Стратегия «RSI Levels»

using System;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// RSI Levels strategy: RSI oversold/overbought mean reversion.
/// Buys when RSI < 35. Sells when RSI > 65.
/// </summary>
public class RsiLevelsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public RsiLevelsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "RSI period", "Indicators");
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (rsi < 30m && Position <= 0)
		{
			BuyMarket();
		}
		else if (rsi > 70m && Position >= 0)
		{
			SellMarket();
		}
	}
}

import clr

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

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


class rsi_levels_strategy(Strategy):
    def __init__(self):
        super(rsi_levels_strategy, self).__init__()

        self._rsi_period = self.Param("RsiPeriod", 14) \
            .SetDisplay("RSI Period", "RSI period", "Indicators")

        self._rsi = None

    @property
    def rsi_period(self):
        return self._rsi_period.Value

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

    def OnStarted2(self, time):
        super(rsi_levels_strategy, self).OnStarted2(time)

        self._rsi = RelativeStrengthIndex()
        self._rsi.Length = self.rsi_period

        subscription = self.SubscribeCandles(DataType.TimeFrame(TimeSpan.FromHours(1)))
        subscription.Bind(self._rsi, self._process_candle)
        subscription.Start()

    def _process_candle(self, candle, rsi_value):
        if candle.State != CandleStates.Finished:
            return

        if not self._rsi.IsFormed:
            return

        rsi = float(rsi_value)

        if rsi < 30.0 and self.Position <= 0:
            self.BuyMarket()
        elif rsi > 70.0 and self.Position >= 0:
            self.SellMarket()

    def CreateClone(self):
        return rsi_levels_strategy()