RSI アラート戦略

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>
/// RSI alert strategy converted from the original MetaTrader expert advisor.
/// Buys when RSI drops below the oversold threshold and sells when RSI rises above the overbought threshold.
/// </summary>
public class RsiAlertStrategy : Strategy
{
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<DataType> _candleType;

	private RelativeStrengthIndex _rsi;

	/// <summary>
	/// Order volume used for market trades.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set
		{
			_orderVolume.Value = value;
			Volume = value; // Keep the base strategy volume aligned with the parameter value.
		}
	}

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

	/// <summary>
	/// RSI level that triggers short trades.
	/// </summary>
	public decimal OverboughtLevel
	{
		get => _overboughtLevel.Value;
		set => _overboughtLevel.Value = value;
	}

	/// <summary>
	/// RSI level that triggers long trades.
	/// </summary>
	public decimal OversoldLevel
	{
		get => _oversoldLevel.Value;
		set => _oversoldLevel.Value = value;
	}

	/// <summary>
	/// Candle type supplying prices to the RSI indicator.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of <see cref="RsiAlertStrategy"/> with default parameters.
	/// </summary>
	public RsiAlertStrategy()
	{
		_orderVolume = Param(nameof(OrderVolume), 0.01m)
			.SetGreaterThanZero()
			.SetDisplay("Order Volume", "Order size used for market trades", "Trading")
			;

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Number of bars for RSI calculation", "Indicator")
			;

		_overboughtLevel = Param(nameof(OverboughtLevel), 70m)
			.SetDisplay("Overbought Level", "RSI threshold that triggers short signals", "Indicator")
			;

		_oversoldLevel = Param(nameof(OversoldLevel), 30m)
			.SetDisplay("Oversold Level", "RSI threshold that triggers long signals", "Indicator")
			;

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

		Volume = OrderVolume;
	}

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

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

		_rsi = null;
	}

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

		Volume = OrderVolume; // Ensure the strategy uses the configured volume on each start.

		_rsi = new RelativeStrengthIndex
		{
			Length = RsiPeriod
		};

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(_rsi, ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent));

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

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

		var buySignal = rsiValue <= OversoldLevel;
		var sellSignal = rsiValue >= OverboughtLevel;

		if (buySignal && Position == 0)
		{
			BuyMarket();
		}
		else if (sellSignal && Position == 0)
		{
			SellMarket();
		}
	}
}

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, Unit, UnitTypes
from StockSharp.Algo.Indicators import RelativeStrengthIndex
from StockSharp.Algo.Strategies import Strategy

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

        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._rsi_period = self.Param("RsiPeriod", 14)
        self._overbought_level = self.Param("OverboughtLevel", 70.0)
        self._oversold_level = self.Param("OversoldLevel", 30.0)

    @property
    def CandleType(self):
        return self._candle_type.Value

    @CandleType.setter
    def CandleType(self, value):
        self._candle_type.Value = value

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

    @RsiPeriod.setter
    def RsiPeriod(self, value):
        self._rsi_period.Value = value

    @property
    def OverboughtLevel(self):
        return self._overbought_level.Value

    @OverboughtLevel.setter
    def OverboughtLevel(self, value):
        self._overbought_level.Value = value

    @property
    def OversoldLevel(self):
        return self._oversold_level.Value

    @OversoldLevel.setter
    def OversoldLevel(self, value):
        self._oversold_level.Value = value

    def OnReseted(self):
        super(rsi_alert_strategy, self).OnReseted()

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

        rsi = RelativeStrengthIndex()
        rsi.Length = self.RsiPeriod

        subscription = self.SubscribeCandles(self.CandleType)
        subscription.Bind(rsi, self._process_candle).Start()

        self.StartProtection(
            takeProfit=Unit(2, UnitTypes.Percent),
            stopLoss=Unit(1, UnitTypes.Percent))

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

        rsi_val = float(rsi_value)

        buy_signal = rsi_val <= float(self.OversoldLevel)
        sell_signal = rsi_val >= float(self.OverboughtLevel)

        if buy_signal and self.Position == 0:
            self.BuyMarket()
        elif sell_signal and self.Position == 0:
            self.SellMarket()

    def CreateClone(self):
        return rsi_alert_strategy()