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TSI WPR 交叉策略

该策略基于由 Williams %R 振荡器计算的真实强度指数 (TSI) 与其信号线的交叉进行交易。 当 TSI 上穿平滑的信号线时做多，当 TSI 下穿信号线时做空。

参数

  • Candle Type：用于计算的蜡烛时间框。
  • Williams %R Period：Williams %R 指标的周期。
  • Short Length：TSI 计算中的短期 EMA 长度。
  • Long Length：TSI 计算中的长期 EMA 长度。
  • Signal Length：对 TSI 进行平滑形成信号线的 EMA 长度。

交易规则

  1. 计算每根完成蜡烛的 Williams %R 值。
  2. 将该值输入真实强度指数指标。
  3. 用 EMA 平滑 TSI 获得信号线。
  4. 当 TSI 上穿信号线时买入。
  5. 当 TSI 下穿信号线时卖出。
  6. 出现新信号时关闭相反方向的仓位。

备注

  • 策略使用高级 API 自动订阅蜡烛数据。
  • StartProtection 在启动时启用，用于基础风险管理。
  • 创建图表区域以可视化 TSI、信号线和执行的交易。
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>
/// Strategy based on True Strength Index crossover filtered by Williams %R.
/// Buys when TSI crosses above its signal line and WPR is in oversold,
/// sells when TSI crosses below its signal line and WPR is in overbought.
/// </summary>
public class TsiWprCrossStrategy : Strategy
{
	private readonly StrategyParam<int> _wprPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevTsi;
	private decimal _prevSignal;
	private bool _initialized;
	private int _cooldownRemaining;

	/// <summary>
	/// Williams %R period.
	/// </summary>
	public int WprPeriod
	{
		get => _wprPeriod.Value;
		set => _wprPeriod.Value = value;
	}

	/// <summary>
	/// Number of completed candles to wait after a position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Candles type to process.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public TsiWprCrossStrategy()
	{
		_wprPeriod = Param(nameof(WprPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Williams %R Period", "Period for Williams %R", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 4)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a signal", "Signal");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevTsi = 0m;
		_prevSignal = 0m;
		_initialized = false;
		_cooldownRemaining = 0;
	}

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

		var tsi = new TrueStrengthIndex();
		var wpr = new WilliamsR { Length = WprPeriod };

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

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue tsiValue, IIndicatorValue wprValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!tsiValue.IsFinal || !wprValue.IsFinal)
			return;

		var tv = (ITrueStrengthIndexValue)tsiValue;
		if (tv.Tsi is not decimal tsi || tv.Signal is not decimal signal)
			return;

		var wpr = wprValue.ToDecimal();

		if (!_initialized)
		{
			_prevTsi = tsi;
			_prevSignal = signal;
			_initialized = true;
			return;
		}

		var crossedUp = _prevTsi <= _prevSignal && tsi > signal;
		var crossedDown = _prevTsi >= _prevSignal && tsi < signal;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		// WPR range: -100 to 0. Oversold < -80, Overbought > -20
		if (crossedUp && wpr < -55 && _cooldownRemaining == 0 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
			_cooldownRemaining = CooldownBars;
		}
		else if (crossedDown && wpr > -45 && _cooldownRemaining == 0 && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
			_cooldownRemaining = CooldownBars;
		}

		_prevTsi = tsi;
		_prevSignal = signal;
	}
}