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RSI 策略

基于 RSI 指标的简单策略。当 RSI 从下向上穿越超卖水平时买入，当 RSI 从上向下穿越超买水平时卖出。

详情

  • 入场条件：
    • 多头：RSI 向上穿越 OverSold
    • 空头：RSI 向下穿越 OverBought
  • 多/空：双向
  • 出场条件：
    • 反向信号
  • 止损：无
  • 默认值：
    • RsiLength = 14
    • OverSold = 25m
    • OverBought = 75m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 筛选：
    • 类别：振荡器
    • 方向：双向
    • 指标：RSI
    • 止损：无
    • 复杂度：基础
    • 时间框架：日内
    • 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>
/// RSI threshold-cross reversal strategy.
/// </summary>
public class RsiStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _overSold;
	private readonly StrategyParam<decimal> _overBought;
	private readonly StrategyParam<DataType> _candleType;

	private RelativeStrengthIndex _rsi;
	private decimal? _previousRsi;

	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public decimal OverSold { get => _overSold.Value; set => _overSold.Value = value; }
	public decimal OverBought { get => _overBought.Value; set => _overBought.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RsiStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14).SetGreaterThanZero();
		_overSold = Param(nameof(OverSold), 25m);
		_overBought = Param(nameof(OverBought), 75m);
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_rsi = null;
		_previousRsi = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		SubscribeCandles(CandleType)
			.Bind(_rsi, (candle, value) =>
			{
				if (candle.State != CandleStates.Finished || !_rsi.IsFormed)
					return;

				if (_previousRsi is decimal previous)
				ApplySignal(GetSignal(previous, value, OverSold, OverBought));

				_previousRsi = value;
			})
			.Start();
	}

	private void ApplySignal(int signal)
	{
		if (signal > 0 && Position <= 0m)
			BuyMarket(Volume + Math.Abs(Position));
		else if (signal < 0 && Position >= 0m)
			SellMarket(Volume + Math.Abs(Position));
	}

	internal static int GetSignal(decimal previous, decimal current, decimal overSold, decimal overBought)
	{
		if (previous <= overSold && current > overSold)
			return 1;

		if (previous >= overBought && current < overBought)
			return -1;

		return 0;
	}
}