Estratégia RSI

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>
/// RSI threshold-cross reversal strategy.
/// </summary>
public class RsiStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _overSold;
	private readonly StrategyParam<decimal> _overBought;
	private readonly StrategyParam<DataType> _candleType;

	private RelativeStrengthIndex _rsi;
	private decimal? _previousRsi;

	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public decimal OverSold { get => _overSold.Value; set => _overSold.Value = value; }
	public decimal OverBought { get => _overBought.Value; set => _overBought.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RsiStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14).SetGreaterThanZero();
		_overSold = Param(nameof(OverSold), 25m);
		_overBought = Param(nameof(OverBought), 75m);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_rsi = null;
		_previousRsi = null;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		SubscribeCandles(CandleType)
			.Bind(_rsi, (candle, value) =>
			{
				if (candle.State != CandleStates.Finished || !_rsi.IsFormed)
					return;

				if (_previousRsi is decimal previous)
				ApplySignal(GetSignal(previous, value, OverSold, OverBought));

				_previousRsi = value;
			})
			.Start();
	}

	private void ApplySignal(int signal)
	{
		if (signal > 0 && Position <= 0m)
			BuyMarket(Volume + Math.Abs(Position));
		else if (signal < 0 && Position >= 0m)
			SellMarket(Volume + Math.Abs(Position));
	}

	internal static int GetSignal(decimal previous, decimal current, decimal overSold, decimal overBought)
	{
		if (previous <= overSold && current > overSold)
			return 1;

		if (previous >= overBought && current < overBought)
			return -1;

		return 0;
	}
}

import clr

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

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


class rsi_strategy(Strategy):
    def __init__(self):
        super(rsi_strategy, self).__init__()
        self._rsi_length = self.Param("RsiLength", 14).SetGreaterThanZero()
        self._over_sold = self.Param("OverSold", 25.0)
        self._over_bought = self.Param("OverBought", 75.0)
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromMinutes(5)))
        self._rsi = None
        self._previous_rsi = None

    def GetWorkingSecurities(self):
        return [(self.Security, self._candle_type.Value)]

    def OnReseted(self):
        super(rsi_strategy, self).OnReseted()
        self._rsi = None
        self._previous_rsi = None

    def OnStarted2(self, time):
        super(rsi_strategy, self).OnStarted2(time)
        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = int(self._rsi_length.Value)

        def on_candle(candle, value):
            if candle.State != CandleStates.Finished or not self._rsi.IsFormed:
                return
            current = float(value)
            if self._previous_rsi is not None:
                signal = self.get_signal(
                    self._previous_rsi, current,
                    float(self._over_sold.Value), float(self._over_bought.Value))
                if signal > 0 and self.Position <= 0:
                    self.BuyMarket(self.Volume + Math.Abs(self.Position))
                elif signal < 0 and self.Position >= 0:
                    self.SellMarket(self.Volume + Math.Abs(self.Position))
            self._previous_rsi = current

        self.SubscribeCandles(self._candle_type.Value).Bind(self._rsi, on_candle).Start()

    @staticmethod
    def get_signal(previous, current, over_sold, over_bought):
        if previous <= over_sold and current > over_sold:
            return 1
        if previous >= over_bought and current < over_bought:
            return -1
        return 0

    def CreateClone(self):
        return rsi_strategy()