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VWAP RSI 戦略

VWAP RSI は、出来高加重平均価格を使ってセッション中の適正価格を測り、RSI でモメンタムの極端を示します。 価格が VWAP から乖離し RSI が買われすぎまたは売られすぎのレベルに達したときにトレードを行います。

テストでは平均年間リターンは約157%を示しています。暗号資産市場で最も良いパフォーマンスを発揮します。

モメンタムが冷えると価格が VWAP に向かって回帰することが期待されます。

価格を VWAP からさらに引き離すトレンドに対して、パーセントストップが保護します。

詳細

  • エントリー条件: インジケーターシグナル
  • ロング/ショート: 両方
  • エグジット条件: ストップロスまたは反対シグナル
  • ストップ: はい、パーセントベース
  • デフォルト値:
    • CandleType = 15 minute
    • StopLossPercent = 2
    • RsiPeriod = 14
    • RsiOversold = 30
    • RsiOverbought = 70 市場は24時間取引のため、セッションVWAPはUTCの毎日リセットされ、各足の典型価格を出来高で加重します。終値がVWAPより下でRSIがRsiOversold未満なら買い、終値がVWAPより上でRSIがRsiOverboughtを超えれば売ります。反対シグナルでドテンします。
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 方向: 両方
    • インジケーター: VWAP, RSI
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: イントラデイ
    • 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>
/// VWAP RSI strategy.
/// The market trades around the clock, so the session VWAP restarts with each UTC day and weighs each candle's typical price by its volume.
/// A close below VWAP with RSI below RsiOversold goes long and a close above VWAP with RSI above RsiOverbought goes short,
/// expecting the price to revert toward VWAP. An opposite signal reverses the position, and a percent stop limits the loss.
/// </summary>
public class VwapRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private DateTime? _day;
	private decimal _cumulativePriceVolume;
	private decimal _cumulativeVolume;

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

	/// <summary>
	/// RSI level for longs below VWAP.
	/// </summary>
	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	/// <summary>
	/// RSI level for shorts above VWAP.
	/// </summary>
	public decimal RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public VwapRsiStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period of RSI", "Indicators");

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "RSI level for longs below VWAP", "Indicators");

		_rsiOverbought = Param(nameof(RsiOverbought), 70m)
			.SetDisplay("RSI Overbought", "RSI level for shorts above VWAP", "Indicators");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();
		_day = null;
		_cumulativePriceVolume = 0;
		_cumulativeVolume = 0;
	}

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

		_day = null;
		_cumulativePriceVolume = 0;
		_cumulativeVolume = 0;

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

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

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		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 area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, rsi);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		var day = candle.OpenTime.Date;

		if (_day != day)
		{
			_day = day;
			_cumulativePriceVolume = 0;
			_cumulativeVolume = 0;
		}

		var typicalPrice = (candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 3;
		_cumulativePriceVolume += typicalPrice * candle.TotalVolume;
		_cumulativeVolume += candle.TotalVolume;

		if (!rsiValue.IsFormed || _cumulativeVolume <= 0)
			return;

		var vwap = _cumulativePriceVolume / _cumulativeVolume;
		var rsi = rsiValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		var signal = 0;

		if (close < vwap && rsi < RsiOversold)
			signal = 1;
		else if (close > vwap && rsi > RsiOverbought)
			signal = -1;

		if (signal == 0 || !IsFormedAndOnlineAndAllowTrading())
			return;

		if (signal > 0 && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (signal < 0 && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}