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RSI Donchian 戦略

RSI Donchian戦略は、ドンチャンチャネルのブレイクアウトと一致するモメンタムの極値を探します。相対力指数が買われすぎと売られすぎの状態を測定し、チャネルが最近の価格の高値と安値を定義します。

テストでは年間平均リターン約82%を示しています。株式市場で最もパフォーマンスが高いです。

RSIがRsiOverboughtを上回った状態で価格がドンチャン上部バンドを上抜けたときに買いシグナルが現れます。RSIがRsiOversoldを下回った状態で価格が下部バンドを割り込んだときにショートシグナルが形成されます。価格がドンチャン中間線に戻るとエグジットが発生し、均衡への回帰を示します。

この手法は、強いモメンタムに乗りつつ、明確なブレイクアウトレベルで取引したいアクティブトレーダーに適しています。ストップロスは、モメンタムが素早く反転しない場合のリスク上限設定に役立ちます。

詳細

  • エントリー条件:
    • ロング: RSI > RsiOverbought && Close > Donchian High
    • ショート: RSI < RsiOversold && Close < Donchian Low
  • ロング/ショート: 両方。
  • エグジット条件:
    • ロング: close < Donchian Middle のときに終了
    • ショート: close > Donchian Middle のときに終了
  • ストップ: はい、パーセンテージストップロス。
  • デフォルト値:
    • RsiPeriod = 14
    • DonchianPeriod = 20
    • RsiOverbought = 70
    • RsiOversold = 30
    • StopLossPercent = 2 チャネルは直前DonchianPeriod本の高値と安値で、中間線はその中央です。上抜けはRSIがRsiOverboughtを上回るとき、下抜けはRSIがRsiOversoldを下回るときに確認されます。逆の読み方（チャネル上で引けたときにRSIが売られすぎ）は実際にはほぼ起こりません。ストップはエントリー価格の固定StopLossPercentで、ローソク足の間も監視されます。 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(15)
  • フィルター:
    • カテゴリ: 混合
    • 方向: 両方
    • インジケーター: RSI, Donchian Channel
    • 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 Donchian strategy.
/// The channel spans the highest high and lowest low of the previous DonchianPeriod candles. A close above it with RSI above RsiOverbought
/// confirms momentum and goes long, a close below it with RSI below RsiOversold goes short, reversing an opposite position. A long closes
/// when price falls below the channel middle and a short when it rises above it, and a percent stop limits the loss.
/// </summary>
public class RsiDonchianStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevUpper;
	private decimal? _prevLower;

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

	/// <summary>
	/// Previous candles the channel spans.
	/// </summary>
	public int DonchianPeriod
	{
		get => _donchianPeriod.Value;
		set => _donchianPeriod.Value = value;
	}

	/// <summary>
	/// RSI level that confirms an upside breakout.
	/// </summary>
	public decimal RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	/// <summary>
	/// RSI level that confirms a downside breakout.
	/// </summary>
	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.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 RsiDonchianStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period of RSI", "Indicators");

		_donchianPeriod = Param(nameof(DonchianPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Donchian Period", "Previous candles the channel spans", "Indicators");

		_rsiOverbought = Param(nameof(RsiOverbought), 70m)
			.SetDisplay("RSI Overbought", "RSI level that confirms an upside breakout", "Indicators");

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "RSI level that confirms a downside breakout", "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();
		_prevUpper = null;
		_prevLower = null;
	}

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

		_prevUpper = null;
		_prevLower = null;

		var donchian = new DonchianChannels { Length = DonchianPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(donchian, 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, donchian);
			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 donchianValue, IIndicatorValue rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// The channel is measured on the candles before this one.
		var upper = _prevUpper;
		var lower = _prevLower;

		if (donchianValue.IsFormed && donchianValue is IDonchianChannelsValue { UpperBand: decimal currentUpper, LowerBand: decimal currentLower })
		{
			_prevUpper = currentUpper;
			_prevLower = currentLower;
		}

		if (!rsiValue.IsFormed || upper is not decimal channelHigh || lower is not decimal channelLow)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var rsi = rsiValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		var middle = (channelHigh + channelLow) / 2;

		if (close > channelHigh && rsi > RsiOverbought && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < channelLow && rsi < RsiOversold && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && close < middle)
			SellMarket(Position);
		else if (Position < 0 && close > middle)
			BuyMarket(-Position);
	}
}