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Color Zerolag RVI戦略

この戦略は相対活力指数（RVI）とそのシグナルラインを使用します。 RVIのメインラインがシグナルラインを下向きに突き抜けたときに買いエントリーし、メインラインがシグナルラインを上向きに突き抜けたときに売りエントリーします。

詳細

  • エントリー条件: RVIとシグナルラインのクロス
  • ロング/ショート: 両方
  • エグジット条件: 反対のシグナル
  • ストップ: いいえ
  • デフォルト値:
    • RviLength = 14
    • SignalLength = 9
    • BuyOpen = true
    • SellOpen = true
    • BuyClose = true
    • SellClose = true
    • CandleType = 4時間
  • フィルター:
    • カテゴリ: オシレーター
    • 方向: 両方
    • インジケーター: RVI, SMA
    • ストップ: いいえ
    • 複雑さ: 基本
    • 時間軸: イントラデイ (H4)
    • 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>
/// Trades the documented inverse RVI/signal-line cross, with separate entry/exit permissions.
/// </summary>
public class ColorZerolagRviStrategy : Strategy
{
	private readonly StrategyParam<int> _rviLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<bool> _buyOpen;
	private readonly StrategyParam<bool> _buyClose;
	private readonly StrategyParam<bool> _sellOpen;
	private readonly StrategyParam<bool> _sellClose;

	private decimal? _prevRvi;
	private decimal? _prevSignal;

	public int RviLength { get => _rviLength.Value; set => _rviLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public bool BuyOpen { get => _buyOpen.Value; set => _buyOpen.Value = value; }
	public bool BuyClose { get => _buyClose.Value; set => _buyClose.Value = value; }
	public bool SellOpen { get => _sellOpen.Value; set => _sellOpen.Value = value; }
	public bool SellClose { get => _sellClose.Value; set => _sellClose.Value = value; }

	public ColorZerolagRviStrategy()
	{
		_rviLength = Param(nameof(RviLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RVI Length", "RVI calculation period", "Indicator");

		_signalLength = Param(nameof(SignalLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "RVI signal line period", "Indicator");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_buyOpen = Param(nameof(BuyOpen), true)
			.SetDisplay("Buy Open", "Allow long entries", "Trading");
		_buyClose = Param(nameof(BuyClose), true)
			.SetDisplay("Buy Close", "Close longs on a sell signal", "Trading");
		_sellOpen = Param(nameof(SellOpen), true)
			.SetDisplay("Sell Open", "Allow short entries", "Trading");
		_sellClose = Param(nameof(SellClose), true)
			.SetDisplay("Sell Close", "Close shorts on a buy signal", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRvi = null;
		_prevSignal = null;
	}

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

		var rvi = new RelativeVigorIndex();
		rvi.Average.Length = RviLength;
		rvi.Signal.Length = SignalLength;

		SubscribeCandles(CandleType)
			.BindEx(rvi, ProcessCandle)
			.Start();
	}

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

		var value = (IRelativeVigorIndexValue)rviValue;
		if (value.Average is not decimal rvi || value.Signal is not decimal signal)
			return;

		if (_prevRvi is null || _prevSignal is null)
		{
			_prevRvi = rvi;
			_prevSignal = signal;
			return;
		}

		var crossUp = _prevRvi < _prevSignal && rvi > signal;
		var crossDown = _prevRvi > _prevSignal && rvi < signal;

		// Downward RVI crossover is the documented buy signal; upward is sell.
		// A disabled opposite-position close also suppresses opening the reverse
		// side, preventing an accidental netting trade.
		if (crossDown)
		{
			var position = Position;
			if (position < 0 && SellClose)
				BuyMarket(-position);
			if (BuyOpen && (position == 0 || (position < 0 && SellClose)))
				BuyMarket(Volume);
		}
		else if (crossUp)
		{
			var position = Position;
			if (position > 0 && BuyClose)
				SellMarket(position);
			if (SellOpen && (position == 0 || (position > 0 && BuyClose)))
				SellMarket(Volume);
		}

		_prevRvi = rvi;
		_prevSignal = signal;
	}
}