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Arsi Vwap Atr Strategy

Adaptive RSI strategy where overbought and oversold levels expand or contract based on ATR or the deviation from VWAP. Positions are opened on RSI crossovers of the adaptive levels and closed when RSI returns to the mid-zone.

Details

  • Entry Criteria:
    • Long: RSI crosses above adaptive oversold line
    • Short: RSI crosses below adaptive overbought line
  • Long/Short: Both
  • Exit Criteria:
    • RSI crosses back through 50 or opposite adaptive line
  • Stops: Percent-based using StopLossPercent and RiskReward
  • Default Values:
    • RsiLength = 14
    • BaseK = 1m
    • RiskPercent = 2m
    • StopLossPercent = 2.5m
    • RiskReward = 2m
    • SourceOb = ATR
    • SourceOs = ATR
    • AtrLengthOb = 14
    • AtrLengthOs = 14
    • ObMultiplier = 10m
    • OsMultiplier = 10m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: RSI, ATR, VWAP
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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>
/// Adaptive RSI strategy with dynamic OB/OS levels.
/// Uses RSI crossover of overbought/oversold thresholds with EMA trend filter.
/// </summary>
public class ArsiVwapAtrStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<decimal> _obLevel;
	private readonly StrategyParam<decimal> _osLevel;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRsi;
	private int _barIndex;
	private int _lastTradeBar;

	/// <summary>
	/// RSI length.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// EMA trend filter length.
	/// </summary>
	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

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

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

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public ArsiVwapAtrStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI calculation period", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

		_obLevel = Param(nameof(ObLevel), 55m)
			.SetDisplay("OB Level", "Overbought RSI level", "Indicators");

		_osLevel = Param(nameof(OsLevel), 45m)
			.SetDisplay("OS Level", "Oversold RSI level", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 300)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_barIndex = 0;
		_lastTradeBar = 0;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

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

		_barIndex++;

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		// RSI crosses above OS level from below = buy signal
		var longSignal = _prevRsi > 0 && _prevRsi < OsLevel && rsiValue >= OsLevel;
		// RSI crosses below OB level from above = sell signal
		var shortSignal = _prevRsi > 0 && _prevRsi > ObLevel && rsiValue <= ObLevel;

		if (longSignal && Position <= 0 && cooldownOk)
		{
			BuyMarket();
			_lastTradeBar = _barIndex;
		}
		else if (shortSignal && Position >= 0 && cooldownOk)
		{
			SellMarket();
			_lastTradeBar = _barIndex;
		}

		_prevRsi = rsiValue;
	}
}