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布林带自动交易策略

该策略结合布林带、RSI 和随机指标，在设定的 GMT 时间窗口内自动开仓。当上一根K线收盘价高于布林带上轨、RSI 大于 75 且随机指标 %K 大于 85 时开空单；当K线收盘价低于布林带下轨、RSI 小于 25 且随机指标 %K 小于 155 时开多单。每个方向只允许一个持仓。策略使用以点数表示的追踪止损来保护持仓。

参数

  • OpenBuy – 是否允许开多单。
  • OpenSell – 是否允许开空单。
  • GmtTradeStart – 交易开始小时 (GMT)。
  • GmtTradeStop – 交易结束小时 (GMT)。
  • BbPeriod – 布林带周期。
  • RsiPeriod – RSI 指标周期。
  • StochKPeriod – 随机指标 %K 周期。
  • StochDPeriod – 随机指标 %D 周期。
  • StochSlowing – 随机指标平滑参数。
  • TrailingStop – 追踪止损距离（点）。
  • CandleType – 使用的K线周期。
using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bollinger Bands auto trade strategy with RSI confirmation.
/// Sells when price touches upper band and RSI is overbought.
/// Buys when price touches lower band and RSI is oversold.
/// </summary>
public class AutoTradeWithBollingerBandsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbPeriod;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _rsiOverbought;
	private readonly StrategyParam<decimal> _rsiOversold;

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

	public int BbPeriod
	{
		get => _bbPeriod.Value;
		set => _bbPeriod.Value = value;
	}

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

	public decimal RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	public AutoTradeWithBollingerBandsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");

		_bbPeriod = Param(nameof(BbPeriod), 20)
			.SetDisplay("BB Period", "Bollinger Bands period", "Indicators");

		_rsiPeriod = Param(nameof(RsiPeriod), 6)
			.SetDisplay("RSI Period", "RSI period", "Indicators");

		_rsiOverbought = Param(nameof(RsiOverbought), 70m)
			.SetDisplay("RSI Overbought", "RSI overbought level", "Indicators");

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "RSI oversold level", "Indicators");
	}

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

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

		var bollinger = new BollingerBands { Length = BbPeriod, Width = 2m };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bollinger, rsi, ProcessCandle)
			.Start();

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

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

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper ||
			bb.LowBand is not decimal lower ||
			bb.MovingAverage is not decimal middle)
			return;

		var rsi = rsiValue.ToDecimal();
		var price = candle.ClosePrice;

		// Sell when price above upper band and RSI overbought
		if (price > upper && rsi > RsiOverbought && Position >= 0)
		{
			SellMarket();
		}
		// Buy when price below lower band and RSI oversold
		else if (price < lower && rsi < RsiOversold && Position <= 0)
		{
			BuyMarket();
		}
		// Exit long when price returns to middle
		else if (Position > 0 && price >= middle)
		{
			SellMarket();
		}
		// Exit short when price returns to middle
		else if (Position < 0 && price <= middle)
		{
			BuyMarket();
		}
	}
}