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RSI + EMA 趋势策略

该策略将经典的相对强弱指数（RSI）与两条指数移动平均线（EMA）趋势过滤器相结合。RSI 用于衡量短期的超买和超卖状态，而快慢两条 EMA 则界定了市场的大方向。只有当快 EMA 高于慢 EMA 时才允许开仓，从而避免在强劲趋势中逆势操作。

当价格推动 RSI 跌至超卖水平且快 EMA 位于慢 EMA 之上时，视为上升趋势中的短期回调，策略开多仓。相反，如果 RSI 上穿超买阈值并且快 EMA 仍然高于慢 EMA，则开空仓，预期在更大趋势框架内出现短暂回落。

一旦 RSI 从相反方向离开极值区域，仓位即被平掉，表示均值回归行情已接近结束。该方法结构简单，适合在趋势明显且流动性良好的市场中捕捉短期动量波动。

细节

  • 入场条件：
    • 做多：RSI < oversold 且 EMA1 > EMA2。
    • 做空：RSI > overbought 且 EMA1 > EMA2。
  • 方向：双向。
  • 出场条件：
    • 多单：RSI > overbought。
    • 空单：RSI < oversold。
  • 止损：无内置。
  • 默认参数：
    • RSI Length = 14。
    • Overbought/Oversold = 70 / 30。
    • EMA Lengths = 150 / 600。
  • 筛选：
    • 类型：动量
    • 方向：双向
    • 指标：多个
    • 止损：否
    • 复杂度：基础
    • 时间框架：日内
    • 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 + EMA Strategy.
/// Uses RSI oversold/overbought levels with dual EMA trend filter.
/// Buys when RSI is oversold and fast EMA > slow EMA.
/// Sells when RSI is overbought and fast EMA > slow EMA.
/// </summary>
public class RsiEmaStrategy : 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> _ma1Length;
	private readonly StrategyParam<int> _ma2Length;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _ma1;
	private ExponentialMovingAverage _ma2;

	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 Ma1Length
	{
		get => _ma1Length.Value;
		set => _ma1Length.Value = value;
	}

	public int Ma2Length
	{
		get => _ma2Length.Value;
		set => _ma2Length.Value = value;
	}

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

	public RsiEmaStrategy()
	{
		_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");

		_ma1Length = Param(nameof(Ma1Length), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA1 Length", "Fast EMA length", "Moving Averages");

		_ma2Length = Param(nameof(Ma2Length), 50)
			.SetGreaterThanZero()
			.SetDisplay("MA2 Length", "Slow EMA length", "Moving Averages");

		_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;
		_ma1 = null;
		_ma2 = null;
		_cooldownRemaining = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_ma1 = new ExponentialMovingAverage { Length = Ma1Length };
		_ma2 = new ExponentialMovingAverage { Length = Ma2Length };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_rsi, _ma1, _ma2, OnProcess)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ma1);
			DrawIndicator(area, _ma2);
			DrawOwnTrades(area);
		}
	}

	private void OnProcess(ICandleMessage candle, decimal rsiVal, decimal ma1Val, decimal ma2Val)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_rsi.IsFormed || !_ma1.IsFormed || !_ma2.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			return;
		}

		var uptrend = ma1Val > ma2Val;
		var downtrend = ma1Val < ma2Val;

		// Buy: RSI oversold in uptrend
		if (rsiVal < RsiOversold && uptrend && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: RSI overbought in downtrend
		else if (rsiVal > RsiOverbought && downtrend && 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;
		}
	}
}