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Live RSI 策略

使用多个 RSI 计算（close、weighted、typical、median、open）结合 Parabolic SAR 来检测趋势反转。当 RSI 数值按多头顺序排列且价格在 SAR 之上时做多；当 RSI 数值按空头顺序排列且价格在 SAR 之下时做空。SAR 值同时作为跟踪止损。

细节

  • 入场条件：
    • 多头：RSI 为多头顺序且价格高于 SAR。
    • 空头：RSI 为空头顺序且价格低于 SAR。
  • 多空方向：双向。
  • 出场条件：
    • 反向趋势信号或 SAR 跟踪止损。
  • 止损：可选的固定止损和基于 SAR 的跟踪止损。
  • 默认值：
    • RSI Period = 30
    • SAR Step = 0.08
    • Stop Loss = 40
    • Check Hour = false
    • Start Hour = 17
    • End Hour = 1
    • Candle Type = 1 hour
  • 筛选：
    • 类别: Trend Following
    • 方向: Long & Short
    • 指标: RSI, Parabolic SAR
    • 止损: 有
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 可选（时间过滤）
    • 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>
/// RSI trend reversal strategy with Parabolic SAR confirmation.
/// Buys when RSI crosses above 50 and SAR is below price.
/// Sells when RSI crosses below 50 and SAR is above price.
/// </summary>
public class LiveRSIStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRsi;
	private bool _hasPrev;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public LiveRSIStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period for RSI", "Indicators");

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

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_hasPrev = false;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var sar = new ParabolicSar();

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

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

		if (!_hasPrev)
		{
			_prevRsi = rsi;
			_hasPrev = true;
			return;
		}

		var close = candle.ClosePrice;

		// RSI cross above 50 + SAR below price -> buy
		if (_prevRsi <= 50 && rsi > 50 && sar < close)
		{
			if (Position < 0)
				BuyMarket();
			if (Position <= 0)
				BuyMarket();
		}
		// RSI cross below 50 + SAR above price -> sell
		else if (_prevRsi >= 50 && rsi < 50 && sar > close)
		{
			if (Position > 0)
				SellMarket();
			if (Position >= 0)
				SellMarket();
		}

		_prevRsi = rsi;
	}
}