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MACD RSI 策略

本策略结合MACD动量与RSI的超买超卖读数。 当两个指标方向一致时，行情延续的可能性更高。 MACD上穿且RSI自超卖区回升时做多；MACD下穿并且RSI从超买区回落时做空。 若进场后指标出现背离，则依据价格百分比止损以限制亏损。

测试表明年均收益约为 130%，该策略在股票市场表现最佳。

细节

  • 入场条件：指标信号
  • 多/空：均可
  • 退出条件：止损或反向信号
  • 止损：是，按百分比
  • 默认值:
    • CandleType = 15分钟
    • StopLossPercent = 2
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
    • RsiPeriod = 14
    • RsiOversold = 30
    • RsiOverbought = 70 RSI低于RsiOversold时预备做多，高于RsiOverbought时预备做空，以最近一次极值为准。之后同方向的MACD交叉确认信号并入场，同时反转相反持仓；每个极值只确认一次交叉。
  • 过滤器:
    • 类别：趋势跟随
    • 方向：双向
    • 指标：MACD, RSI
    • 止损：有
    • 复杂度：中等
    • 时间框架：日内
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中等
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>
/// MACD RSI strategy.
/// RSI falling below RsiOversold arms a long and rising above RsiOverbought arms a short; the latest extreme wins.
/// A MACD cross above its signal line confirms the rise from oversold and goes long, a cross below confirms the fall
/// from overbought and goes short, reversing an opposite position. Each extreme confirms one cross. A percent stop limits the loss.
/// </summary>
public class MacdRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private bool? _prevAbove;
	// The latest RSI extreme not yet confirmed by MACD: 1 oversold, -1 overbought, 0 none.
	private int _zone;

	/// <summary>
	/// Fast EMA period of MACD.
	/// </summary>
	public int MacdFast
	{
		get => _macdFast.Value;
		set => _macdFast.Value = value;
	}

	/// <summary>
	/// Slow EMA period of MACD.
	/// </summary>
	public int MacdSlow
	{
		get => _macdSlow.Value;
		set => _macdSlow.Value = value;
	}

	/// <summary>
	/// Signal line period of MACD.
	/// </summary>
	public int MacdSignal
	{
		get => _macdSignal.Value;
		set => _macdSignal.Value = value;
	}

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

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

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

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public MacdRsiStrategy()
	{
		_macdFast = Param(nameof(MacdFast), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "Fast EMA period of MACD", "MACD");

		_macdSlow = Param(nameof(MacdSlow), 26)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "Slow EMA period of MACD", "MACD");

		_macdSignal = Param(nameof(MacdSignal), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "Signal line period of MACD", "MACD");

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

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "RSI level that arms a long", "RSI");

		_rsiOverbought = Param(nameof(RsiOverbought), 70m)
			.SetDisplay("RSI Overbought", "RSI level that arms a short", "RSI");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();
		_prevAbove = null;
		_zone = 0;
	}

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

		_prevAbove = null;
		_zone = 0;

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFast },
				LongMa = { Length = MacdSlow },
			},
			SignalMa = { Length = MacdSignal }
		};
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

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

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		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 area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, macd);
				DrawIndicator(oscillators, rsi);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		if (rsiValue.IsFormed)
		{
			var rsi = rsiValue.GetValue<decimal>();

			if (rsi < RsiOversold)
				_zone = 1;
			else if (rsi > RsiOverbought)
				_zone = -1;
		}

		if (!macdValue.IsFormed)
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		var isAbove = macd > signal;
		var wasAbove = _prevAbove;
		_prevAbove = isAbove;

		if (wasAbove is not bool was || was == isAbove)
			return;

		var side = isAbove ? 1 : -1;

		// Each extreme confirms one cross.
		if (_zone != side)
			return;

		_zone = 0;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (side > 0 && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (side < 0 && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}