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マルチタイムフレーム EMA + BB + RSI戦略

2本の指数移動平均、Bollinger BandsとRSIを組み合わせてバウンスを取引します。価格が下部バンドに触れた後、速いEMAの上で終値が付くとロング取引が発生します。価格が上部バンドを突き抜けた後、速いEMAの下で終値が付きRSIが50を上回るとショート取引が発動します。

オプションの利益確定機能は、価格が有利に動いた場合にユーザー定義のバー数後にポジションをクローズします。システムはスイングまたはイントラデイ取引に対して十分な柔軟性があり、ロングとショートのサイドを独立して有効または無効にできます。

詳細

  • エントリー条件:
    • ロング: 安値がBollinger Bandsの下部バンドを突き抜けた後、速いEMAの上で終値が付く。
    • ショート: 高値が上部バンドを突き抜け、速いEMAの下で終値が付き、RSI > 50。
  • エグジット条件:
    • ロング: RSIが売られすぎレベルを上回る。
    • ショート: 価格が下部バンドの下で終値が付く。
  • インジケーター:
    • 2本のEMA (期間10と55)
    • Bollinger Bands (長さ20、乗数2)
    • RSI (長さ14、売られすぎ71)
  • ストップ: Xバー後のオプションの利益目標；固定ストップロスなし。
  • デフォルト値:
    • Ma1Period = 10
    • Ma2Period = 55
    • BBLength = 20
    • BBMultiplier = 2.0
    • RSILength = 14
    • RSIOversold = 71
    • XBars = 12
  • フィルター:
    • トレンドフィルター付き平均回帰
    • 時間軸: 設定可能
    • インジケーター: EMA、Bollinger Bands、RSI
    • ストップ: オプション
    • 複雑さ: 中程度
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>
/// Multi EMA + Bollinger Bands + RSI strategy.
/// Goes long when the close is above the fast EMA on a candle whose low pierced the lower band, and short when the
/// close is below the fast EMA on a candle whose high pierced the upper band while RSI is above 50. A long closes when
/// RSI rises above RSIOversold and a short when the close drops below the lower band. After XBars bars a position that
/// is in profit is closed as well. Each side can be switched off. The slow EMA is plotted as a trend reference.
/// </summary>
public class MemaBbRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _ma1Period;
	private readonly StrategyParam<int> _ma2Period;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<decimal> _bbMultiplier;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<int> _xBars;
	private readonly StrategyParam<bool> _enableLong;
	private readonly StrategyParam<bool> _enableShort;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;
	private int _barsInPosition;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int Ma1Period
	{
		get => _ma1Period.Value;
		set => _ma1Period.Value = value;
	}

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int Ma2Period
	{
		get => _ma2Period.Value;
		set => _ma2Period.Value = value;
	}

	/// <summary>
	/// Bollinger Bands period.
	/// </summary>
	public int BBLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	/// <summary>
	/// Bollinger Bands standard deviation multiplier.
	/// </summary>
	public decimal BBMultiplier
	{
		get => _bbMultiplier.Value;
		set => _bbMultiplier.Value = value;
	}

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

	/// <summary>
	/// RSI level above which a long is closed.
	/// </summary>
	public decimal RSIOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	/// <summary>
	/// Bars after which a profitable position is closed. 0 disables the time exit.
	/// </summary>
	public int XBars
	{
		get => _xBars.Value;
		set => _xBars.Value = value;
	}

	/// <summary>
	/// Allow long trades.
	/// </summary>
	public bool EnableLong
	{
		get => _enableLong.Value;
		set => _enableLong.Value = value;
	}

	/// <summary>
	/// Allow short trades.
	/// </summary>
	public bool EnableShort
	{
		get => _enableShort.Value;
		set => _enableShort.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public MemaBbRsiStrategy()
	{
		_ma1Period = Param(nameof(Ma1Period), 10)
			.SetGreaterThanZero()
			.SetDisplay("MA1 Period", "Fast EMA period", "Moving Average");

		_ma2Period = Param(nameof(Ma2Period), 55)
			.SetGreaterThanZero()
			.SetDisplay("MA2 Period", "Slow EMA period", "Moving Average");

		_bbLength = Param(nameof(BBLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger Bands period", "Bollinger Bands");

		_bbMultiplier = Param(nameof(BBMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("BB Multiplier", "Bollinger Bands standard deviation multiplier", "Bollinger Bands");

		_rsiLength = Param(nameof(RSILength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "RSI");

		_rsiOversold = Param(nameof(RSIOversold), 71m)
			.SetDisplay("RSI Exit Level", "RSI level above which a long is closed", "RSI");

		_xBars = Param(nameof(XBars), 12)
			.SetNotNegative()
			.SetDisplay("X Bars", "Bars after which a profitable position is closed, 0 disables", "Exit");

		_enableLong = Param(nameof(EnableLong), true)
			.SetDisplay("Enable Long", "Allow long trades", "Trading");

		_enableShort = Param(nameof(EnableShort), true)
			.SetDisplay("Enable Short", "Allow short trades", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_entryPrice = 0m;
		_barsInPosition = 0;
	}

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

		_entryPrice = 0m;
		_barsInPosition = 0;

		var ma1 = new ExponentialMovingAverage { Length = Ma1Period };
		var ma2 = new ExponentialMovingAverage { Length = Ma2Period };
		var bollinger = new BollingerBands { Length = BBLength, Width = BBMultiplier };
		var rsi = new RelativeStrengthIndex { Length = RSILength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(ma1, ma2, bollinger, rsi, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ma1);
			DrawIndicator(area, ma2);
			DrawIndicator(area, bollinger);
			DrawOwnTrades(area);

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue ma1Value, IIndicatorValue ma2Value, IIndicatorValue bollingerValue, IIndicatorValue rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (Position != 0)
			_barsInPosition++;

		if (!ma1Value.IsFormed || !bollingerValue.IsFormed || !rsiValue.IsFormed)
			return;

		var bb = (BollingerBandsValue)bollingerValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var ma1 = ma1Value.ToDecimal();
		var rsi = rsiValue.ToDecimal();
		var close = candle.ClosePrice;

		var longSignal = EnableLong && close > ma1 && candle.LowPrice < lower;
		var shortSignal = EnableShort && close < ma1 && candle.HighPrice > upper && rsi > 50m;

		var timeUp = XBars > 0 && _barsInPosition >= XBars;

		if (longSignal && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_entryPrice = close;
			_barsInPosition = 0;
		}
		else if (shortSignal && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_entryPrice = close;
			_barsInPosition = 0;
		}
		else if (Position > 0 && (rsi > RSIOversold || (timeUp && close > _entryPrice)))
		{
			SellMarket(Position);
		}
		else if (Position < 0 && (close < lower || (timeUp && close < _entryPrice)))
		{
			BuyMarket(-Position);
		}
	}
}