日本語 JA
GitHub で見る

XAUUSD トレンド戦略

この戦略は EMA クロスオーバー、RSI 極値、Bollinger Bands を使用して XAUUSD を取引します。 速い EMA が遅い EMA を上抜け、RSI が売られすぎ水準を下回り、価格が Bollinger Bands の上限を上回って終値をつけたときにロングポジションを建てます。 ショートポジションは逆の条件で建てます。 リスク管理はポートフォリオのリスク率とテイクプロフィット対ストップロス比率に基づいてストップロスおよびテイクプロフィット水準を設定します。

詳細

  • エントリー:
    • ロング: 速い EMA が遅い EMA を上抜け、RSI < oversold、close > 上限バンド。
    • ショート: 速い EMA が遅い EMA を下抜け、RSI > overbought、close < 下限バンド。
  • エグジット: リスク設定から計算されたストップロスまたはテイクプロフィット。
  • インジケーター: EMA、RSI、Bollinger Bands。
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// XAUUSD trend strategy using dual EMA crossover, RSI filter, and Bollinger band breakout.
/// Uses StdDev-based stops and take-profit levels.
/// </summary>
public class XauusdTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _emaShort;
	private readonly StrategyParam<int> _emaLong;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _stopPct;
	private readonly StrategyParam<decimal> _tpRiskRatio;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _stopPrice;
	private decimal _takePrice;
	private decimal _entryPrice;

	public int EmaShort { get => _emaShort.Value; set => _emaShort.Value = value; }
	public int EmaLong { get => _emaLong.Value; set => _emaLong.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public decimal RsiOverbought { get => _rsiOverbought.Value; set => _rsiOverbought.Value = value; }
	public decimal RsiOversold { get => _rsiOversold.Value; set => _rsiOversold.Value = value; }
	public decimal StopPct { get => _stopPct.Value; set => _stopPct.Value = value; }
	public decimal TpRiskRatio { get => _tpRiskRatio.Value; set => _tpRiskRatio.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public XauusdTrendStrategy()
	{
		_emaShort = Param(nameof(EmaShort), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Short", "Fast EMA period", "Indicators");

		_emaLong = Param(nameof(EmaLong), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Long", "Slow EMA period", "Indicators");

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

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

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "Oversold level", "Indicators");

		_stopPct = Param(nameof(StopPct), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Stop %", "Stop loss percent", "Risk");

		_tpRiskRatio = Param(nameof(TpRiskRatio), 2m)
			.SetGreaterThanZero()
			.SetDisplay("TP/SL Ratio", "Take profit to stop ratio", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_stopPrice = 0;
		_takePrice = 0;
		_entryPrice = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var emaFast = new ExponentialMovingAverage { Length = EmaShort };
		var emaSlow = new ExponentialMovingAverage { Length = EmaLong };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var stdDev = new StandardDeviation { Length = 20 };

		_stopPrice = 0;
		_takePrice = 0;
		_entryPrice = 0;

		var sub = SubscribeCandles(CandleType);
		sub.Bind(emaFast, emaSlow, rsi, stdDev, ProcessCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, sub);
			DrawIndicator(area, emaFast);
			DrawIndicator(area, emaSlow);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal emaFastVal, decimal emaSlowVal, decimal rsiVal, decimal stdVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// TP/SL management
		if (Position > 0 && _entryPrice > 0)
		{
			if (candle.ClosePrice <= _stopPrice || candle.ClosePrice >= _takePrice)
			{
				SellMarket();
				_entryPrice = 0;
				return;
			}
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (candle.ClosePrice >= _stopPrice || candle.ClosePrice <= _takePrice)
			{
				BuyMarket();
				_entryPrice = 0;
				return;
			}
		}

		if (stdVal <= 0)
			return;

		// EMA trend + RSI filter + price above/below band
		var upperBand = emaSlowVal + 2m * stdVal;
		var lowerBand = emaSlowVal - 2m * stdVal;

		var longCond = emaFastVal > emaSlowVal && rsiVal < RsiOversold;
		var shortCond = emaFastVal < emaSlowVal && rsiVal > RsiOverbought;

		if (longCond && Position <= 0)
		{
			BuyMarket();
			_entryPrice = candle.ClosePrice;
			var sl = _entryPrice * StopPct / 100m;
			_stopPrice = _entryPrice - sl;
			_takePrice = _entryPrice + sl * TpRiskRatio;
		}
		else if (shortCond && Position >= 0)
		{
			SellMarket();
			_entryPrice = candle.ClosePrice;
			var sl = _entryPrice * StopPct / 100m;
			_stopPrice = _entryPrice + sl;
			_takePrice = _entryPrice - sl * TpRiskRatio;
		}
	}
}