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Divergencia RSI de Vela Grande

Identifica velas inusualmente grandes en relación con las cinco barras anteriores y compara los valores de RSI rápido y lento. Las operaciones siguen la dirección de la vela y usan un stop trailing retrasado que se activa solo después de que el precio se mueva un número determinado de ticks en beneficio.

El stop trailing comienza una vez alcanzado el umbral de beneficio y luego sigue el precio a una distancia fija, mientras que un stop fijo inicial protege la operación desde el inicio.

Detalles

  • Criterios de entrada:
    • Largo: El cuerpo de la vela actual es mayor que los cinco anteriores y cierra al alza.
    • Corto: El cuerpo de la vela actual es mayor que los cinco anteriores y cierra a la baja.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: Stop inicial o stop trailing alcanzado.
  • Stops: Sí, stop trailing retrasado.
  • Valores predeterminados:
    • TrailStartTicks = 200
    • TrailDistanceTicks = 150
    • InitialStopLossTicks = 200
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Reversión
    • Dirección: Ambos
    • Indicadores: RSI
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: Sí
    • 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>
/// Big Candle Identifier with RSI divergence and trailing stops.
/// Enters when the current candle body is the largest of the last N candles.
/// Uses RSI fast/slow divergence as confirmation.
/// </summary>
public class BigCandleRsiDivergenceStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _trailStartPercent;
	private readonly StrategyParam<decimal> _trailDistancePercent;
	private readonly StrategyParam<int> _lookbackBars;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _bodies = new();
	private decimal _entryPrice;
	private decimal _highestSinceEntry;
	private decimal _lowestSinceEntry;
	private bool _trailingActive;

	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public decimal TrailStartPercent { get => _trailStartPercent.Value; set => _trailStartPercent.Value = value; }
	public decimal TrailDistancePercent { get => _trailDistancePercent.Value; set => _trailDistancePercent.Value = value; }
	public int LookbackBars { get => _lookbackBars.Value; set => _lookbackBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BigCandleRsiDivergenceStrategy()
	{
		_stopLossPercent = Param(nameof(StopLossPercent), 0.3m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Initial stop loss percent", "Risk");

		_trailStartPercent = Param(nameof(TrailStartPercent), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Trail Start %", "Profit percent to activate trailing", "Risk");

		_trailDistancePercent = Param(nameof(TrailDistancePercent), 0.2m)
			.SetGreaterThanZero()
			.SetDisplay("Trail Distance %", "Trailing stop distance percent", "Risk");

		_lookbackBars = Param(nameof(LookbackBars), 3)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Bars", "Number of bars for big candle comparison", "Strategy");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_bodies.Clear();
		_entryPrice = 0m;
		_highestSinceEntry = 0m;
		_lowestSinceEntry = 0m;
		_trailingActive = false;
	}

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

		var rsiFast = new RelativeStrengthIndex { Length = 5 };
		var rsiSlow = new RelativeStrengthIndex { Length = 14 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsiFast, rsiSlow, ProcessCandle)
			.Start();

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

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

		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);

		_bodies.Add(body);
		if (_bodies.Count > LookbackBars + 1)
			_bodies.RemoveAt(0);

		if (_bodies.Count <= LookbackBars)
			return;

		// Check if current body is the largest in lookback window
		var isBiggest = true;
		for (var i = 0; i < _bodies.Count - 1; i++)
		{
			if (_bodies[i] >= body)
			{
				isBiggest = false;
				break;
			}
		}

		var isBullish = candle.ClosePrice > candle.OpenPrice;
		var isBearish = candle.ClosePrice < candle.OpenPrice;
		var rsiDivergence = rsiFast - rsiSlow;

		if (Position == 0)
		{
			if (isBiggest && isBullish && rsiDivergence > 0)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_highestSinceEntry = candle.ClosePrice;
				_trailingActive = false;
			}
			else if (isBiggest && isBearish && rsiDivergence < 0)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_lowestSinceEntry = candle.ClosePrice;
				_trailingActive = false;
			}
		}
		else if (Position > 0 && _entryPrice > 0)
		{
			_highestSinceEntry = Math.Max(_highestSinceEntry, candle.ClosePrice);

			var profitPercent = (candle.ClosePrice - _entryPrice) / _entryPrice * 100m;

			if (!_trailingActive && profitPercent >= TrailStartPercent)
				_trailingActive = true;

			if (_trailingActive)
			{
				var stop = _highestSinceEntry * (1 - TrailDistancePercent / 100m);
				if (candle.ClosePrice <= stop)
				{
					SellMarket();
					_entryPrice = 0m;
					_trailingActive = false;
				}
			}
			else
			{
				var stop = _entryPrice * (1 - StopLossPercent / 100m);
				if (candle.ClosePrice <= stop)
				{
					SellMarket();
					_entryPrice = 0m;
				}
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			_lowestSinceEntry = Math.Min(_lowestSinceEntry, candle.ClosePrice);

			var profitPercent = (_entryPrice - candle.ClosePrice) / _entryPrice * 100m;

			if (!_trailingActive && profitPercent >= TrailStartPercent)
				_trailingActive = true;

			if (_trailingActive)
			{
				var stop = _lowestSinceEntry * (1 + TrailDistancePercent / 100m);
				if (candle.ClosePrice >= stop)
				{
					BuyMarket();
					_entryPrice = 0m;
					_trailingActive = false;
				}
			}
			else
			{
				var stop = _entryPrice * (1 + StopLossPercent / 100m);
				if (candle.ClosePrice >= stop)
				{
					BuyMarket();
					_entryPrice = 0m;
				}
			}
		}
	}
}