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QQE 信号策略

在 RSI 指标上实现 QQE 技术。该方法围绕平滑的 RSI 构建动态上下轨，并跟踪 RSI 对轨道的突破来识别趋势变化。当 RSI 上穿轨道时产生买入信号，下穿则平仓。

通过根据波动率调整轨道，QQE 在平滑噪声的同时保持灵敏度。策略主要做多，并依赖反向信号进行退出。

细节

  • 入场条件：
    • 多头：平滑 RSI 上穿跟踪轨道。
  • 出场条件：
    • RSI 跌破相反的轨道或出现反向信号。
  • 指标：
    • RSI（周期14，平滑5）
    • 基于 RSI 的 ATR 计算的 QQE 轨道，系数4.238
  • 止损：默认无，依靠反向信号。
  • 默认值：
    • RsiPeriod = 14
    • RsiSmoothing = 5
    • QqeFactor = 4.238
    • Threshold = 10
  • 过滤：
    • 趋势跟随
    • 单一时间框架
    • 指标：RSI、QQE
    • 止损：无
    • 复杂度：中等
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// QQE Signals Strategy.
/// Uses RSI with threshold crossover for trade signals.
/// Buys when RSI crosses above upper threshold.
/// Sells when RSI crosses below lower threshold.
/// Exits at the 50 midline crossover.
/// </summary>
public class QqeSignalsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _upperThreshold;
	private readonly StrategyParam<decimal> _lowerThreshold;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;

	private decimal _prevRsi;
	private int _cooldownRemaining;

	public QqeSignalsStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "QQE");

		_upperThreshold = Param(nameof(UpperThreshold), 60m)
			.SetDisplay("Upper Threshold", "Bullish threshold", "QQE");

		_lowerThreshold = Param(nameof(LowerThreshold), 40m)
			.SetDisplay("Lower Threshold", "Bearish threshold", "QQE");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

	public DataType CandleType
	{
		get => _candleTypeParam.Value;
		set => _candleTypeParam.Value = value;
	}

	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

	public decimal UpperThreshold
	{
		get => _upperThreshold.Value;
		set => _upperThreshold.Value = value;
	}

	public decimal LowerThreshold
	{
		get => _lowerThreshold.Value;
		set => _lowerThreshold.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

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

		_rsi = null;
		_prevRsi = 0;
		_cooldownRemaining = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_rsi, OnProcess)
			.Start();

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

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

		if (!_rsi.IsFormed)
		{
			_prevRsi = rsiVal;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevRsi = rsiVal;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevRsi = rsiVal;
			return;
		}

		if (_prevRsi == 0)
		{
			_prevRsi = rsiVal;
			return;
		}

		// RSI crosses above upper threshold (bullish signal)
		var crossUp = rsiVal > UpperThreshold && _prevRsi <= UpperThreshold;
		// RSI crosses below lower threshold (bearish signal)
		var crossDown = rsiVal < LowerThreshold && _prevRsi >= LowerThreshold;

		if (crossUp && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: RSI drops below 50
		else if (Position > 0 && rsiVal < 50 && _prevRsi >= 50)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: RSI rises above 50
		else if (Position < 0 && rsiVal > 50 && _prevRsi <= 50)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevRsi = rsiVal;
	}
}