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RSI 均值回归策略

该策略跟踪相对强弱指数(RSI)与其平均值的偏离程度。当 RSI 偏离超过近期标准差的数倍时，预期其向均值回归。

测试表明年均收益约为 61%，该策略在加密市场表现最佳。

当 RSI 低于平均值减 Multiplier 倍标准差时做多；当 RSI 高于平均值加同样倍数时做空。RSI 回到移动平均附近即平仓。

此方法适合寻找超买超卖信号的交易者，波动率带可以根据市况调整阈值，止损有助于控制风险。

详细信息

  • 入场条件:
    • 做多: RSI < Avg - Multiplier * StdDev
    • 做空: RSI > Avg + Multiplier * StdDev
  • 多空方向: 双向
  • 退出条件:
    • 做多: Exit when RSI > Avg
    • 做空: Exit when RSI < Avg
  • 止损: 是
  • 默认值:
    • RsiPeriod = 14
    • AveragePeriod = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • 筛选条件:
    • 类别: 均值回归
    • 方向: 双向
    • 指标: RSI
    • 止损: 是
    • 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.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>
/// RSI Mean Reversion Strategy.
/// Enter when RSI deviates from its average by a certain multiple of standard deviation.
/// Exit when RSI returns to its average.
/// </summary>
public class RsiMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _averagePeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;

	private RelativeStrengthIndex _rsi;
	private SimpleMovingAverage _rsiAverage;
	private StandardDeviation _rsiStdDev;
	
	private decimal _prevRsiValue;

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

	/// <summary>
	/// Period for RSI average calculation.
	/// </summary>
	public int AveragePeriod
	{
		get => _averagePeriod.Value;
		set => _averagePeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for entry.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

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

		_averagePeriod = Param(nameof(AveragePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for RSI average calculation", "Strategy Parameters")
			
			.SetOptimize(10, 30, 5);

		_multiplier = Param(nameof(Multiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("StdDev Multiplier", "Standard deviation multiplier for entry", "Strategy Parameters")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "Strategy Parameters");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsiValue = 0;
	}

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


		// Create indicators
		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		_rsiAverage = new SMA { Length = AveragePeriod };
		_rsiStdDev = new StandardDeviation { Length = AveragePeriod };

		// Create candle subscription
		var subscription = SubscribeCandles(CandleType);

		// Define custom indicator chain processing
		subscription
			.Bind(_rsi, ProcessRsi)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _rsi);
			DrawOwnTrades(area);
		}

		// Enable position protection
		StartProtection(
			takeProfit: new Unit(5, UnitTypes.Percent),
			stopLoss: new Unit(2, UnitTypes.Percent)
		);
	}

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

		// Process RSI through average and standard deviation indicators
		var rsiAvgValue = _rsiAverage.Process(new DecimalIndicatorValue(_rsiAverage, rsiValue, candle.ServerTime) { IsFinal = true }).ToDecimal();
		var rsiStdDevValue = _rsiStdDev.Process(new DecimalIndicatorValue(_rsiStdDev, rsiValue, candle.ServerTime) { IsFinal = true }).ToDecimal();
		
		// Store previous RSI value for changes detection
		decimal currentRsiValue = rsiValue;
		
		if (!_rsiAverage.IsFormed || !_rsiStdDev.IsFormed)
		{
			_prevRsiValue = currentRsiValue;
			return;
		}

		// Calculate bands
		var upperBand = rsiAvgValue + Multiplier * rsiStdDevValue;
		var lowerBand = rsiAvgValue - Multiplier * rsiStdDevValue;

		LogInfo($"RSI: {currentRsiValue}, RSI Avg: {rsiAvgValue}, Upper: {upperBand}, Lower: {lowerBand}");

		// Entry logic - mean reversion
		if (Position == 0)
		{
			if (currentRsiValue < lowerBand)
			{
				BuyMarket();
			}
			else if (currentRsiValue > upperBand)
			{
				SellMarket();
			}
		}
		
		_prevRsiValue = currentRsiValue;
	}
}