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EMA RSI Trailing Stop 策略

该策略在短期 EMA 穿越中期 EMA 且位于长期 EMA 之上或之下时开仓。通过 RSI 水平和平移止损结合固定百分比止损退出。若交易在盈利，可在指定 K 线数量后平仓。

详情

  • 入场条件：EMA A 与 EMA B 金叉/死叉并由 EMA C 确认趋势，且 K 线方向一致。
  • 多空方向：双向。
  • 出场条件：RSI 阈值、移动止损或时间退出。
  • 止损：固定百分比止损，当价格向有利方向移动 TrailOffset 后转为移动止损。
  • 默认参数：
    • EmaALength = 10
    • EmaBLength = 20
    • EmaCLength = 100
    • RsiLength = 14
    • ExitLongRsi = 70
    • ExitShortRsi = 30
    • TrailPoints = 50
    • TrailOffset = 10
    • FixStopLossPercent = 5
    • CloseAfterXBars = true
    • XBars = 24
    • ShowLong = true
    • ShowShort = false
    • CandleType = TimeSpan.FromMinutes(1)
  • 过滤器：
    • 类别：趋势
    • 方向：双向
    • 指标：EMA, RSI
    • 止损：移动
    • 复杂度：中等
    • 时间框架：日内
    • 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;

public class EmaRsiTrailStopStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private decimal _prevFastEma;
	private decimal _prevSlowEma;

	public int FastEmaPeriod { get => _fastEmaPeriod.Value; set => _fastEmaPeriod.Value = value; }
	public int SlowEmaPeriod { get => _slowEmaPeriod.Value; set => _slowEmaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public EmaRsiTrailStopStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 120)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 450)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFastEma = 0m;
		_prevSlowEma = 0m;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var fastEma = new ExponentialMovingAverage { Length = FastEmaPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fastEma, slowEma, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, fastEma);
			DrawIndicator(area, slowEma);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastEmaValue, decimal slowEmaValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (_prevFastEma == 0m || _prevSlowEma == 0m)
		{
			_prevFastEma = fastEmaValue;
			_prevSlowEma = slowEmaValue;
			return;
		}
		if (_prevFastEma <= _prevSlowEma && fastEmaValue > slowEmaValue && Position <= 0)
			BuyMarket();
		else if (_prevFastEma >= _prevSlowEma && fastEmaValue < slowEmaValue && Position >= 0)
			SellMarket();
		_prevFastEma = fastEmaValue;
		_prevSlowEma = slowEmaValue;
	}
}