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Color Zerolag RVI 策略

该策略使用相对活力指数 (RVI) 及其信号线。 当 RVI 主线向下穿越信号线时买入，主线向上穿越信号线时卖出。

细节

  • 入场条件: RVI 与信号线交叉
  • 多空方向: 双向
  • 出场条件: 反向信号
  • 止损: 无
  • 默认值:
    • RviLength = 14
    • SignalLength = 9
    • BuyOpen = true
    • SellOpen = true
    • BuyClose = true
    • SellClose = true
    • CandleType = 4 小时
  • 过滤器:
    • 分类: 振荡指标
    • 方向: 双向
    • 指标: RVI, SMA
    • 止损: 无
    • 复杂度: 基础
    • 时间框架: 日内 (H4)
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 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>
/// Strategy based on crossing of RVI and its signal line.
/// Buys on RVI crossing above signal, sells on crossing below.
/// </summary>
public class ColorZerolagRviStrategy : Strategy
{
	private readonly StrategyParam<int> _rviLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevRvi;
	private decimal? _prevSignal;

	public int RviLength { get => _rviLength.Value; set => _rviLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorZerolagRviStrategy()
	{
		_rviLength = Param(nameof(RviLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RVI Length", "RVI calculation period", "Indicator");

		_signalLength = Param(nameof(SignalLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "RVI signal line period", "Indicator");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRvi = null;
		_prevSignal = null;
	}

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

		var rvi = new RelativeVigorIndex();
		rvi.Average.Length = RviLength;
		rvi.Signal.Length = SignalLength;

		SubscribeCandles(CandleType)
			.BindEx(rvi, ProcessCandle)
			.Start();
	}

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

		var value = (IRelativeVigorIndexValue)rviValue;
		if (value.Average is not decimal rvi || value.Signal is not decimal signal)
			return;

		if (_prevRvi is null || _prevSignal is null)
		{
			_prevRvi = rvi;
			_prevSignal = signal;
			return;
		}

		var crossUp = _prevRvi < _prevSignal && rvi > signal;
		var crossDown = _prevRvi > _prevSignal && rvi < signal;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevRvi = rvi;
		_prevSignal = signal;
	}
}