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Estrategia TSI Largo/Corto para BTC 2H

Utiliza rupturas del Índice de Fuerza Verdadera en un gráfico de dos horas. Las operaciones largas comienzan cuando el TSI cruza por encima de su máximo de 100 barras, mientras que las operaciones cortas comienzan cuando cae por debajo de su mínimo de 100 barras.

  • Indicadores: True Strength Index, Highest, Lowest
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// True Strength Index-inspired breakout strategy.
/// Uses RSI as momentum oscillator with EMA trend filter.
/// </summary>
public class TsiLongShortForBtc2HStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _lookback;

	private decimal _prevRsi;
	private decimal _prevEmaFast;
	private decimal _prevEmaSlow;
	private int _cooldown;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int Lookback { get => _lookback.Value; set => _lookback.Value = value; }

	public TsiLongShortForBtc2HStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period", "Indicators");
		_lookback = Param(nameof(Lookback), 21)
			.SetDisplay("Lookback", "EMA slow period", "Indicators");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_prevEmaFast = 0;
		_prevEmaSlow = 0;
		_cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var emaFast = new ExponentialMovingAverage { Length = 10 };
		var emaSlow = new ExponentialMovingAverage { Length = Lookback };

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

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

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

		if (_prevRsi == 0 || _prevEmaFast == 0 || _prevEmaSlow == 0)
		{
			_prevRsi = rsiVal;
			_prevEmaFast = emaFast;
			_prevEmaSlow = emaSlow;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevRsi = rsiVal;
			_prevEmaFast = emaFast;
			_prevEmaSlow = emaSlow;
			return;
		}

		// RSI cross 50
		var rsiCrossUp = _prevRsi <= 50m && rsiVal > 50m;
		var rsiCrossDown = _prevRsi >= 50m && rsiVal < 50m;

		// EMA trend
		var trendUp = emaFast > emaSlow;
		var trendDown = emaFast < emaSlow;

		// Exit
		if (Position > 0 && rsiCrossDown)
		{
			SellMarket();
			_cooldown = 80;
		}
		else if (Position < 0 && rsiCrossUp)
		{
			BuyMarket();
			_cooldown = 80;
		}

		// Entry
		if (Position == 0)
		{
			if (rsiCrossUp && trendUp)
			{
				BuyMarket();
				_cooldown = 80;
			}
			else if (rsiCrossDown && trendDown)
			{
				SellMarket();
				_cooldown = 80;
			}
		}

		_prevRsi = rsiVal;
		_prevEmaFast = emaFast;
		_prevEmaSlow = emaSlow;
	}
}