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RSI 回归

该策略认为当RSI达到极端值后价格会回归。RSI跌破下限时买入，升破上限时卖出，RSI回到中值附近离场。阈值可根据市场调整，结合趋势过滤器可避免过早逆势。

测试表明年均收益约为 115%，该策略在股票市场表现最佳。

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:
    • RsiPeriod = 14
    • OversoldThreshold = 30m
    • OverboughtThreshold = 70m
    • ExitLevel = 50m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类型: 均值回归
    • 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>
/// Strategy based on RSI mean reversion.
/// Buys when RSI crosses up from oversold zone, sells when RSI crosses down from overbought.
/// Uses SMA as trend filter.
/// </summary>
public class RsiReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRsi;
	private bool _hasPrevValues;
	private int _cooldown;

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

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

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

	/// <summary>
	/// Initializes a new instance of the <see cref="RsiReversionStrategy"/>.
	/// </summary>
	public RsiReversionStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Period", "Period for RSI calculation", "Indicators")
			.SetOptimize(10, 20, 2);

		_smaPeriod = Param(nameof(SmaPeriod), 50)
			.SetDisplay("SMA Period", "Period for SMA trend filter", "Indicators")
			.SetOptimize(30, 70, 10);

		_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();
		_prevRsi = default;
		_hasPrevValues = default;
		_cooldown = default;
	}

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

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

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (rsiValue == 0 || smaValue == 0)
			return;

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

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevRsi = rsiValue;
			return;
		}

		var price = candle.ClosePrice;

		// RSI crosses up from oversold (30) = buy (mean reversion)
		if (_prevRsi < 30 && rsiValue >= 30 && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			_cooldown = 10;
		}
		// RSI crosses down from overbought (70) = sell (mean reversion)
		else if (_prevRsi > 70 && rsiValue <= 70 && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			_cooldown = 10;
		}

		_prevRsi = rsiValue;
	}
}