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随机RSI交叉策略

该方法将传统相对强弱指数转换为随机RSI，并通过平滑处理得到%K与%D两条线。当%K在预设区间内上穿或下穿%D时，意味着短期动量发生变化。只有当三层EMA结构确认趋势方向时才允许交易，从而过滤震荡市场中的虚假信号。

出现交叉后，收盘价还必须相应地位于快速EMA之上或之下。这能够避免在主要趋势反向的情况下开仓，并将注意力集中在动量与方向一致的时刻。用户可以调整平滑周期和RSI长度，以设置系统对波动尖峰的敏感度。

风险评估基于平均真实波幅。当前ATR的倍数给出了止损和止盈的参考水平，在波动剧烈时自动放大，在市场平静时自动收缩。脚本不会自动发送保护性订单，但这些计算出的水平有助于手动管理或与其他风险模块结合使用。

细节

  • 入场条件：
    • 做多：%K 上穿 %D，%K 位于 [10,60]，EMA 呈多头排列，价格高于 EMA1。
    • 做空：%K 下穿 %D，%K 位于 [40,95]，EMA 呈空头排列，价格低于 EMA1。
  • 多/空：双向。
  • 出场条件：未内置。
  • 止损：建议使用 ATR 倍数，但不会自动下单。
  • 默认参数：
    • SmoothK = 3，SmoothD = 3。
    • RsiLength = 14，StochLength = 14。
    • Ema1Length = 20，Ema2Length = 50，Ema3Length = 100。
    • AtrLength = 14，AtrLossMultiplier = 1.5，AtrProfitMultiplier = 2.0。
  • 筛选：
    • 类型：动量
    • 方向：双向
    • 指标：多个
    • 止损：可选
    • 复杂度：中等
    • 时间框架：日内
    • 季节性：无
    • 神经网络：无
    • 背离：有
    • 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>
/// Stochastic RSI Crossover Strategy with EMA trend filter.
/// Uses RSI crossovers with triple EMA alignment for trend confirmation.
/// Buys when RSI crosses above oversold in bullish EMA alignment.
/// Sells when RSI crosses below overbought in bearish EMA alignment.
/// </summary>
public class StochRsiCrossoverStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _rsiOversold;
	private readonly StrategyParam<int> _rsiOverbought;
	private readonly StrategyParam<int> _ema1Length;
	private readonly StrategyParam<int> _ema2Length;
	private readonly StrategyParam<int> _ema3Length;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _ema1;
	private ExponentialMovingAverage _ema2;
	private ExponentialMovingAverage _ema3;

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

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

	public int Ema1Length
	{
		get => _ema1Length.Value;
		set => _ema1Length.Value = value;
	}

	public int Ema2Length
	{
		get => _ema2Length.Value;
		set => _ema2Length.Value = value;
	}

	public int Ema3Length
	{
		get => _ema3Length.Value;
		set => _ema3Length.Value = value;
	}

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

	public StochRsiCrossoverStrategy()
	{
		_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 period", "RSI");

		_rsiOversold = Param(nameof(RsiOversold), 40)
			.SetDisplay("RSI Oversold", "RSI oversold level", "RSI");

		_rsiOverbought = Param(nameof(RsiOverbought), 60)
			.SetDisplay("RSI Overbought", "RSI overbought level", "RSI");

		_ema1Length = Param(nameof(Ema1Length), 8)
			.SetGreaterThanZero()
			.SetDisplay("EMA 1 Length", "Fast EMA length", "Moving Averages");

		_ema2Length = Param(nameof(Ema2Length), 14)
			.SetGreaterThanZero()
			.SetDisplay("EMA 2 Length", "Medium EMA length", "Moving Averages");

		_ema3Length = Param(nameof(Ema3Length), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA 3 Length", "Slow EMA length", "Moving Averages");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.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;
		_ema1 = null;
		_ema2 = null;
		_ema3 = null;
		_prevRsi = 0;
		_cooldownRemaining = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_ema1 = new ExponentialMovingAverage { Length = Ema1Length };
		_ema2 = new ExponentialMovingAverage { Length = Ema2Length };
		_ema3 = new ExponentialMovingAverage { Length = Ema3Length };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_rsi, _ema1, _ema2, _ema3, OnProcess)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _ema1);
			DrawIndicator(area, _ema2);
			DrawIndicator(area, _ema3);
			DrawOwnTrades(area);
		}
	}

	private void OnProcess(ICandleMessage candle, decimal rsiVal, decimal ema1Val, decimal ema2Val, decimal ema3Val)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_rsi.IsFormed || !_ema1.IsFormed || !_ema2.IsFormed || !_ema3.IsFormed)
		{
			_prevRsi = rsiVal;
			return;
		}

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

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

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

		// EMA alignment (relaxed - only fast vs slow)
		var bullishEma = ema1Val > ema3Val;
		var bearishEma = ema1Val < ema3Val;

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

		// Buy: RSI crosses above oversold + bullish EMA
		if (rsiCrossUpOversold && bullishEma && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: RSI crosses below overbought + bearish EMA
		else if (rsiCrossDownOverbought && bearishEma && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: RSI overbought or EMA bearish cross
		else if (Position > 0 && (rsiVal > RsiOverbought || ema1Val < ema2Val))
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: RSI oversold or EMA bullish cross
		else if (Position < 0 && (rsiVal < RsiOversold || ema1Val > ema2Val))
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevRsi = rsiVal;
	}
}