complejidad: Bajo
    • Marco temporal: Corto plazo
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Improvisando Strategy.
/// Uses EMA trend + RSI filter + candle pattern (engulfing) for entries.
/// Exits via take profit or EMA crossback.
/// </summary>
public class ImprovisandoStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _ema;
	private RelativeStrengthIndex _rsi;

	private decimal _prevClose;
	private decimal _prevOpen;
	private int _cooldownRemaining;
	private decimal? _entryPrice;

	public ImprovisandoStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period", "Moving Averages");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "RSI");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

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

		_ema = null;
		_rsi = null;
		_prevClose = 0;
		_prevOpen = 0;
		_cooldownRemaining = 0;
		_entryPrice = null;
	}

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

		_ema = new ExponentialMovingAverage { Length = EmaLength };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_ema, _rsi, OnProcess)
			.Start();

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

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

		if (!_ema.IsFormed || !_rsi.IsFormed)
		{
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = candle.ClosePrice;
			_prevOpen = candle.OpenPrice;
			return;
		}

		var close = candle.ClosePrice;
		var open = candle.OpenPrice;

		// Engulfing patterns
		var prevBearish = _prevClose < _prevOpen && _prevClose > 0;
		var prevBullish = _prevClose > _prevOpen && _prevClose > 0;

		// Bullish engulfing: previous red, current green, close above prev open
		var buyPattern = prevBearish && close > open && close > _prevOpen;
		// Bearish engulfing: previous green, current red, close below prev open
		var sellPattern = prevBullish && close < open && close < _prevOpen;

		// Exit long: price crosses below EMA or take profit
		if (Position > 0)
		{
			var tp = _entryPrice.HasValue && close > _entryPrice.Value * 1.02m;
			if (close < ema || tp)
			{
				SellMarket(Math.Abs(Position));
				_entryPrice = null;
				_cooldownRemaining = CooldownBars;
				_prevClose = close;
				_prevOpen = open;
				return;
			}
		}
		// Exit short: price crosses above EMA or take profit
		else if (Position < 0)
		{
			var tp = _entryPrice.HasValue && close < _entryPrice.Value * 0.98m;
			if (close > ema || tp)
			{
				BuyMarket(Math.Abs(Position));
				_entryPrice = null;
				_cooldownRemaining = CooldownBars;
				_prevClose = close;
				_prevOpen = open;
				return;
			}
		}

		// Buy: engulfing + above EMA + RSI not overbought
		if (buyPattern && close > ema && rsi < 65 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_entryPrice = close;
			_cooldownRemaining = CooldownBars;
		}
		// Sell: engulfing + below EMA + RSI not oversold
		else if (sellPattern && close < ema && rsi > 35 && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_entryPrice = close;
			_cooldownRemaining = CooldownBars;
		}

		_prevClose = close;
		_prevOpen = open;
	}
}