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RSI Reversion 戦略

RSI平均回帰に基づく戦略

テストでは年平均リターン約115%が示されています。株式市場で最もパフォーマンスが高くなります。

RSI Reversionは、価格が極端なRSI値に達した後に回帰すると仮定します。RSIが下限閾値を下回ると買い、上限閾値を上回ると売ります。ポジションはRSIが中立レベルに戻るにつれて決済されます。

極値は様々な市場に合わせて調整できます。トレンドの方向などの追加フィルターを使用することで、強い動きに早すぎる段階で逆張りすることを避けるのに役立ちます。

詳細

  • エントリー条件: RSIに基づくシグナル。
  • ロング/ショート: 両方。
  • エグジット条件: 逆シグナルまたはストップ。
  • ストップ: はい。
  • デフォルト値:
    • RsiPeriod = 14
    • OversoldThreshold = 30m
    • OverboughtThreshold = 70m
    • ExitLevel = 50m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: RSI
    • ストップ: はい
    • 複雑さ: 基本
    • 時間軸: イントラデイ (5m)
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
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 based on RSI mean reversion.
/// Buys when RSI enters the oversold zone, sells when it enters the overbought zone.
/// Exits at the neutral level and uses native actual-fill percent protection.
/// </summary>
public class RsiReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _oversoldThreshold;
	private readonly StrategyParam<decimal> _overboughtThreshold;
	private readonly StrategyParam<decimal> _exitLevel;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevRsi;
	private bool _hasPrevValues;
	private Order _pendingOrder;

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

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

	public decimal OversoldThreshold { get => _oversoldThreshold.Value; set => _oversoldThreshold.Value = value; }
	public decimal OverboughtThreshold { get => _overboughtThreshold.Value; set => _overboughtThreshold.Value = value; }
	public decimal ExitLevel { get => _exitLevel.Value; set => _exitLevel.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }

	/// <summary>
	/// Initializes a new instance of the <see cref="RsiReversionStrategy"/>.
	/// </summary>
	public RsiReversionStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14).SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period for RSI calculation", "Indicators")
			.SetOptimize(10, 20, 2);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_oversoldThreshold = Param(nameof(OversoldThreshold), 30m).SetRange(0m, 100m)
			.SetDisplay("Oversold Threshold", "Enter long on a strict downward crossing.", "Indicators");
		_overboughtThreshold = Param(nameof(OverboughtThreshold), 70m).SetRange(0m, 100m)
			.SetDisplay("Overbought Threshold", "Enter short on a strict upward crossing.", "Indicators");
		_exitLevel = Param(nameof(ExitLevel), 50m).SetRange(0m, 100m)
			.SetDisplay("Exit Level", "Close on return to the neutral level.", "Indicators");
		_stopLossPercent = Param(nameof(StopLossPercent), 2m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it.", "Protection");
		OrderRegistering += order => _pendingOrder = order;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, DataType.Level1)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = default;
		_hasPrevValues = default;
		_pendingOrder = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		if (!(OversoldThreshold < ExitLevel && ExitLevel < OverboughtThreshold))
			throw new InvalidOperationException("OversoldThreshold must be below ExitLevel, which must be below OverboughtThreshold.");

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// Native protection runs before the callback, including between finished candles.
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_hasPrevValues)
		{
			_hasPrevValues = true;
			_prevRsi = rsiValue;
			return;
		}

		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
		{
			_prevRsi = rsiValue;
			return;
		}

		// Fade entry INTO each extreme; this is not a crossing out of the extreme zone.
		if (_prevRsi >= OversoldThreshold && rsiValue < OversoldThreshold && Position <= 0m)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
		}
		else if (_prevRsi <= OverboughtThreshold && rsiValue > OverboughtThreshold && Position >= 0m)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
		}
		else if (Position > 0m && rsiValue >= ExitLevel)
			SellMarket(Position);
		else if (Position < 0m && rsiValue <= ExitLevel)
			BuyMarket(Math.Abs(Position));

		_prevRsi = rsiValue;
	}
}