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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 System.Linq;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Big Candle RSI Divergence strategy.
/// When flat, a candle whose body is bigger than each of the previous five bodies opens a trade in its direction. An initial stop
/// InitialStopLossTicks price steps away protects the trade; once price has moved TrailStartTicks steps in profit a trailing stop
/// follows the best price at TrailDistanceTicks steps. Fast RSI(5) and slow RSI(14) are plotted for comparison.
/// </summary>
public class BigCandleRsiDivergenceStrategy : Strategy
{
	private const int _bodyLookback = 5;

	private readonly StrategyParam<int> _trailStartTicks;
	private readonly StrategyParam<int> _trailDistanceTicks;
	private readonly StrategyParam<int> _initialStopLossTicks;
	private readonly StrategyParam<DataType> _candleType;

	private readonly Queue<decimal> _bodies = new();
	private decimal _entryPrice;
	private decimal _bestPrice;
	private bool _trailingActive;

	/// <summary>
	/// Profit in price steps that activates the trailing stop.
	/// </summary>
	public int TrailStartTicks
	{
		get => _trailStartTicks.Value;
		set => _trailStartTicks.Value = value;
	}

	/// <summary>
	/// Trailing stop distance in price steps.
	/// </summary>
	public int TrailDistanceTicks
	{
		get => _trailDistanceTicks.Value;
		set => _trailDistanceTicks.Value = value;
	}

	/// <summary>
	/// Initial stop loss in price steps.
	/// </summary>
	public int InitialStopLossTicks
	{
		get => _initialStopLossTicks.Value;
		set => _initialStopLossTicks.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BigCandleRsiDivergenceStrategy()
	{
		_trailStartTicks = Param(nameof(TrailStartTicks), 200)
			.SetNotNegative()
			.SetDisplay("Trail Start Ticks", "Profit in price steps that activates the trailing stop", "Risk");

		_trailDistanceTicks = Param(nameof(TrailDistanceTicks), 150)
			.SetNotNegative()
			.SetDisplay("Trail Distance Ticks", "Trailing stop distance in price steps", "Risk");

		_initialStopLossTicks = Param(nameof(InitialStopLossTicks), 200)
			.SetNotNegative()
			.SetDisplay("Initial Stop Loss Ticks", "Initial stop loss in price steps", "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();
		ResetState();
	}

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

		ResetState();

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

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

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

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

	private void ResetState()
	{
		_bodies.Clear();
		_entryPrice = 0;
		_bestPrice = 0;
		_trailingActive = false;
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue rsiFastValue, IIndicatorValue rsiSlowValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		var isBig = _bodies.Count == _bodyLookback && _bodies.All(b => body > b);

		_bodies.Enqueue(body);
		while (_bodies.Count > _bodyLookback)
			_bodies.Dequeue();

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position != 0)
		{
			ManageStops(candle);
			return;
		}

		if (!isBig)
			return;

		if (candle.ClosePrice > candle.OpenPrice)
		{
			BuyMarket(Volume);
			StartTrade(candle.ClosePrice);
		}
		else if (candle.ClosePrice < candle.OpenPrice)
		{
			SellMarket(Volume);
			StartTrade(candle.ClosePrice);
		}
	}

	private void StartTrade(decimal price)
	{
		_entryPrice = price;
		_bestPrice = price;
		_trailingActive = false;
	}

	private void ManageStops(ICandleMessage candle)
	{
		if (_entryPrice <= 0)
			return;

		var step = Security?.PriceStep ?? 1m;
		var initialStop = InitialStopLossTicks * step;
		var trailStart = TrailStartTicks * step;
		var trailDistance = TrailDistanceTicks * step;

		if (Position > 0)
		{
			decimal? stop = InitialStopLossTicks > 0 ? _entryPrice - initialStop : null;
			if (_trailingActive)
				stop = Math.Max(stop ?? decimal.MinValue, _bestPrice - trailDistance);

			if (stop is decimal s && candle.LowPrice <= s)
			{
				SellMarket(Position);
				_entryPrice = 0;
				return;
			}

			_bestPrice = Math.Max(_bestPrice, candle.HighPrice);
			if (TrailDistanceTicks > 0 && _bestPrice - _entryPrice >= trailStart)
				_trailingActive = true;
		}
		else if (Position < 0)
		{
			decimal? stop = InitialStopLossTicks > 0 ? _entryPrice + initialStop : null;
			if (_trailingActive)
				stop = Math.Min(stop ?? decimal.MaxValue, _bestPrice + trailDistance);

			if (stop is decimal s && candle.HighPrice >= s)
			{
				BuyMarket(-Position);
				_entryPrice = 0;
				return;
			}

			_bestPrice = Math.Min(_bestPrice, candle.LowPrice);
			if (TrailDistanceTicks > 0 && _entryPrice - _bestPrice >= trailStart)
				_trailingActive = true;
		}
	}
}