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RSI Bollinger Bands

该策略将相对强弱指数（RSI）与布林带结合。 当RSI低于超卖阈值且收盘价低于下轨时开多单。 当RSI高于超买阈值且收盘价高于上轨时开空单。 在相反信号出现时反向开仓。

细节

  • 入场条件：RSI低于RsiOversold且收盘价低于下轨买入；RSI高于RsiOverbought且收盘价高于上轨卖出。
  • 多空方向：双向。
  • 出场条件：相反信号。
  • 止损：无。
  • 默认值：
    • CandleType = TimeSpan.FromMinutes(15)
    • RsiPeriod = 20
    • BollingerPeriod = 20
    • BollingerWidth = 2
    • RsiOversold = 30
    • RsiOverbought = 70
  • 筛选器：
    • 分类：振荡器
    • 方向：双向
    • 指标：RSI，布林带
    • 止损：否
    • 复杂度：基础
    • 时间框架：15分钟
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险级别：中等
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>
/// RSI combined with Bollinger Bands strategy.
/// Buys when RSI is oversold and price is below the lower band.
/// Sells when RSI is overbought and price is above the upper band.
/// </summary>
public class RsiBollingerBandsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerWidth;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<decimal> _rsiOverbought;

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

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Period", "RSI calculation length", "Indicators");

		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetDisplay("Bollinger Period", "Bollinger bands length", "Indicators");

		_bollingerWidth = Param(nameof(BollingerWidth), 2m)
			.SetDisplay("Bollinger Width", "Band width multiplier", "Indicators");

		_rsiOversold = Param(nameof(RsiOversold), 35m)
			.SetDisplay("RSI Oversold", "Buy threshold", "Indicators");

		_rsiOverbought = Param(nameof(RsiOverbought), 65m)
			.SetDisplay("RSI Overbought", "Sell threshold", "Indicators");
	}

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int BollingerPeriod { get => _bollingerPeriod.Value; set => _bollingerPeriod.Value = value; }
	public decimal BollingerWidth { get => _bollingerWidth.Value; set => _bollingerWidth.Value = value; }
	public decimal RsiOversold { get => _rsiOversold.Value; set => _rsiOversold.Value = value; }
	public decimal RsiOverbought { get => _rsiOverbought.Value; set => _rsiOverbought.Value = value; }

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

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

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var bollinger = new BollingerBands { Length = BollingerPeriod, Width = BollingerWidth };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var rsi = rsiValue.IsFormed ? rsiValue.GetValue<decimal>() : (decimal?)null;
		var bb = bbValue as BollingerBandsValue;

		if (rsi is null || bb?.UpBand is not decimal upper || bb?.LowBand is not decimal lower)
			return;

		var buySignal = rsi < RsiOversold && candle.ClosePrice < lower;
		var sellSignal = rsi > RsiOverbought && candle.ClosePrice > upper;

		if (buySignal && Position <= 0)
			BuyMarket();
		else if (sellSignal && Position >= 0)
			SellMarket();
	}
}