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Larry Connors RSI 3

Стратегия возврата к среднему на основе правил RSI Ларри Коннорса.

Стратегия покупает, когда цена выше 200-периодной SMA и RSI(2) падает три дня подряд от значения выше порога до зоны перепроданности. Позиция закрывается, когда RSI поднимается выше уровня перекупленности.

Детали

  • Условия входа: Закрытие выше SMA и 2-периодный RSI, падающий три дня от уровня выше триггера в перепроданность.
  • Длинные/короткие: Только лонг.
  • Условия выхода: RSI выше уровня перекупленности.
  • Стопы: Нет.
  • Значения по умолчанию:
    • RsiPeriod = 2
    • SmaPeriod = 200
    • DropTrigger = 60m
    • OversoldLevel = 10m
    • OverboughtLevel = 70m
    • CandleType = TimeSpan.FromDays(1)
  • Фильтры:
    • Категория: Mean Reversion
    • Направление: Лонг
    • Индикаторы: RSI, SMA
    • Стопы: Нет
    • Сложность: Базовая
    • Таймфрейм: Дневной
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Низкий
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 Connors RSI 3 strategy.
/// Combines a long-term trend filter with short-term RSI exhaustion.
/// </summary>
public class LarryConnorsRsi3Strategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<decimal> _dropTrigger;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<int> _maxEntries;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _rsiPrev1;
	private decimal _rsiPrev2;
	private int _entriesExecuted;
	private int _barsSinceSignal;

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

	/// <summary>
	/// SMA period.
	/// </summary>
	public int SmaPeriod
	{
		get => _smaPeriod.Value;
		set => _smaPeriod.Value = value;
	}

	/// <summary>
	/// RSI trigger level for drop start.
	/// </summary>
	public decimal DropTrigger
	{
		get => _dropTrigger.Value;
		set => _dropTrigger.Value = value;
	}

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

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

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

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

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

	/// <summary>
	/// Initializes a new instance of <see cref="LarryConnorsRsi3Strategy"/>.
	/// </summary>
	public LarryConnorsRsi3Strategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 2)
			.SetDisplay("RSI Period", "Period for RSI calculation", "Indicators")
			
			.SetOptimize(2, 5, 1);

		_smaPeriod = Param(nameof(SmaPeriod), 50)
			.SetDisplay("SMA Period", "Period for trend SMA", "Indicators")

			.SetOptimize(50, 300, 50);

		_dropTrigger = Param(nameof(DropTrigger), 20m)
			.SetDisplay("Drop Trigger", "RSI level required before drop", "Strategy")

			.SetOptimize(50m, 70m, 5m);

		_oversoldLevel = Param(nameof(OversoldLevel), 50m)
			.SetDisplay("Oversold Level", "RSI oversold threshold", "Strategy")

			.SetOptimize(5m, 20m, 1m);

		_overboughtLevel = Param(nameof(OverboughtLevel), 70m)
			.SetDisplay("Overbought Level", "RSI exit threshold", "Strategy")
			
			.SetOptimize(60m, 80m, 5m);

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

		_cooldownBars = Param(nameof(CooldownBars), 20)
			.SetDisplay("Cooldown Bars", "Minimum bars between orders", "Risk");

		_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();
		_rsiPrev1 = 0m;
		_rsiPrev2 = 0m;
		_entriesExecuted = 0;
		_barsSinceSignal = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_entriesExecuted = 0;
		_barsSinceSignal = CooldownBars;

		var sma = new SimpleMovingAverage { Length = SmaPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

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

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

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

		_barsSinceSignal++;

		var condition3 = rsiValue > 0 && rsiValue < OversoldLevel;

		if (condition3 && Position <= 0 && _entriesExecuted < MaxEntries && _barsSinceSignal >= CooldownBars)
		{
			BuyMarket();
			_entriesExecuted++;
			_barsSinceSignal = 0;
		}
		else if (rsiValue > OverboughtLevel && Position > 0)
		{
			SellMarket();
			_barsSinceSignal = 0;
		}

		_rsiPrev2 = _rsiPrev1;
		_rsiPrev1 = rsiValue;
	}
}