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Averaging Down 策略

Averaging Down 策略在 RSI 低于设定阈值时继续加仓做多，从而摊低平均持仓价格。当收盘价突破前一根 K 线的最高价时平仓。

详情

  • 入场条件：
    • RSI 低于 RsiBuyThreshold。
  • 多/空：仅多头。
  • 出场条件：
    • 收盘价高于前一根 K 线的最高价。
  • 止损：无。
  • 默认值：
    • RsiLength = 10
    • RsiBuyThreshold = 33
  • 过滤条件：
    • 分类：均值回归
    • 方向：多头
    • 指标：RSI
    • 止损：否
    • 复杂度：低
    • 时间框架：任意
    • 季节性：无
    • 神经网络：无
    • 背离：无
    • 风险等级：低
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>
/// Averaging Down strategy based on RSI levels with EMA trend filter.
/// Buys when RSI crosses above oversold level in uptrend,
/// sells when RSI crosses below overbought level in downtrend.
/// </summary>
public class AveragingDown2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _emaLength;
	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>
	/// RSI calculation length.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AveragingDown2Strategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

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

		_emaLength = Param(nameof(EmaLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter 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 rsi = new RelativeStrengthIndex { Length = RsiLength };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

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

		_barIndex++;

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		// RSI crosses above 40 from below (oversold recovery) with uptrend
		var longSignal = _prevRsi > 0 && _prevRsi < 40 && rsiValue >= 40 && candle.ClosePrice > emaValue;
		// RSI crosses below 60 from above (overbought decline) with downtrend
		var shortSignal = _prevRsi > 0 && _prevRsi > 60 && rsiValue <= 60 && candle.ClosePrice < emaValue;

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

		_prevRsi = rsiValue;
	}
}