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Ehlers SwamiCharts RSI 指标

汇总周期 2–48 的 RSI 值形成颜色图。平均颜色为绿色时做多，红色时做空。

细节

  • 入场条件：平均颜色为绿色（Color1Avg == 255 且 Color2Avg > LongColor）做多；平均颜色为红色（Color1Avg > ShortColor 且 Color2Avg == 255）做空。
  • 多空：双向。
  • 出场条件：相反信号。
  • 止损：否。
  • 默认值：
    • LongColor = 50
    • ShortColor = 50
    • CandleType = 5 分钟
  • 过滤器：
    • 类别: Oscillator
    • 方向: 双向
    • 指标: RSI
    • 止损: 否
    • 复杂度: 高级
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Ehlers SwamiCharts RSI based strategy generating signals from averaged RSI colors.
/// </summary>
public class EhlersSwamiChartsRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _longColor;
	private readonly StrategyParam<int> _shortColor;
	private readonly StrategyParam<DataType> _candleType;

	public int LongColor { get => _longColor.Value; set => _longColor.Value = value; }
	public int ShortColor { get => _shortColor.Value; set => _shortColor.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public EhlersSwamiChartsRsiStrategy()
	{
		_longColor = Param(nameof(LongColor), 50)
			.SetDisplay("LongColor", "Long color threshold", "General");

		_shortColor = Param(nameof(ShortColor), 50)
			.SetDisplay("ShortColor", "Short color threshold", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for candles", "General");
	}

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

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

		var rsis = new RelativeStrengthIndex[24];
		for (var i = 0; i < 24; i++)
		{
			rsis[i] = new RelativeStrengthIndex { Length = i + 10 };
		}

		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(rsis, ProcessCandle).Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue[] values)
	{
		if (candle.State != CandleStates.Finished)
			return;

		int color1Tot = 0;
		int color2Tot = 0;
		int count = 0;

		foreach (var val in values)
		{
			if (val.IsEmpty)
				continue;

			var rsi = val.ToDecimal() / 100m;
			int c1;
			int c2;
			if (rsi >= 0.5m)
			{
				c1 = (int)Math.Ceiling(255m * (2m - 2m * rsi));
				c2 = 255;
			}
			else
			{
				c1 = 255;
				c2 = (int)Math.Ceiling(255m * 2m * rsi);
			}
			color1Tot += c1;
			color2Tot += c2;
			count++;
		}

		if (count == 0)
			return;

		var color1Avg = (int)Math.Ceiling(color1Tot / (decimal)count);
		var color2Avg = (int)Math.Ceiling(color2Tot / (decimal)count);

		var longSignal = color1Avg == 255 && color2Avg > LongColor;
		var shortSignal = color1Avg > ShortColor && color2Avg == 255;

		if (longSignal && Position <= 0)
		{
			BuyMarket();
		}
		else if (shortSignal && Position >= 0)
		{
			SellMarket();
		}
	}
}