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Color Zerolag RVI Strategy

This strategy uses the Relative Vigor Index and its signal line. It buys when the main RVI line crosses below the signal line and sells when the main line crosses above the signal line.

Details

  • Entry Criteria: Cross of RVI and signal line
  • Long/Short: Both
  • Exit Criteria: Opposite signal
  • Stops: No
  • Default Values:
    • RviLength = 14
    • SignalLength = 9
    • BuyOpen = true
    • SellOpen = true
    • BuyClose = true
    • SellClose = true
    • CandleType = 4 hours
  • Filters:
    • Category: Oscillator
    • Direction: Both
    • Indicators: RVI, SMA
    • Stops: No
    • Complexity: Basic
    • Timeframe: Intraday (H4)
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Strategy based on crossing of RVI and its signal line.
/// Buys on RVI crossing above signal, sells on crossing below.
/// </summary>
public class ColorZerolagRviStrategy : Strategy
{
	private readonly StrategyParam<int> _rviLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<DataType> _candleType;

	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 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");
	}

	/// <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;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevRvi = rvi;
		_prevSignal = signal;
	}
}