中文 ZH
在 GitHub 上查看

VWAP Mean Magnet v9（简单提醒）策略

该简化版本的 VWAP Mean Magnet 策略只使用 VWAP 和 RSI，不包含成交量过滤。当价格偏离 VWAP 且 RSI 达到极端水平时入场，价格回到 VWAP 时平仓。

详情

  • 入场条件:
    • 多头: 价格 < VWAP 且 RSI < 超卖区域。
    • 空头: 价格 > VWAP 且 RSI > 超买区域。
  • 多空方向: 双向。
  • 出场条件:
    • 当价格回到 VWAP 时平仓。
  • 止损: 是，百分比止损。
  • 默认值:
    • VWAP 长度 = 60
    • RSI 长度 = 14
    • RSI 超买 = 65
    • RSI 超卖 = 25
    • 止损 % = 0.5
  • 过滤器:
    • 分类: 均值回归
    • 方向: 双向
    • 指标: 多个
    • 止损: 是
    • 复杂度: 简单
    • 时间框架: 日内
using System;
using System.Linq;
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>
/// VWAP mean reversion with RSI.
/// </summary>
public class VwapMeanMagnetV9SimpleAlertStrategy : Strategy
{
	private readonly StrategyParam<int> _vwapLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _rsiOverbought;
	private readonly StrategyParam<int> _rsiOversold;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	public int VwapLength { get => _vwapLength.Value; set => _vwapLength.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int RsiOverbought { get => _rsiOverbought.Value; set => _rsiOverbought.Value = value; }
	public int RsiOversold { get => _rsiOversold.Value; set => _rsiOversold.Value = value; }
	public decimal StopLossPercent { get => _stopLossPercent.Value; set => _stopLossPercent.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public VwapMeanMagnetV9SimpleAlertStrategy()
	{
		_vwapLength = Param(nameof(VwapLength), 20).SetDisplay("VWAP Length", "VWAP Length", "General");
		_rsiLength = Param(nameof(RsiLength), 14).SetDisplay("RSI Length", "RSI Length", "General");
		_rsiOverbought = Param(nameof(RsiOverbought), 65).SetDisplay("RSI Overbought", "RSI Overbought", "General");
		_rsiOversold = Param(nameof(RsiOversold), 35).SetDisplay("RSI Oversold", "RSI Oversold", "General");
		_stopLossPercent = Param(nameof(StopLossPercent), 0.5m).SetDisplay("Stop Loss %", "Stop Loss %", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame()).SetDisplay("Candle Type", "Candle Type", "General");
	}

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

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

		var vwap = new VolumeWeightedMovingAverage { Length = VwapLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };

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

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

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

		if (candle.ClosePrice < vwapValue && rsiValue < RsiOversold && Position <= 0)
			BuyMarket();
		else if (candle.ClosePrice > vwapValue && rsiValue > RsiOverbought && Position >= 0)
			SellMarket();

		if (Position > 0 && candle.ClosePrice >= vwapValue)
			SellMarket();
		else if (Position < 0 && candle.ClosePrice <= vwapValue)
			BuyMarket();
	}
}