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Tiger EMA ADX RSI 策略

该策略利用两条指数移动平均线（EMA）的交叉来判断趋势，并通过平均趋向指数（ADX）和相对强弱指数（RSI）进行过滤。快速 EMA 与慢速 EMA 的比较用于确定趋势方向。只有当 ADX 超过设定阈值且 RSI 位于上下边界之间时才允许开仓。

在没有持仓且所有条件满足时，策略按照趋势方向进场。每次进场都会设置与入场价固定距离的止盈和止损。当价格触及任一水平时，头寸被平仓。订单数量由策略的 Volume 属性控制。

参数

  • Fast EMA – 快速指数移动平均线周期。
  • Slow EMA – 慢速指数移动平均线周期。
  • ADX Period – ADX 计算周期。
  • ADX Threshold – 进行交易所需的最小 ADX 值。
  • RSI Period – RSI 计算周期。
  • RSI Upper – 做多时允许的最大 RSI 值。
  • RSI Lower – 做空时允许的最小 RSI 值。
  • Take Profit – 距离入场价的止盈点数。
  • Stop Loss – 距离入场价的止损点数。
  • Candle Type – 用于指标计算的 K 线类型或时间框架。
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>
/// Trend following strategy using EMA crossover with momentum and RSI filters.
/// </summary>
public class TigerEmaAdxRsiStrategy : Strategy
{
	private readonly StrategyParam<int> _fastMaPeriod;
	private readonly StrategyParam<int> _slowMaPeriod;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiUpper;
	private readonly StrategyParam<decimal> _rsiLower;
	private readonly StrategyParam<decimal> _takeProfit;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _takePrice;
	private decimal _stopPrice;
	private decimal? _prevFast;
	private decimal? _prevSlow;
	private int _cooldownRemaining;

	public int FastMaPeriod { get => _fastMaPeriod.Value; set => _fastMaPeriod.Value = value; }
	public int SlowMaPeriod { get => _slowMaPeriod.Value; set => _slowMaPeriod.Value = value; }
	public int AdxPeriod { get => _adxPeriod.Value; set => _adxPeriod.Value = value; }
	public decimal AdxThreshold { get => _adxThreshold.Value; set => _adxThreshold.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public decimal RsiUpper { get => _rsiUpper.Value; set => _rsiUpper.Value = value; }
	public decimal RsiLower { get => _rsiLower.Value; set => _rsiLower.Value = value; }
	public decimal TakeProfit { get => _takeProfit.Value; set => _takeProfit.Value = value; }
	public decimal StopLoss { get => _stopLoss.Value; set => _stopLoss.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public TigerEmaAdxRsiStrategy()
	{
		_fastMaPeriod = Param(nameof(FastMaPeriod), 21)
			.SetDisplay("Fast EMA", "Fast EMA period", "Parameters")
			.SetOptimize(5, 50, 5);

		_slowMaPeriod = Param(nameof(SlowMaPeriod), 89)
			.SetDisplay("Slow EMA", "Slow EMA period", "Parameters")
			.SetOptimize(50, 200, 10);

		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetDisplay("Momentum Period", "Momentum confirmation period", "Parameters")
			.SetOptimize(7, 28, 7);

		_adxThreshold = Param(nameof(AdxThreshold), 52m)
			.SetDisplay("Momentum Threshold", "Minimum RSI momentum value", "Parameters")
			.SetOptimize(50m, 70m, 5m);

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Period", "RSI calculation period", "Parameters")
			.SetOptimize(7, 28, 7);

		_rsiUpper = Param(nameof(RsiUpper), 65m)
			.SetDisplay("RSI Upper", "Upper RSI bound", "Parameters")
			.SetOptimize(60m, 80m, 5m);

		_rsiLower = Param(nameof(RsiLower), 35m)
			.SetDisplay("RSI Lower", "Lower RSI bound", "Parameters")
			.SetOptimize(20m, 40m, 5m);

		_takeProfit = Param(nameof(TakeProfit), 500m)
			.SetDisplay("Take Profit", "Take profit distance", "Risk")
			.SetOptimize(100m, 1000m, 100m);

		_stopLoss = Param(nameof(StopLoss), 200m)
			.SetDisplay("Stop Loss", "Stop loss distance", "Risk")
			.SetOptimize(50m, 500m, 50m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 3)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a position change", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_takePrice = 0m;
		_stopPrice = 0m;
		_prevFast = null;
		_prevSlow = null;
		_cooldownRemaining = 0;
	}

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

		StartProtection(null, null);

		var fastEma = new ExponentialMovingAverage { Length = FastMaPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowMaPeriod };
		var momentum = new RelativeStrengthIndex { Length = AdxPeriod };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, momentum, rsi, ProcessCandle)
			.Start();

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

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		if (_prevFast is not decimal prevFast || _prevSlow is not decimal prevSlow)
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		var crossUp = prevFast <= prevSlow && fast > slow;
		var crossDown = prevFast >= prevSlow && fast < slow;
		var canLong = momentumValue >= AdxThreshold && rsi > RsiLower && rsi < RsiUpper;
		var canShort = momentumValue <= 100m - AdxThreshold && rsi > RsiLower && rsi < RsiUpper;

		if (Position == 0 && _cooldownRemaining == 0)
		{
			if (crossUp && canLong)
			{
				BuyMarket();
				_takePrice = candle.ClosePrice + TakeProfit;
				_stopPrice = candle.ClosePrice - StopLoss;
				_cooldownRemaining = CooldownBars;
			}
			else if (crossDown && canShort)
			{
				SellMarket();
				_takePrice = candle.ClosePrice - TakeProfit;
				_stopPrice = candle.ClosePrice + StopLoss;
				_cooldownRemaining = CooldownBars;
			}
		}
		else if (Position > 0)
		{
			if (candle.ClosePrice >= _takePrice || candle.ClosePrice <= _stopPrice || crossDown)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			if (candle.ClosePrice <= _takePrice || candle.ClosePrice >= _stopPrice || crossUp)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}