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大陽線・大陰線RSIダイバージェンス戦略

直近5本のバーと比較して異常に大きな陽線・陰線を識別し、高速・低速RSIの値を比較します。取引はローソク足の方向に従い、価格が設定したティック数だけ利益方向に動いた後にのみ発動する遅延トレーリングストップを使用します。

トレーリングストップは利益しきい値に達した時点で開始し、その後一定の距離で価格を追跡します。一方、初期固定ストップはエントリーから取引を保護します。

詳細

  • エントリー条件:
    • ロング: 現在のローソク足の実体が直近5本より大きく、上昇して終値を形成。
    • ショート: 現在のローソク足の実体が直近5本より大きく、下落して終値を形成。
  • ロング/ショート: 両方向。
  • エグジット条件: 初期ストップまたはトレーリングストップに到達。
  • ストップ: はい、遅延トレーリングストップ。
  • デフォルト値:
    • TrailStartTicks = 200
    • TrailDistanceTicks = 150
    • InitialStopLossTicks = 200
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: リバーサル
    • 方向: 両方
    • インジケーター: 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: はい
    • 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>
/// Big Candle Identifier with RSI divergence and trailing stops.
/// Enters when the current candle body is the largest of the last N candles.
/// Uses RSI fast/slow divergence as confirmation.
/// </summary>
public class BigCandleRsiDivergenceStrategy : Strategy
{
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<decimal> _trailStartPercent;
	private readonly StrategyParam<decimal> _trailDistancePercent;
	private readonly StrategyParam<int> _lookbackBars;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _bodies = new();
	private decimal _entryPrice;
	private decimal _highestSinceEntry;
	private decimal _lowestSinceEntry;
	private bool _trailingActive;

	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public decimal TrailStartPercent { get => _trailStartPercent.Value; set => _trailStartPercent.Value = value; }
	public decimal TrailDistancePercent { get => _trailDistancePercent.Value; set => _trailDistancePercent.Value = value; }
	public int LookbackBars { get => _lookbackBars.Value; set => _lookbackBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BigCandleRsiDivergenceStrategy()
	{
		_stopLossPercent = Param(nameof(StopLossPercent), 0.3m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Initial stop loss percent", "Risk");

		_trailStartPercent = Param(nameof(TrailStartPercent), 0.5m)
			.SetGreaterThanZero()
			.SetDisplay("Trail Start %", "Profit percent to activate trailing", "Risk");

		_trailDistancePercent = Param(nameof(TrailDistancePercent), 0.2m)
			.SetGreaterThanZero()
			.SetDisplay("Trail Distance %", "Trailing stop distance percent", "Risk");

		_lookbackBars = Param(nameof(LookbackBars), 3)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Bars", "Number of bars for big candle comparison", "Strategy");

		_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();
		_bodies.Clear();
		_entryPrice = 0m;
		_highestSinceEntry = 0m;
		_lowestSinceEntry = 0m;
		_trailingActive = false;
	}

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

		var rsiFast = new RelativeStrengthIndex { Length = 5 };
		var rsiSlow = new RelativeStrengthIndex { Length = 14 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsiFast, rsiSlow, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal rsiFast, decimal rsiSlow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);

		_bodies.Add(body);
		if (_bodies.Count > LookbackBars + 1)
			_bodies.RemoveAt(0);

		if (_bodies.Count <= LookbackBars)
			return;

		// Check if current body is the largest in lookback window
		var isBiggest = true;
		for (var i = 0; i < _bodies.Count - 1; i++)
		{
			if (_bodies[i] >= body)
			{
				isBiggest = false;
				break;
			}
		}

		var isBullish = candle.ClosePrice > candle.OpenPrice;
		var isBearish = candle.ClosePrice < candle.OpenPrice;
		var rsiDivergence = rsiFast - rsiSlow;

		if (Position == 0)
		{
			if (isBiggest && isBullish && rsiDivergence > 0)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_highestSinceEntry = candle.ClosePrice;
				_trailingActive = false;
			}
			else if (isBiggest && isBearish && rsiDivergence < 0)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_lowestSinceEntry = candle.ClosePrice;
				_trailingActive = false;
			}
		}
		else if (Position > 0 && _entryPrice > 0)
		{
			_highestSinceEntry = Math.Max(_highestSinceEntry, candle.ClosePrice);

			var profitPercent = (candle.ClosePrice - _entryPrice) / _entryPrice * 100m;

			if (!_trailingActive && profitPercent >= TrailStartPercent)
				_trailingActive = true;

			if (_trailingActive)
			{
				var stop = _highestSinceEntry * (1 - TrailDistancePercent / 100m);
				if (candle.ClosePrice <= stop)
				{
					SellMarket();
					_entryPrice = 0m;
					_trailingActive = false;
				}
			}
			else
			{
				var stop = _entryPrice * (1 - StopLossPercent / 100m);
				if (candle.ClosePrice <= stop)
				{
					SellMarket();
					_entryPrice = 0m;
				}
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			_lowestSinceEntry = Math.Min(_lowestSinceEntry, candle.ClosePrice);

			var profitPercent = (_entryPrice - candle.ClosePrice) / _entryPrice * 100m;

			if (!_trailingActive && profitPercent >= TrailStartPercent)
				_trailingActive = true;

			if (_trailingActive)
			{
				var stop = _lowestSinceEntry * (1 + TrailDistancePercent / 100m);
				if (candle.ClosePrice >= stop)
				{
					BuyMarket();
					_entryPrice = 0m;
					_trailingActive = false;
				}
			}
			else
			{
				var stop = _entryPrice * (1 + StopLossPercent / 100m);
				if (candle.ClosePrice >= stop)
				{
					BuyMarket();
					_entryPrice = 0m;
				}
			}
		}
	}
}