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随机RSI OHLC策略

该策略基于随机RSI指标构建OHLC柱并在动量变化时交易。策略计算最高价、最低价和收盘价的RSI，然后对每个序列应用随机震荡指标。当随机RSI从低点上升并突破LongEntry水平时开多仓；当其从高点下降并跌破ShortEntry水平时开空仓。

详情

  • 入场条件：
    • 多头：随机RSI向上转折，最近三个值中任意一个在低点后超过LongEntry。
    • 空头：随机RSI向下转折，最近三个值中任意一个在高点后跌破ShortEntry。
  • 多空方向：双向。
  • 出场条件：相反信号。
  • 止损：无。
  • 默认值：
    • RSI Length = 14
    • K Length = 14
    • D Length = 3
    • LongEntry = 30
    • ShortEntry = 60
    • LongPivot = 2
    • ShortPivot = 98
  • 过滤器：
    • 类别：动量
    • 方向：双向
    • 指标：RSI、随机指标
    • 止损：无
    • 复杂度：中等
    • 周期：短期
    • 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>
/// Stochastic RSI OHLC strategy using EMA crossover.
/// </summary>
public class StochasticRsiOhlcStrategy : 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 StochasticRsiOhlcStrategy()
	{
		_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); }
	}
}