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Laguerre RSI

该策略使用平滑的Laguerre RSI，减少传统RSI的噪音。当Laguerre值从超卖区向上穿越时买入，从超买区向下穿越时卖出，回到中值附近离场。平滑处理可避免普通RSI在震荡市频繁给出假信号，适合捕捉日内波段。

测试表明年均收益约为 109%，该策略在加密市场表现最佳。

详情

  • 入场条件: 基于 RSI 的信号
  • 多空方向: 双向
  • 退出条件: 反向信号或止损
  • 止损: 是
  • 默认值:
    • Gamma = 0.7m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类型: 趋势
    • 方向: 双向
    • 指标: RSI
    • 止损: 是
    • 复杂度: 基础
    • 时间框架: 日内 (5m)
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险等级: 中
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>
/// Native four-stage Laguerre RSI crossings with midpoint exits and actual-fill percent protection.
/// </summary>
public class LaguerreRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _gamma;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevRsi;
	private bool _hasPrevValues;
	private Order _pendingOrder;

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

	public decimal Gamma { get => _gamma.Value; set => _gamma.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }

	/// <summary>
	/// Initializes a new instance of the <see cref="LaguerreRsiStrategy"/>.
	/// </summary>
	public LaguerreRsiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_gamma = Param(nameof(Gamma), 0.7m).SetRange(0.000001m, 0.999999m)
			.SetDisplay("Gamma", "Four-stage Laguerre smoothing coefficient.", "Indicators");
		_stopLossPercent = Param(nameof(StopLossPercent), 2m).SetNotNegative()
			.SetDisplay("Stop Loss (%)", "Actual-fill percent stop; zero disables it.", "Protection");
		OrderRegistering += order => _pendingOrder = order;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType), (Security, DataType.Level1)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = default;
		_hasPrevValues = default;
		_pendingOrder = null;
	}

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

		var rsi = new LaguerreRSI { Gamma = Gamma };
		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// Native protection runs before the callback, including between finished candles.
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_hasPrevValues)
		{
			_hasPrevValues = true;
			_prevRsi = rsiValue;
			return;
		}

		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
		{
			_prevRsi = rsiValue;
			return;
		}

		// RSI crosses up from oversold (30) - buy
		if (_prevRsi < 30 && rsiValue >= 30 && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
		}
		// RSI crosses down from overbought (70) - sell
		else if (_prevRsi > 70 && rsiValue <= 70 && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
		}
		else if (Position > 0m && rsiValue >= 50m)
			SellMarket(Position);
		else if (Position < 0m && rsiValue <= 50m)
			BuyMarket(Math.Abs(Position));

		_prevRsi = rsiValue;
	}
}