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RSI 与 反向加权均线策略

该策略结合 RSI 和反向加权移动平均的变化率过滤。当 RSI 高于阈值且均线 ROC 低于水平时做多；当 RSI 低于阈值且均线 ROC 高于水平时做空。包含基于 ATR 的追踪止损和固定比例的资金管理。

详情

  • 入场条件：
    • 多头：RSI >= RsiLongSignal 且 MA ROC <= RocMaLongSignal
    • 空头：RSI <= RsiShortSignal 且 MA ROC >= RocMaShortSignal
  • 多空方向：双向。
  • 退出条件：反向信号、止损或追踪止损。
  • 止损：是，ATR 追踪及最大亏损限制。
  • 默认值：
    • RsiLength = 20
    • MaType = RWMA
    • MaLength = 19
    • RsiLongSignal = 60
    • RsiShortSignal = 40
    • TakeProfitActivation = 5
    • TrailingPercent = 3
    • MaxLossPercent = 10
    • FixedRatio = 400
    • IncreasingOrderAmount = 200
    • CandleType = TimeSpan.FromMinutes(1)
  • 过滤器：
    • 类型：趋势跟随
    • 方向：双向
    • 指标：RSI、移动平均、ATR
    • 止损：是
    • 复杂度：高
    • 时间框架：任意
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 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>
/// RSI backed weighted MA strategy using EMA crossover.
/// </summary>
public class RsiBackedWeightedMaStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RsiBackedWeightedMaStrategy()
	{
		_slowLength = Param(nameof(SlowLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "General");

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

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		var prevF = 0m; var prevS = 0m; var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, (candle, f, s) =>
		{
			if (candle.State != CandleStates.Finished) return;
			if (!fast.IsFormed || !slow.IsFormed) return;
			if (!init) { prevF = f; prevS = s; init = true; return; }
			if (candle.OpenTime - lastSignal >= cooldown)
			{
				if (prevF <= prevS && f > s && Position <= 0) { BuyMarket(); lastSignal = candle.OpenTime; }
				else if (prevF >= prevS && f < s && Position >= 0) { SellMarket(); lastSignal = candle.OpenTime; }
			}
			prevF = f; prevS = s;
		}).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fast); DrawIndicator(area, slow); DrawOwnTrades(area); }
	}
}