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Стратегия Larry Conners Vix Reversal II

Стратегия торгует на основе RSI индекса VIX. Длинная позиция открывается, когда RSI VIX пересекает уровень перекупленности снизу вверх. Короткая позиция открывается, когда RSI пересекает уровень перепроданности сверху вниз. Позиции закрываются после удержания не менее заданного числа дней.

Подробности

  • Условия входа:
    • Long: RSI(VIX) пересекает уровень Overbought level снизу вверх.
    • Short: RSI(VIX) пересекает уровень Oversold level сверху вниз.
  • Направление: Обе стороны.
  • Условия выхода: Закрытие позиции после Min holding days до Max holding days.
  • Стопы: Нет.
  • Значения по умолчанию:
    • RSI period = 25
    • Overbought level = 61
    • Oversold level = 42
    • Min holding days = 7
    • Max holding days = 12
  • Фильтры:
    • Категория: Средняя обратка
    • Направление: Обе
    • Индикаторы: RSI
    • Стопы: Нет
    • Сложность: Низкая
    • Таймфрейм: Дневной
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
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>
/// Larry Conners VIX Reversal II strategy based on VIX RSI.
/// </summary>
public class LarryConnersVixReversalIIStrategy : Strategy
{
	private readonly StrategyParam<Security> _vix;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _overbought;
	private readonly StrategyParam<int> _oversold;
	private readonly StrategyParam<int> _minHolding;
	private readonly StrategyParam<int> _maxHolding;
	private readonly StrategyParam<int> _maxEntries;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private RelativeStrengthIndex _rsi;
	private decimal _prevRsi;
	private int _holdingDays;
	private int _entriesExecuted;
	private int _barsSinceSignal;

	/// <summary>
	/// VIX security used for RSI calculation.
	/// </summary>
	public Security Vix
	{
		get => _vix.Value;
		set => _vix.Value = value;
	}

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

	/// <summary>
	/// RSI overbought level.
	/// </summary>
	public int OverboughtLevel
	{
		get => _overbought.Value;
		set => _overbought.Value = value;
	}

	/// <summary>
	/// RSI oversold level.
	/// </summary>
	public int OversoldLevel
	{
		get => _oversold.Value;
		set => _oversold.Value = value;
	}

	/// <summary>
	/// Minimum holding bars.
	/// </summary>
	public int MinHoldingDays
	{
		get => _minHolding.Value;
		set => _minHolding.Value = value;
	}

	/// <summary>
	/// Maximum holding bars.
	/// </summary>
	public int MaxHoldingDays
	{
		get => _maxHolding.Value;
		set => _maxHolding.Value = value;
	}

	/// <summary>
	/// Maximum entries per run.
	/// </summary>
	public int MaxEntries
	{
		get => _maxEntries.Value;
		set => _maxEntries.Value = value;
	}

	/// <summary>
	/// Minimum bars between entries.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	public LarryConnersVixReversalIIStrategy()
	{
		_vix = Param<Security>(nameof(Vix), null)
			.SetDisplay("VIX Security", "VIX symbol", "Universe");

		_rsiPeriod = Param(nameof(RsiPeriod), 25)
			.SetDisplay("RSI Period", "RSI length", "Parameters");

		_overbought = Param(nameof(OverboughtLevel), 61)
			.SetDisplay("Overbought Level", "RSI overbought level", "Parameters");

		_oversold = Param(nameof(OversoldLevel), 42)
			.SetDisplay("Oversold Level", "RSI oversold level", "Parameters");

		_minHolding = Param(nameof(MinHoldingDays), 7)
			.SetDisplay("Min Holding Days", "Minimum holding period", "Risk Management");

		_maxHolding = Param(nameof(MaxHoldingDays), 12)
			.SetDisplay("Max Holding Days", "Maximum holding period", "Risk Management");

		_maxEntries = Param(nameof(MaxEntries), 45)
			.SetDisplay("Max Entries", "Maximum entries per run", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 240)
			.SetDisplay("Cooldown Bars", "Minimum bars between entries", "Risk Management");

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

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security == null || Vix == null)
			throw new InvalidOperationException("Securities must be set.");

		yield return (Security, CandleType);
		yield return (Vix, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_rsi = null;
		_prevRsi = 0m;
		_holdingDays = 0;
		_entriesExecuted = 0;
		_barsSinceSignal = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_prevRsi = 0m;
		_holdingDays = 0;
		_entriesExecuted = 0;
		_barsSinceSignal = CooldownBars;

		SubscribeCandles(CandleType, true, Security).Start();
		SubscribeCandles(CandleType, true, Vix)
			.Bind(_rsi, ProcessVix)
			.Start();
	}

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

		_barsSinceSignal++;

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

		if (_holdingDays > 0)
		{
			_holdingDays++;

			if (_holdingDays >= MinHoldingDays && _holdingDays >= MaxHoldingDays)
			{
				if (Position > 0)
					SellMarket(Math.Abs(Position));
				else if (Position < 0)
					BuyMarket(Math.Abs(Position));

				_holdingDays = 0;
				_barsSinceSignal = 0;
			}
		}

		var crossOver = _prevRsi < OverboughtLevel && rsiValue >= OverboughtLevel;
		var crossUnder = _prevRsi > OversoldLevel && rsiValue <= OversoldLevel;

		if (_holdingDays == 0 && _entriesExecuted < MaxEntries && _barsSinceSignal >= CooldownBars)
		{
			if (crossOver && Position <= 0)
			{
				BuyMarket();
				_holdingDays = 1;
				_entriesExecuted++;
				_barsSinceSignal = 0;
			}
			else if (crossUnder && Position >= 0)
			{
				SellMarket();
				_holdingDays = 1;
				_entriesExecuted++;
				_barsSinceSignal = 0;
			}
		}

		_prevRsi = rsiValue;
	}
}