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Pearson's R振荡策略

Pearson's R振荡策略根据皮尔逊相关系数自动寻找价格与线性回归通道最匹配的周期。当相关系数达到设定的正或负阈值时，形成回归通道并在突破时交易。

当价格穿越通道边界时开仓，穿越中线时可平仓。该方法通过自动调整观察窗口以匹配最强相关性，从而适应市场变化。

详情

  • 入场条件：
    • 价格突破上轨 → 做多。
    • 价格跌破下轨 → 做空。
  • 方向：双向。
  • 出场条件：
    • 价格反向穿越中线。
  • 止损：无。
  • 默认参数：
    • MinPeriod = 48
    • MaxPeriod = 360
    • Step = 12
    • IdealPositive = 0.85
    • IdealNegative = -0.85
    • Deviations = 2
  • 过滤器：
    • 类别：趋势跟随
    • 方向：双向
    • 指标：皮尔逊相关、线性回归
    • 止损：无
    • 复杂度：中等
    • 时间框架：任意
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：中等
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Pearson's R Oscillator strategy.
/// Uses linear regression channel crossover for entries with EMA trend filter.
/// </summary>
public class PearsonsROscillatorStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevRsi;
	private int _barIndex;
	private int _lastTradeBar;

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// EMA trend filter period.
	/// </summary>
	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public PearsonsROscillatorStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_emaLength = Param(nameof(EmaLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

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

		_cooldownBars = Param(nameof(CooldownBars), 350)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_barIndex = 0;
		_lastTradeBar = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = EmaLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, rsi, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal emaValue, decimal rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		_barIndex++;

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		// RSI crosses above oversold with uptrend
		var longSignal = _prevRsi > 0 && _prevRsi < 45 && rsiValue >= 45 && candle.ClosePrice > emaValue;
		// RSI crosses below overbought with downtrend
		var shortSignal = _prevRsi > 0 && _prevRsi > 55 && rsiValue <= 55 && candle.ClosePrice < emaValue;

		if (longSignal && Position <= 0 && cooldownOk)
		{
			BuyMarket();
			_lastTradeBar = _barIndex;
		}
		else if (shortSignal && Position >= 0 && cooldownOk)
		{
			SellMarket();
			_lastTradeBar = _barIndex;
		}

		_prevRsi = rsiValue;
	}
}