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RSI Hull MA 戦略

この戦略はRSI Hull MAインジケーターを使ってシグナルを生成します。 RSI < RsiOversold && HMA(t) > HMA(t-1)（HMAが上昇中で売られすぎ）のときロングエントリー。RSI > RsiOverbought && HMA(t) < HMA(t-1)（HMAが下降中で買われすぎ）のときショートエントリー。 混合市場での機会を求めるトレーダーに適しています。

テストでは年平均リターン約58%を示しています。株式市場で最もパフォーマンスが良好です。

詳細

  • エントリー条件:
    • ロング: RSI < RsiOversold && HMA(t) > HMA(t-1) (HMAが上昇中で売られすぎ)
    • ショート: RSI > RsiOverbought && HMA(t) < HMA(t-1) (HMAが下降中で買われすぎ)
  • ロング/ショート: 両方向。
  • エグジット条件:
    • ロング: RSIがニュートラルゾーンに戻ったらロングポジションを退場
    • ショート: RSIがニュートラルゾーンに戻ったらショートポジションを退場
  • ストップ: はい。
  • デフォルト値:
    • RsiPeriod = 14
    • RsiOversold = 30
    • RsiOverbought = 70
    • HullPeriod = 9
    • AtrPeriod = 14
    • AtrMultiplier = 2 30と70はルールが示すRSI水準の既定値です。ニュートラルゾーンはRSI 50からで、RSIが50に達したらロングを、50まで下がったらショートを閉じます。ストップはエントリー時の終値からAtrPeriod本のATRのAtrMultiplier倍離れた位置に置かれ、ローソク足の終値で確認されます。0で無効になります。 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。
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: 混合
    • 方向: 両方
    • インジケーター: RSI Hull MA
    • 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>
/// RSI Hull MA strategy.
/// RSI below RsiOversold with a rising HullPeriod Hull moving average goes long and RSI above RsiOverbought with a falling one goes short,
/// reversing an opposite position. A long closes once RSI returns to the neutral 50 level and a short likewise. The stop lies
/// AtrMultiplier ATR from the entry close and is checked on candle closes.
/// </summary>
public class RsiHullMaStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<int> _hullPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevHull;
	private decimal _stopPrice;

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

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

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

	/// <summary>
	/// Period of the Hull moving average.
	/// </summary>
	public int HullPeriod
	{
		get => _hullPeriod.Value;
		set => _hullPeriod.Value = value;
	}

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

	/// <summary>
	/// Stop distance from the entry in ATRs.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public RsiHullMaStrategy()
	{
		_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", "Indicators");

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

		_hullPeriod = Param(nameof(HullPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Hull Period", "Period of the Hull moving average", "Indicators");

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

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetNotNegative()
			.SetDisplay("ATR Multiplier", "Stop distance from the entry in ATRs", "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 OnReseted()
	{
		base.OnReseted();
		_prevHull = null;
		_stopPrice = default;
	}

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

		_prevHull = null;
		_stopPrice = default;

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var hull = new HullMovingAverage { Length = HullPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

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

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

		if (!hullValue.IsFormed)
			return;

		var hull = hullValue.GetValue<decimal>();
		var prevHull = _prevHull;
		_prevHull = hull;

		if (prevHull is not decimal previous || !rsiValue.IsFormed || !atrValue.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var rsi = rsiValue.GetValue<decimal>();
		var atr = atrValue.GetValue<decimal>();
		var close = candle.ClosePrice;

		// RSI 50 is the middle of the neutral zone.
		if (rsi < RsiOversold && hull > previous && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = close - AtrMultiplier * atr;
		}
		else if (rsi > RsiOverbought && hull < previous && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = close + AtrMultiplier * atr;
		}
		else if (Position > 0 && (rsi >= 50m || (AtrMultiplier > 0 && close <= _stopPrice)))
		{
			SellMarket(Position);
		}
		else if (Position < 0 && (rsi <= 50m || (AtrMultiplier > 0 && close >= _stopPrice)))
		{
			BuyMarket(-Position);
		}
	}
}