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Keltner Rsi 戦略

Keltner Channels と RSI インジケーターを組み合わせた戦略。価格がチャネル境界に触れ、RSI が売られすぎ/買われすぎ条件を確認した際の平均回帰の機会を探します。

テストでは年平均収益率は約 88% を示しています。株式市場で最もパフォーマンスが優れています。

Keltner Channels は最近のボラティリティをマッピングし、RSI はモメンタムの極値を測定します。RSI がチャネルを超えた動きを支持するときにエントリーが発生します。

ボラティリティエンベロープ周辺のバウンストレーダーに最適です。ATR乗数はチャネル幅を決め、ストップはエントリー価格の一定割合です。

詳細

  • エントリー条件:
    • ロング: Close < LowerBand && RSI < RsiOversoldLevel
    • ショート: Close > UpperBand && RSI > RsiOverboughtLevel
  • ロング/ショート: 両方
  • エグジット条件:
    • 価格が EMA に戻る
  • ストップ: StopLossPercent を使用したパーセントベース
  • デフォルト値:
    • EmaPeriod = 20
    • AtrPeriod = 14
    • AtrMultiplier = 2.0m
    • RsiPeriod = 14
    • RsiOverboughtLevel = 70m
    • RsiOversoldLevel = 30m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() チャネルはEMAの上下にAtrMultiplier倍のATRを加えたものです。ロングは終値がEMA以上、ショートはEMA以下に戻ったら決済します。 保有ポジションと逆方向のエントリーシグナルはドテンになります。
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: Keltner Channel, RSI
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 中期
    • 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>
/// Keltner RSI strategy.
/// The Keltner Channel is the EmaPeriod EMA plus and minus AtrMultiplier times the AtrPeriod ATR. A close below the lower band with RSI
/// below RsiOversoldLevel goes long and a close above the upper band with RSI above RsiOverboughtLevel goes short, reversing an opposite
/// position. The position closes once price returns to the EMA, and a percent stop limits the loss.
/// </summary>
public class KeltnerRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOverboughtLevel;
	private readonly StrategyParam<decimal> _rsiOversoldLevel;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Period of the channel EMA.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Period of the channel ATR.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier of the channel width.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

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

	/// <summary>
	/// RSI level for shorts.
	/// </summary>
	public decimal RsiOverboughtLevel
	{
		get => _rsiOverboughtLevel.Value;
		set => _rsiOverboughtLevel.Value = value;
	}

	/// <summary>
	/// RSI level for longs.
	/// </summary>
	public decimal RsiOversoldLevel
	{
		get => _rsiOversoldLevel.Value;
		set => _rsiOversoldLevel.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 KeltnerRsiStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "Period of the channel EMA", "Keltner");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period of the channel ATR", "Keltner");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Multiplier", "ATR multiplier of the channel width", "Keltner");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period of RSI", "RSI");

		_rsiOverboughtLevel = Param(nameof(RsiOverboughtLevel), 70m)
			.SetDisplay("RSI Overbought", "RSI level for shorts", "RSI");

		_rsiOversoldLevel = Param(nameof(RsiOversoldLevel), 30m)
			.SetDisplay("RSI Oversold", "RSI level for longs", "RSI");

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

		_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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(ema, atr, 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);
			DrawIndicator(area, ema);
			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 emaValue, IIndicatorValue atrValue, IIndicatorValue rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!emaValue.IsFormed || !atrValue.IsFormed || !rsiValue.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var middle = emaValue.GetValue<decimal>();
		var atr = atrValue.GetValue<decimal>();
		var rsi = rsiValue.GetValue<decimal>();
		var upper = middle + AtrMultiplier * atr;
		var lower = middle - AtrMultiplier * atr;
		var close = candle.ClosePrice;

		if (close < lower && rsi < RsiOversoldLevel && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close > upper && rsi > RsiOverboughtLevel && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && close >= middle)
			SellMarket(Position);
		else if (Position < 0 && close <= middle)
			BuyMarket(-Position);
	}
}