RSI RFTL 戦略

namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// RSI-based trend strategy with a simple recursive filter (EMA) as trend confirmation.
/// Buys when RSI crosses above oversold level and EMA confirms uptrend.
/// Sells when RSI crosses below overbought level and EMA confirms downtrend.
/// </summary>
public class RsiRftlStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<decimal> _overbought;
	private readonly StrategyParam<decimal> _oversold;

	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _ema;

	private decimal _prevRsi;
	private decimal _entryPrice;
	private int _cooldown;

	/// <summary>
	/// RSI lookback period.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	/// <summary>
	/// EMA period for trend filter.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Overbought RSI level.
	/// </summary>
	public decimal Overbought
	{
		get => _overbought.Value;
		set => _overbought.Value = value;
	}

	/// <summary>
	/// Oversold RSI level.
	/// </summary>
	public decimal Oversold
	{
		get => _oversold.Value;
		set => _oversold.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the strategy.
	/// </summary>
	public RsiRftlStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Length of the RSI oscillator", "Indicator");

		_emaPeriod = Param(nameof(EmaPeriod), 44)
			.SetGreaterThanZero()
			.SetDisplay("EMA Period", "Length of the trend EMA filter", "Indicator");

		_overbought = Param(nameof(Overbought), 75m)
			.SetDisplay("Overbought", "RSI overbought level", "Levels");

		_oversold = Param(nameof(Oversold), 25m)
			.SetDisplay("Oversold", "RSI oversold level", "Levels");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

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

		_rsi = null;
		_ema = null;
		_prevRsi = 0;
		_entryPrice = 0;
		_cooldown = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_ema = new ExponentialMovingAverage { Length = EmaPeriod };

		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_rsi, _ema, OnProcess);
		subscription.Start();
	}

	private void OnProcess(ICandleMessage candle, decimal rsiValue, decimal emaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_rsi.IsFormed || !_ema.IsFormed)
		{
			_prevRsi = rsiValue;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevRsi = rsiValue;
			return;
		}

		var close = candle.ClosePrice;
		var trendUp = close > emaValue;
		var trendDown = close < emaValue;

		// Buy: RSI crosses above oversold + uptrend
		if (_prevRsi < Oversold && rsiValue >= Oversold && trendUp && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();

			BuyMarket();
			_entryPrice = close;
			_cooldown = 10;
		}
		// Sell: RSI crosses below overbought + downtrend
		else if (_prevRsi > Overbought && rsiValue <= Overbought && trendDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket();

			SellMarket();
			_entryPrice = close;
			_cooldown = 10;
		}

		// Exit long on overbought
		if (Position > 0 && rsiValue > 80m)
		{
			SellMarket();
			_entryPrice = 0;
			_cooldown = 10;
		}
		// Exit short on oversold
		else if (Position < 0 && rsiValue < 20m)
		{
			BuyMarket();
			_entryPrice = 0;
			_cooldown = 10;
		}

		_prevRsi = rsiValue;
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import RelativeStrengthIndex, ExponentialMovingAverage
from StockSharp.Algo.Strategies import Strategy


class rsi_rftl_strategy(Strategy):
    def __init__(self):
        super(rsi_rftl_strategy, self).__init__()

        self._rsi_period = self.Param("RsiPeriod", 14) \
            .SetDisplay("RSI Period", "Length of the RSI oscillator", "Indicator")
        self._ema_period = self.Param("EmaPeriod", 44) \
            .SetDisplay("EMA Period", "Length of the trend EMA filter", "Indicator")
        self._overbought = self.Param("Overbought", 75.0) \
            .SetDisplay("Overbought", "RSI overbought level", "Levels")
        self._oversold = self.Param("Oversold", 25.0) \
            .SetDisplay("Oversold", "RSI oversold level", "Levels")

        self._rsi = None
        self._ema = None
        self._prev_rsi = 0.0
        self._entry_price = 0.0
        self._cooldown = 0

    @property
    def rsi_period(self):
        return self._rsi_period.Value

    @property
    def ema_period(self):
        return self._ema_period.Value

    @property
    def overbought(self):
        return self._overbought.Value

    @property
    def oversold(self):
        return self._oversold.Value

    def OnReseted(self):
        super(rsi_rftl_strategy, self).OnReseted()
        self._rsi = None
        self._ema = None
        self._prev_rsi = 0.0
        self._entry_price = 0.0
        self._cooldown = 0

    def OnStarted2(self, time):
        super(rsi_rftl_strategy, self).OnStarted2(time)

        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = self.rsi_period
        self._ema = ExponentialMovingAverage()
        self._ema.Length = self.ema_period

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        subscription.Bind(self._rsi, self._ema, self._process_candle)
        subscription.Start()

    def _process_candle(self, candle, rsi_value, ema_value):
        if candle.State != CandleStates.Finished:
            return

        rsi_val = float(rsi_value)
        ema_val = float(ema_value)

        if not self._rsi.IsFormed or not self._ema.IsFormed:
            self._prev_rsi = rsi_val
            return

        if self._cooldown > 0:
            self._cooldown -= 1
            self._prev_rsi = rsi_val
            return

        close = float(candle.ClosePrice)
        trend_up = close > ema_val
        trend_down = close < ema_val
        ob = float(self.overbought)
        os_level = float(self.oversold)

        # Buy: RSI crosses above oversold + uptrend
        if self._prev_rsi < os_level and rsi_val >= os_level and trend_up and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
            self._entry_price = close
            self._cooldown = 10

        # Sell: RSI crosses below overbought + downtrend
        elif self._prev_rsi > ob and rsi_val <= ob and trend_down and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
            self._entry_price = close
            self._cooldown = 10

        # Exit long on strong overbought
        if self.Position > 0 and rsi_val > 80.0:
            self.SellMarket()
            self._entry_price = 0.0
            self._cooldown = 10
        # Exit short on strong oversold
        elif self.Position < 0 and rsi_val < 20.0:
            self.BuyMarket()
            self._entry_price = 0.0
            self._cooldown = 10

        self._prev_rsi = rsi_val

    def CreateClone(self):
        return rsi_rftl_strategy()