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RSI + 1200 策略

RSI + 1200 策略 通过结合相对强弱指数与高时间框的趋势过滤器来 捕捉趋势反转。策略使用 14 周期 RSI，并在 120 分钟的多时间框数据上 计算指数移动平均线。只有当动量与趋势方向一致时才会触发交易信号。

在对流动性较高的加密货币对进行回测时，该方法在持续的趋势行情中 表现最佳。若市场震荡，容易产生假信号，因此策略在 EMA 周围保留 1% 的价格缓冲，并使用百分比止损来控制风险。

当 RSI 从超卖区域向上穿越并且价格位于高时间框 EMA 上方 1% 以内 时买入；做空条件则相反。仓位在 RSI 到达相反极值时平仓，同时在 入场价的 stopLossPercent% 处设置保护性止损。

细节

  • 入场条件
    • 做多：RSI 上穿 rsiOversold 且收盘价 ≤ EMA * 1.01。
    • 做空：RSI 下穿 rsiOverbought 且收盘价 ≥ EMA * 0.99。
  • 出场条件
    • 做多：RSI 高于 rsiOverbought。
    • 做空：RSI 低于 rsiOversold。
  • 止损：stopLossPercent 百分比止损。
  • 默认参数
    • rsiLength = 14
    • rsiOverbought = 72
    • rsiOversold = 28
    • emaLength = 150
    • mtfTimeframe = 120 分钟
    • stopLossPercent = 0.10 (10%)
  • 过滤器
    • 类型：趋势跟随
    • 方向：双向
    • 指标：RSI, EMA
    • 止损：是
    • 复杂度：中等
    • 时间框：日内/多时间框
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：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>
/// RSI + 1200 Strategy.
/// Uses RSI crossover signals with EMA trend filter.
/// Buys when RSI crosses above oversold level while price is above EMA.
/// Sells when RSI crosses below overbought level while price is below EMA.
/// </summary>
public class RsiPlus1200Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _rsiOverbought;
	private readonly StrategyParam<int> _rsiOversold;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _ema;

	private decimal _prevRsi;
	private int _cooldownRemaining;

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

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	public int RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

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

	public RsiPlus1200Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI calculation length", "RSI");

		_rsiOverbought = Param(nameof(RsiOverbought), 70)
			.SetDisplay("RSI Overbought", "RSI overbought level", "RSI");

		_rsiOversold = Param(nameof(RsiOversold), 30)
			.SetDisplay("RSI Oversold", "RSI oversold level", "RSI");

		_emaLength = Param(nameof(EmaLength), 100)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA period for trend filter", "Moving Average");

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

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

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

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

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

		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

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

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

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

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

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

		// RSI crossovers
		var rsiCrossUpOversold = rsiVal > RsiOversold && _prevRsi <= RsiOversold;
		var rsiCrossDownOverbought = rsiVal < RsiOverbought && _prevRsi >= RsiOverbought;

		// Buy: RSI crosses above oversold + price above EMA (uptrend)
		if (rsiCrossUpOversold && candle.ClosePrice > emaVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: RSI crosses below overbought + price below EMA (downtrend)
		else if (rsiCrossDownOverbought && candle.ClosePrice < emaVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: RSI overbought
		else if (Position > 0 && rsiVal > RsiOverbought)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: RSI oversold
		else if (Position < 0 && rsiVal < RsiOversold)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevRsi = rsiVal;
	}
}