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Rsi Supertrend Strategy 策略 (中文)

该文档的中文版本尚未完成，详细说明请参阅英文版 README.md。

测试表明年均收益约为 112%，该策略在外汇市场表现最佳。

using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on RSI and Supertrend indicators.
/// Enters long when RSI is oversold (< 30) and price is above Supertrend
/// Enters short when RSI is overbought (> 70) and price is below Supertrend
/// </summary>
public class RsiSupertrendStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	
	// Custom Supertrend indicator
	private AverageTrueRange _atr;
	private decimal _upValue;
	private decimal _downValue;
	private decimal _currentTrend;
	private decimal _prevUpValue;
	private decimal _prevDownValue;
	private decimal _prevClose;
	private bool _isFirstValue = true;

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

	/// <summary>
	/// Supertrend ATR period
	/// </summary>
	public int SupertrendPeriod
	{
		get => _supertrendPeriod.Value;
		set => _supertrendPeriod.Value = value;
	}

	/// <summary>
	/// Supertrend ATR multiplier
	/// </summary>
	public decimal SupertrendMultiplier
	{
		get => _supertrendMultiplier.Value;
		set => _supertrendMultiplier.Value = value;
	}

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

	/// <summary>
	/// Constructor
	/// </summary>
	public RsiSupertrendStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period for RSI indicator", "Indicators")
			
			.SetOptimize(10, 20, 2);

		_supertrendPeriod = Param(nameof(SupertrendPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Period", "ATR period for Supertrend", "Indicators")
			
			.SetOptimize(7, 14, 1);

		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 3.0m)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Multiplier", "ATR multiplier for Supertrend", "Indicators")
			
			.SetOptimize(2.0m, 4.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for strategy", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		// Reset state variables
		_atr = null;
		_isFirstValue = true;
		_currentTrend = 1;
		_downValue = 0;
		_prevUpValue = 0;
		_prevDownValue = 0;
		_prevClose = 0;
		_upValue = 0;
	}

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

		// Create RSI indicator
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		// Create ATR indicator for Supertrend calculation
		_atr = new AverageTrueRange { Length = SupertrendPeriod };
		
		// Enable using Supertrend as a dynamic stop-loss
		// We'll implement our own stop management based on Supertrend

		// Subscribe to candles and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(rsi, _atr, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			
			// Separate area for RSI
			var rsiArea = CreateChartArea();
			if (rsiArea != null)
			{
				DrawIndicator(rsiArea, rsi);
			}
			
			// Note: We'll manually draw Supertrend lines in ProcessCandle method
			
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal rsiValue, decimal atrValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;
		
		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Calculate Supertrend
		var closePrice = candle.ClosePrice;
		var highPrice = candle.HighPrice;
		var lowPrice = candle.LowPrice;
		
		// Basic bands calculation
		var basicUpperBand = (highPrice + lowPrice) / 2 + SupertrendMultiplier * atrValue;
		var basicLowerBand = (highPrice + lowPrice) / 2 - SupertrendMultiplier * atrValue;
		
		if (_isFirstValue)
		{
			// Initialize values for the first candle
			_upValue = basicUpperBand;
			_downValue = basicLowerBand;
			_prevUpValue = _upValue;
			_prevDownValue = _downValue;
			_prevClose = closePrice;
			_isFirstValue = false;
			return;
		}
		
		// Calculate final upper and lower bands
		_upValue = basicUpperBand;
		if (_upValue < _prevUpValue || _prevClose > _prevUpValue)
			_upValue = _prevUpValue;
		
		_downValue = basicLowerBand;
		if (_downValue > _prevDownValue || _prevClose < _prevDownValue)
			_downValue = _prevDownValue;
		
		// Determine trend direction
		var prevTrend = _currentTrend;
		
		if (_prevClose <= _prevUpValue)
			_currentTrend = -1; // Downtrend
		
		if (_prevClose >= _prevDownValue)
			_currentTrend = 1; // Uptrend
		
		// Store values for next iteration
		_prevUpValue = _upValue;
		_prevDownValue = _downValue;
		_prevClose = closePrice;
		
		// Get Supertrend value based on current trend
		var supertrendValue = _currentTrend == 1 ? _downValue : _upValue;
		
		// Trading logic
		var isTrendChange = prevTrend != _currentTrend;
		
		// Long condition: RSI oversold and price above Supertrend
		if (rsiValue < 30 && _currentTrend == 1 && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			
			// Note: We're using Supertrend as our stop-loss level,
			// so we don't need to set a separate stop-loss order
		}
		// Short condition: RSI overbought and price below Supertrend
		else if (rsiValue > 70 && _currentTrend == -1 && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
		}
		// Exit conditions - based on Supertrend direction change
		else if (isTrendChange)
		{
			if (_currentTrend == -1 && Position > 0)
			{
				// Trend changed to down - exit long
				SellMarket(Position);
			}
			else if (_currentTrend == 1 && Position < 0)
			{
				// Trend changed to up - exit short
				BuyMarket(Math.Abs(Position));
			}
		}
	}
}