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Graph Style 4th Dimension RSI 策略

基于价格变动和RSI水平的策略。

测试显示年化收益约80%，在波动性市场表现良好。

策略结合最近的价格变动方向和RSI极值。当RSI离开超买/超卖区并得到价格变化确认时开仓；当RSI回到中间区域或出现反向信号时平仓。

细节

  • 入场条件：价格变动方向配合RSI极值。
  • 多空方向：双向。
  • 出场条件：反向信号或RSI回到中位。
  • 止损：百分比止损。
  • 默认值：
    • RsiPeriod = 14
    • OverboughtLevel = 70m
    • OversoldLevel = 30m
    • StopLossPercent = 1m
    • CandleType = TimeSpan.FromMinutes(5)
  • 筛选器：
    • 类别：动量
    • 方向：双向
    • 指标：RSI
    • 止损：百分比
    • 复杂度：基础
    • 时间框架：日内 (5m)
    • 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>
/// Graph Style 4th Dimension RSI strategy.
/// Goes long when RSI leaves the oversold zone upward on a candle that closed higher than the previous one, and short when RSI
/// leaves the overbought zone downward on a candle that closed lower, reversing an opposite position. A long closes when RSI
/// returns to the middle level 50 from below and a short when it returns from above; a percent stop limits the loss.
/// </summary>
public class GraphStyle4thDimensionRSIStrategy : Strategy
{
	private const decimal _middleLevel = 50m;

	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _overboughtLevel;
	private readonly StrategyParam<decimal> _oversoldLevel;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevRsi;
	private decimal? _prevClose;

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

	/// <summary>
	/// RSI overbought level.
	/// </summary>
	public decimal OverboughtLevel
	{
		get => _overboughtLevel.Value;
		set => _overboughtLevel.Value = value;
	}

	/// <summary>
	/// RSI oversold level.
	/// </summary>
	public decimal OversoldLevel
	{
		get => _oversoldLevel.Value;
		set => _oversoldLevel.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public GraphStyle4thDimensionRSIStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period of RSI", "Indicators");

		_overboughtLevel = Param(nameof(OverboughtLevel), 70m)
			.SetDisplay("Overbought", "RSI overbought level", "Indicators");

		_oversoldLevel = Param(nameof(OversoldLevel), 30m)
			.SetDisplay("Oversold", "RSI oversold level", "Indicators");

		_stopLossPercent = Param(nameof(StopLossPercent), 1m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = null;
		_prevClose = null;
	}

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

		_prevRsi = null;
		_prevClose = null;

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

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

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
				DrawIndicator(oscillators, rsi);
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		var prevRsi = _prevRsi;
		var prevClose = _prevClose;

		_prevRsi = rsi;
		_prevClose = candle.ClosePrice;

		if (prevRsi is not decimal lastRsi || prevClose is not decimal lastClose)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;

		var longSignal = lastRsi < OversoldLevel && rsi >= OversoldLevel && close > lastClose;
		var shortSignal = lastRsi > OverboughtLevel && rsi <= OverboughtLevel && close < lastClose;

		if (longSignal && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (shortSignal && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && rsi >= _middleLevel)
			SellMarket(Position);
		else if (Position < 0 && rsi <= _middleLevel)
			BuyMarket(-Position);
	}
}