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Прорыв наклона RSI

Стратегия RSI Slope Breakout отслеживает скорость изменения индекса относительной силы. Необычно крутой наклон свидетельствует о начале нового тренда.

Тестирование показывает среднегодичную доходность около 136%. Стратегию лучше запускать на фондовом рынке.

Сделка открывается, когда наклон превышает свой типичный уровень на несколько стандартных отклонений и выполняется в направлении ускорения с защитным стопом.

Стратегия предназначена для активных трейдеров, стремящихся рано войти в тренд. Позиции закрываются, когда наклон возвращается к нормальным значениям. Значение по умолчанию RsiPeriod = 14.

Подробности

  • Условие входа: Индикатор превышает среднее значение на величину коэффициента отклонения.
  • Лонг/Шорт: Оба направления.
  • Условие выхода: Индикатор возвращается к среднему.
  • Стопы: Да.
  • Значения по умолчанию:
    • RsiPeriod = 14
    • LookbackPeriod = 20
    • DeviationMultiplier = 2m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Фильтры:
    • Категория: Прорыв
    • Направление: Оба
    • Индикаторы: RSI
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Краткосрочный
    • Сезонность: Нет
    • Нейронные сети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
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>
/// Strategy based on RSI (Relative Strength Index) Slope breakout
/// Enters positions when the slope of RSI exceeds average slope plus a multiple of standard deviation
/// </summary>
public class RsiSlopeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private RelativeStrengthIndex _rsi;
	
	private decimal _prevRsiValue;
	private decimal _currentSlope;
	private decimal _avgSlope;
	private decimal _stdDevSlope;
	private decimal[] _slopes;
	private int _currentIndex;
	private bool _isInitialized;

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

	/// <summary>
	/// Lookback period for slope statistics calculation
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for breakout detection
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

	/// <summary>
	/// Candle type
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Stop loss percentage
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Constructor
	/// </summary>
	public RsiSlopeBreakoutStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period for RSI indicator", "Indicator Parameters")
			
			.SetOptimize(7, 21, 7);

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for slope statistics calculation", "Strategy Parameters")
			
			.SetOptimize(10, 50, 5);

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Standard deviation multiplier for breakout detection", "Strategy Parameters")
			
			.SetOptimize(1m, 3m, 0.5m);
			
		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsiValue = 0;
		_currentSlope = 0;
		_avgSlope = 0;
		_stdDevSlope = 0;
		_currentIndex = 0;
		_isInitialized = false;
		_slopes = new decimal[LookbackPeriod];
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		
		_slopes = new decimal[LookbackPeriod];

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_rsi, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _rsi);
			DrawOwnTrades(area);
		}

		// Set up position protection
		StartProtection(
			takeProfit: null, // We'll handle exits via strategy logic
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
		);

		base.OnStarted2(time);
	}

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

		// Check if indicator is formed
		if (!_rsi.IsFormed)
			return;

		// Initialize on first valid value
		if (!_isInitialized)
		{
			_prevRsiValue = rsiValue;
			_isInitialized = true;
			return;
		}
		
		// Calculate current RSI slope (difference between current and previous RSI values)
		_currentSlope = rsiValue - _prevRsiValue;
		
		// Store slope in array and update index
		_slopes[_currentIndex] = _currentSlope;
		_currentIndex = (_currentIndex + 1) % LookbackPeriod;
		
		// Calculate statistics once we have enough data
		if (!IsFormedAndOnlineAndAllowTrading())
			return;
			
		CalculateStatistics();
		
		// Trading logic
		if (Math.Abs(_avgSlope) > 0)  // Avoid division by zero
		{
			// Long signal: RSI slope exceeds average + k*stddev (slope is positive and we don't have a long position)
			if (_currentSlope > 0 && 
				_currentSlope > _avgSlope + DeviationMultiplier * _stdDevSlope && 
				Position <= 0)
			{
				// Cancel existing orders
				CancelActiveOrders();
				
				// Enter long position
				var volume = Volume + Math.Abs(Position);
				BuyMarket(volume);
				
				LogInfo($"Long signal: RSI Slope {_currentSlope} > Avg {_avgSlope} + {DeviationMultiplier}*StdDev {_stdDevSlope}");
			}
			// Short signal: RSI slope exceeds average + k*stddev in negative direction (slope is negative and we don't have a short position)
			else if (_currentSlope < 0 && 
					 _currentSlope < _avgSlope - DeviationMultiplier * _stdDevSlope && 
					 Position >= 0)
			{
				// Cancel existing orders
				CancelActiveOrders();
				
				// Enter short position
				var volume = Volume + Math.Abs(Position);
				SellMarket(volume);
				
				LogInfo($"Short signal: RSI Slope {_currentSlope} < Avg {_avgSlope} - {DeviationMultiplier}*StdDev {_stdDevSlope}");
			}
			
			// Exit conditions - when slope returns to average
			if (Position > 0 && _currentSlope < _avgSlope)
			{
				// Exit long position
				SellMarket(Math.Abs(Position));
				LogInfo($"Exit long: RSI Slope {_currentSlope} < Avg {_avgSlope}");
			}
			else if (Position < 0 && _currentSlope > _avgSlope)
			{
				// Exit short position
				BuyMarket(Math.Abs(Position));
				LogInfo($"Exit short: RSI Slope {_currentSlope} > Avg {_avgSlope}");
			}
		}
		
		// Store current RSI value for next slope calculation
		_prevRsiValue = rsiValue;
	}
	
	private void CalculateStatistics()
	{
		// Reset statistics
		_avgSlope = 0;
		decimal sumSquaredDiffs = 0;
		
		// Calculate average slope
		for (int i = 0; i < LookbackPeriod; i++)
		{
			_avgSlope += _slopes[i];
		}
		_avgSlope /= LookbackPeriod;
		
		// Calculate standard deviation of slopes
		for (int i = 0; i < LookbackPeriod; i++)
		{
			decimal diff = _slopes[i] - _avgSlope;
			sumSquaredDiffs += diff * diff;
		}
		
		_stdDevSlope = (decimal)Math.Sqrt((double)(sumSquaredDiffs / LookbackPeriod));
	}
}