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RGT RSI 布林带策略

该策略结合 RSI 指标和布林带来寻找均值回归机会。当 RSI 处于超卖区且价格跌破下轨时开多单；当 RSI 处于超买区且价格突破上轨时开空单。入场后先设置初始止损，当达到最低盈利后启动跟踪止损。

跟踪止损在价格朝有利方向移动时以固定距离跟随，从而锁定利润。当价格触及跟踪止损时平仓。

细节

  • 入场条件：RSI 低于 RsiLow 且价格低于下轨做多；RSI 高于 RsiHigh 且价格高于上轨做空。
  • 多/空：双向。
  • 出场条件：触发跟踪止损。
  • 止损：初始止损和跟踪止损。
  • 默认值：
    • RsiPeriod = 8
    • RsiHigh = 90
    • RsiLow = 10
    • StopLossPips = 70
    • TrailingStopPips = 35
    • MinProfitPips = 30
    • Volume = 1
    • CandleType = TimeSpan.FromMinutes(5)
  • 筛选：
    • 分类：均值回归
    • 方向：双向
    • 指标：RSI，布林带
    • 止损：是
    • 复杂度：初级
    • 周期：日内
    • 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>
/// RSI with Bollinger Bands strategy.
/// </summary>
public class RgtRsiBollingerStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _rsiHigh;
	private readonly StrategyParam<int> _rsiLow;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<decimal> _trailingStop;
	private readonly StrategyParam<decimal> _minProfit;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;
	private decimal _stopPrice;
	private bool _isLong;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int RsiHigh { get => _rsiHigh.Value; set => _rsiHigh.Value = value; }
	public int RsiLow { get => _rsiLow.Value; set => _rsiLow.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public decimal TrailingStop { get => _trailingStop.Value; set => _trailingStop.Value = value; }
	public decimal MinProfit { get => _minProfit.Value; set => _minProfit.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public RgtRsiBollingerStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 8)
			.SetDisplay("RSI Period", "RSI calculation period", "Indicator");

		_rsiHigh = Param(nameof(RsiHigh), 55)
			.SetDisplay("RSI High", "Overbought RSI level", "Indicator");

		_rsiLow = Param(nameof(RsiLow), 45)
			.SetDisplay("RSI Low", "Oversold RSI level", "Indicator");

		_stopLoss = Param(nameof(StopLoss), 500m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss", "Stop loss in price units", "Risk");

		_trailingStop = Param(nameof(TrailingStop), 300m)
			.SetGreaterThanZero()
			.SetDisplay("Trailing Stop", "Trailing stop distance", "Risk");

		_minProfit = Param(nameof(MinProfit), 200m)
			.SetGreaterThanZero()
			.SetDisplay("Min Profit", "Minimum profit before trailing", "Risk");

		_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();
		_entryPrice = 0;
		_stopPrice = 0;
		_isLong = false;
	}

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var bb = new BollingerBands { Length = 20, Width = 2m };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(new IIndicator[] { rsi, bb }, ProcessCandle)
			.Start();
	}

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

		if (values[0].IsEmpty || values[1].IsEmpty)
			return;

		var rsiValue = values[0].GetValue<decimal>();
		var bbVal = (BollingerBandsValue)values[1];

		if (bbVal.UpBand is not decimal upper ||
			bbVal.LowBand is not decimal lower)
			return;

		if (Position == 0)
		{
			if (rsiValue < RsiLow && candle.ClosePrice < lower)
			{
				BuyMarket();
				_entryPrice = candle.ClosePrice;
				_stopPrice = _entryPrice - StopLoss;
				_isLong = true;
			}
			else if (rsiValue > RsiHigh && candle.ClosePrice > upper)
			{
				SellMarket();
				_entryPrice = candle.ClosePrice;
				_stopPrice = _entryPrice + StopLoss;
				_isLong = false;
			}
		}
		else if (_isLong && Position > 0)
		{
			var profit = candle.ClosePrice - _entryPrice;
			if (profit > MinProfit)
			{
				var newStop = candle.ClosePrice - TrailingStop;
				if (newStop > _stopPrice)
					_stopPrice = newStop;
			}

			if (candle.ClosePrice <= _stopPrice)
				SellMarket();
		}
		else if (!_isLong && Position < 0)
		{
			var profit = _entryPrice - candle.ClosePrice;
			if (profit > MinProfit)
			{
				var newStop = candle.ClosePrice + TrailingStop;
				if (newStop < _stopPrice)
					_stopPrice = newStop;
			}

			if (candle.ClosePrice >= _stopPrice)
				BuyMarket();
		}
	}
}