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随机RSI SuperTrend 策略

该策略将随机RSI的快速震荡与趋势过滤和简化的SuperTrend模型结合。随机RSI指出短期动量极值，而移动平均线和基于ATR的带状区间定义主要趋势。只有当%K在相应区域内上穿或下穿%D且大趋势一致时，才会开仓，从而减少震荡行情中的假信号。

默认配置侧重于做多，但也可以选择开启做空。适用于日内或波段级别时间框架，此时随机RSI信号频繁出现，而ATR带能够根据波动性调整偏向。退出在相反交叉处执行，让市场在动量减弱前保持持仓。

细节

  • 入场条件：
    • 多头：收盘价高于趋势MA，%K < 20，%K上穿%D，SuperTrend显示上升趋势。
    • 空头：收盘价低于趋势MA，%K > 80，%K下穿%D，SuperTrend显示下降趋势。
  • 多/空：默认多头，可选空头。
  • 出场条件：
    • 多头：%K > 80 且下穿%D。
    • 空头：%K < 20 且上穿%D。
  • 止损：默认无，可外部添加。
  • 默认参数：
    • RSI周期 = 14，随机长度 = 14。
    • MA类型 = EMA，MA长度 = 100。
    • ATR周期 = 10，ATR系数 = 3.0。
  • 过滤器：
    • 类别：动量 + 趋势
    • 方向：主要做多
    • 指标：RSI、ATR、移动平均
    • 止损：无
    • 复杂度：中等
    • 周期：短/中期
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 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 + Supertrend Strategy.
/// Uses RSI levels with SuperTrend direction and EMA trend filter.
/// Buys when RSI is oversold, SuperTrend is bullish, and price above EMA.
/// Sells when RSI is overbought, SuperTrend is bearish, and price below EMA.
/// </summary>
public class StochRsiSupertrendStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _supertrendLength;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _ema;
	private SuperTrend _supertrend;

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

	public int SupertrendLength
	{
		get => _supertrendLength.Value;
		set => _supertrendLength.Value = value;
	}

	public decimal SupertrendMultiplier
	{
		get => _supertrendMultiplier.Value;
		set => _supertrendMultiplier.Value = value;
	}

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

	public StochRsiSupertrendStrategy()
	{
		_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");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "Trend EMA period", "Moving Average");

		_supertrendLength = Param(nameof(SupertrendLength), 11)
			.SetGreaterThanZero()
			.SetDisplay("SuperTrend Length", "SuperTrend ATR period", "SuperTrend");

		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 2.0m)
			.SetDisplay("SuperTrend Multiplier", "SuperTrend ATR multiplier", "SuperTrend");

		_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;
		_supertrend = 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 };
		_supertrend = new SuperTrend { Length = SupertrendLength, Multiplier = SupertrendMultiplier };

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

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

	private void OnProcess(ICandleMessage candle, IIndicatorValue rsiValue, IIndicatorValue emaValue, IIndicatorValue stValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_rsi.IsFormed || !_ema.IsFormed || !_supertrend.IsFormed)
			return;

		if (rsiValue.IsEmpty || emaValue.IsEmpty || stValue.IsEmpty)
			return;

		var rsiVal = rsiValue.ToDecimal();
		var emaVal = emaValue.ToDecimal();

		var stTyped = (SuperTrendIndicatorValue)stValue;
		var isUpTrend = stTyped.IsUpTrend;

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

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

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

		// RSI crossovers
		var rsiCrossUpOversold = rsiVal > 40 && _prevRsi <= 40;
		var rsiCrossDownOverbought = rsiVal < 60 && _prevRsi >= 60;

		// Buy: RSI crosses above oversold + SuperTrend bullish + price above EMA
		if (rsiCrossUpOversold && isUpTrend && candle.ClosePrice > emaVal && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: RSI crosses below overbought + SuperTrend bearish + price below EMA
		else if (rsiCrossDownOverbought && !isUpTrend && candle.ClosePrice < emaVal && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: SuperTrend turns bearish
		else if (Position > 0 && !isUpTrend)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: SuperTrend turns bullish
		else if (Position < 0 && isUpTrend)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevRsi = rsiVal;
	}
}